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Posts Tagged ‘Quantitative investment’

Screening for five-year earnings-per-share gains is a waste of time

Posted in Stocks, tagged , , on October 27, 2010 | 4 Comments »

James P. O’Shaughnessy’s What works on Wall Street is one of my favorite books on investing. The thing that I like most about the book is O’Shaughnessy use of data to slaughter several sacred value investing cows, one of which I mentioned yesterday (see The Small Cap Paradox: A problem with LSV’s Contrarian Investment, Extrapolation, and Risk [...]

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The Small Cap Paradox: A problem with LSV’s Contrarian Investment, Extrapolation, and Risk in practice

Posted in About, Stocks, Value Investment, tagged , on October 26, 2010 | 7 Comments »

Yesterday’s post on LSV Asset Management’s performance reminded me of the practical difficulties of implementing many theoretically well-performed investment strategies. LSV Asset Management is an outgrowth of the research conducted by Josef Lakonishok, Andrei Shleifer, and Robert Vishny. They are perhaps best known for the Contrarian Investment, Extrapolation, and Risk paper, which, among other things, analyzed low price-to-book [...]

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An analysis of LSV Asset Management’s returns and alpha

Posted in Stocks, tagged , , on October 25, 2010 | 1 Comment »

Insider Monkey has a great analysis of LSV Asset Management’s Value Equity Fund returns and alpha (LSVEX). LSV Asset Management is a quantitative value shop founded by Josef Lakonishok, Andrei Schleifer, and Robert Vishny, authors of the landmark 1994 Contrarian Investment, Extrapolation, and Risk paper, which is a favorite topic of mine (for more, see the archives on LSV [...]

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Quant funds don’t perform like a good quant fund should

Posted in About, Quantitative investment, Stocks, tagged on August 5, 2010 | 5 Comments »

I burned some digital ink on these pages discussing the utility of quantitative investment processes over more qualitative approaches. The thesis was, in essence, as follows: Simple statistical models outperform the judgements of the best experts Simple statistical models outperform the judgements of the best experts, even when those experts are given access to the simple [...]

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A tide in the affairs of men

Posted in About, Quantitative investment, Stocks, Value Investment, tagged , on March 31, 2010 | 11 Comments »

In A Crisis In Quant Confidence*, Abnormal Returns has a superb post on Scott Patterson’s recounting in his book The Quants of the reactions of several quantitative fund managers to the massive reversal in 2007: In 2007 everything seemed to go wrong for these quants, who up until this point in time, had been coining profits. This inevitably [...]

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Simoleon Sense interviews James Montier

Posted in About, Net Current Asset Value, Stocks, Value Investment, tagged , , , on March 10, 2010 | 3 Comments »

I’m a huge fan of James Montier’s work on the rationale for a quantitative investment strategy and global Graham net net investing. Miguel Barbosa of Simoleon Sense has a wonderful interview with Montier, covering his views on behavioral investing and value investment. Particularly interesting is Montier’s concept of “seductive details” and the implications for investors: [...]

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