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After detailing the quantitative value investment process, Gray and Carlisle conduct a historical test of the resulting quantitative value model. Their conclusions are surprising and counter-intuitive.
Reviews Across the Web
This is a quality book.
In their recent (and very good) book, Quantitative Value, Wesley Gray and Tobias Carlisle quote a 1976 interview with Graham…
This is a book that gets everything right in broad, but is too insistent on the details.
Wesley Gray and Tobias Carlisle offer a different approach in their fascinating book Quantitative Value. They begin with two simple observations. First, value stocks — as a group and over the long term — outperform growth stocks. Second, value managers — also as a group — underperform simple computer-generated value benchmarks, such as the magic formula, which seeks to buy cheap stocks of high quality.
Essentially, Gray and Carlisle present an excellent approach to quantitative financial statement analysis (QFSA).
I enjoyed reading the book, it was quick, and it made me think. I also had some lively discussions with some friends about concepts in the book. On the whole if one approaches the book as Gray and Carlisle’s thesis on their investment method I think a reader will be satisfied. If one approaches the book looking for something that could be applied to their own portfolio I think they’ll be left wanting, at least until the QuantitativeValueApplied fund launches.
investors will likely find Quantitative Value a well-reasoned derivation of systematic value investing based on validation of well-cited streams of academic research.
Quantitative Value is to my mind a must-read book. It doesn’t matter whether you are a short-term trader, a trend follower, a technical analysis junkie, or an investor in search of a strategy. You will find something of value (pun intended) here.
I like this book. A lot. As a “value guy”, you always like being able to put something like this down and make a witty quip about how it qualifies as a value investment, or it’s intrinsic value is being significantly discounted by the market, or what have you. I’ve only scratched the surface here in my review, there’s a ton to chew on for anyone who delves in and I didn’t bother covering the numerous charts, tables, graphs, etc., strewn throughout the book which serve to illustrate various concepts and claims explored.
What the Pros are Saying
“Gray and Carlisle take you behind the curtains to build a black box based on the best value minds in finance. They combine academia’s best ideas with the ideas of Buffet, Graham, and Thorp, to develop a quant system that performs in markets both good and bad.”
–Mebane Faber, Author of The Ivy Portfolio and Portfolio Manager for Cambria Investment Management
“An elegant synthesis of Warren Buffett’s value investment philosophy and Ed Thorp’s quantitative approach. Quantitative Value belongs on every investor’s bookshelf.”
–Charles Mizrahi, Author of Getting Started in Value Investing & Editor of Hiddenvaluesalert.com
“Quantitative Value is the new guide to Graham-and-Doddsville. Gray and Carlisle synthesize the lessons of the great value investors to systematically identify high quality value stocks while avoiding common behavioral pitfalls.”
–Tadas Viskanta, Founder and Editor, Abnormal Returns; Author of Abnormal Returns: Winning Strategies from the Frontlines of the Investment Blogosphere.
“Quantitative Value is a must read for those with a love of value investing and a desire to make the investment process less ad-hoc. A must read.”
–Tony Tang, Ph.D., Global Macro Researcher and Portfolio Manager, AQR Capital Management
“We seek to marry Ed Thorp’s quantitative approach to Warren Buffett’s value investment philosophy.” That’s the approach we take in our Value Investing class at UC Davis and Quantitative Value will become required reading for our class. The book we wish we would have written!”
–Lonnie J. Rush and Jacob L. Taylor, Managing Partners of Farnam Street Investments and Visiting Professors at UC Davis Graduate School of Management
“A clear and concise vision of how the two dominant disciplines of modern investing (quant and value) can be combined in actionable ways that produce outsized returns over the market.”
-Christopher Cole, CFA, Founder and Portfolio Manager, Artemis Capital Management LLC
“Gray and Carlisle successfully bridge the gap between fundamental and quantitative value investing—an extremely worthy endeavor and, likewise, an extremely rewarding read.”
– MacDuff Kuhnert, CFA, Quantitative Portfolio Manager, Causeway Capital Management LLC
“If you liked The Little Book that Beats the Market, you will love Quantitative Value. Gray and Carlisle take systematic value-based investing to the next level.”
–Raife Giovinazzo, Ph.D., CFA, Research Analyst in Scientific Active Equity, Blackrock
“A must read for any investor. The book outlines a broad set of indicators, which can be used to form a quantitative strategy or supplement traditional fundamental analysis. These indicators have been tested by numerous academic studies and represent an invaluable toolset for any investor.”
–Gil Sadka, Ph.D., Associate Professor of Accounting, Columbia Business School
This book is an excellent primer to quantitative investing. It combines insights from both academic luminaries and successful professional investors, and presents them in a clear, engaging manner. The authors rigorously back-test simple strategies that can be used by the individual as well as institutional investor.
–Alex Edmans Ph.D., Finance Professo at The Wharton School, University of Pennsylvania