Turnkey Analyst Tools
We constrain the quantitative value screen results to 15 firms over $10B, which is different than the strategy outlined in the book.
In the book. we look at a universe of firms that is greater than the 40th percentile NYSE market capitalization breakpoint (roughly translates into $1.4B). We also run a more diversified portfolio of ~30 names in the book..
Why have we limited the screener?
Wesley Gray, Ph.D., via Empiritrage, LLC manages assets in strategies related to the screen discussed in quantitative value. Due to the large amount of traffic and interest in the Quantitative Value system, the clients of Empiritrage, LLC strongly suggested that Dr. Gray limit access to the results from the Quantitative Value algorithm.
Four simple concepts
- Buy cheap stuff–only purchase stocks at a P/E that is 2x the AAA bond yield.
- Buy stuff that doesn’t have a lot of debt–only buy stocks that have common equity / total assets over 50%
- Sell if a stock moves 50%+
- Sell if a stock has been in the portfolio for 2 years
The screen is refreshed monthly along with our Quantitative Value and Asset Allocation screens.
**Graham mentions NEVER paying over 10 P/E for any stock. In this screen we do not put a cap on P/E.
- SP500=Standard and Poors 500 Total Return Index
- EAFE=The MSCI EAFE Total Return Index
- EEM=MSCI Emerging Markets Total Return Index
- REIT=FTSE NAREIT All Equity REIT Total Return Index
- GSCI=S&P GSCI Total Return Index
- US_10Yr=Merril Lynch US Treasury 10-Year Treasury Futures Total Return Index
- ew_index=equal-weight Core 6.
- ew_index_ma=equal-weight Core 6 with 12-month moving average trading rule.
- mom=equal-weight Core 6 shifted by relative 12-month momentum.
- mom_ma=mom strategy with 12-month moving average trading rule.
- risk_parity=unlevered risk parity for Core 6.
- risk_parity_ma=unlevered risk parity for Core 6 with 12-month moving average trading rule.
- risk_parity_mom=unlevered risk parity weights for Core 6, adjusted by relative 12-month momentum.
- risk_parity_mom_ma=unlevered risk parity weights for Core 6, adjusted by relative 12-month momentum, with a 12-month moving average trading rule.