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We present the most recent quantitative value stocks taken from a universe of stocks with a market capitalization greater than $10B.

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.

Prices are updated from Finance.Yahoo.com.
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A detailed explanation of the Graham Quantitaive Value strategy can be found here

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.

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Core 6:

  • 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
Models:
  • 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.
More details can be found here:
*We impose short sell constraints so no position can go below 0, even if a particular model suggests otherwise. Because of this constraint, the total weights may not add up to 1.
Weights presented in the table represent the proportion of your porfolio that should be invested in a particular asset class for the current month.

This website is made available for educational and entertainment purposes only and does not constitute investment advice.
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Shiller P/E, Hussman total return predictions, long-bond returns, you name it, we have it plotted.
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Definitions:

  • Alpha Expectation=Estimated alpha based on documentation from paper or best estimate
  • Title=Title of paper reviewed
  • Authors=Authors of paper reviewed
  • Category=Category of paper reviewed
  • View Details=Click to get summary review

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Disclaimer: TurnkeyAnalyst.com is not an investment adviser, brokerage firm, or investment company. The use of any information on this site does not guarantee performance. Past results are not necessarily indicative of future performance. Empiritrage and TurnkeyAnalyst.com are both owned in part by Wesley R. Gray, Ph.D.