Monday, January 14, 2013

Quantitative Value

I haven't read it yet, but I very much look forward to reading the new book Quantitative Value By Tobias Carlisle. For those of you unfamiliar with this title, the book is written by the author of the value site Greenbackd, an extremely useful resource for value investors.

Behavioural errors plague investors, reducing potential returns. To counter this, Carlisle consistently argues for quantitative methods that don't suffer from behavioural bias. The question then becomes, what quantitative method should one use? This is the topic of the book.

Carlisle examines a number of quantitative approaches from a value perspective, including a few you are probably familiar with (e.g. Ben Graham's NCAV, Greenblatt's Magic Formula), dissects their weaknesses, and generates new ways of determining what's cheap. He then backtests these value methods to ascertain which work best. If done properly I imagine the results could be a new breakthrough in the field of long-term quantitative investing. I don't know what he came up with in the end, but I look forward to reading ahead to find out!

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