Quantitative Value, + Web Site: A Practitioner's Guide to Automating Intelligent Investment and Eliminating Behavioral Errors

( 1 )


"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."
?Tony Tang, PhD, Global Macro Researcher and Portfolio Manager, AQR Capital Management

"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 ...

See more details below
BN.com price
(Save 36%)$85.00 List Price
Other sellers (Hardcover)
  • All (12) from $44.00   
  • New (9) from $49.13   
  • Used (3) from $44.00   
Quantitative Value: A Practitioner's Guide to Automating Intelligent Investment and Eliminating Behavioral Errors

Available on NOOK devices and apps  
  • NOOK Devices
  • NOOK HD/HD+ Tablet
  • NOOK
  • NOOK Color
  • NOOK Tablet
  • Tablet/Phone
  • NOOK for Windows 8 Tablet
  • NOOK for iOS
  • NOOK for Android
  • NOOK Kids for iPad
  • PC/Mac
  • NOOK for Windows 8
  • NOOK for PC
  • NOOK for Mac
  • NOOK Study
  • NOOK for Web

Want a NOOK? Explore Now

NOOK Book (eBook)
BN.com price
(Save 42%)$85.00 List Price


"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."
Tony Tang, PhD, Global Macro Researcher and Portfolio Manager, AQR Capital Management

"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, PhD, CFA, Research Analyst in Scientific Active Equity, BlackRock, Inc.

"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 and author of Abnormal Returns: Winning Strategies from the Frontlines of the Investment Blogosphere

"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

"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 Buffett, 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, Inc.

"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

"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 and Editor of Hiddenvaluesalert.com

"'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

Read More Show Less

Product Details

  • ISBN-13: 9781118328071
  • Publisher: Wiley
  • Publication date: 12/26/2012
  • Series: Wiley Finance Series , #836
  • Edition number: 1
  • Pages: 288
  • Sales rank: 540,564
  • Product dimensions: 6.10 (w) x 9.40 (h) x 1.20 (d)

Meet the Author

WESLEY R. GRAY, PhD, is the founder and executive managing member of Empiritrage, LLC, an SEC-registered investment advisor; and Turnkey Analyst, LLC, a firm dedicated to educating and sharing quantitative investment techniques to the general public. He is also an assistant professor of finance at Drexel University's LeBow College of Business, where his research focus is on value investing and behavioral finance. Professor Gray teaches graduate-level investment management and a seminar on hedge fund strategies and operations. His professional and leadership experiences include over fourteen years building systematic trading systems, trading special situations, and service as a U.S. Marine Corps intelligence officer (Captain) in Iraq and various posts in Asia. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago Booth School of Business. He graduated magna cum laude with a BS in economics from the Wharton School, University of Pennsylvania.

TOBIAS E. CARLISLE, LLB, is the founder and managing member of Eyquem Investment Management LLC, portfolio manager of the Eyquem Fund LP, and the author of the award-winning website greenbackd.com, which covers deep value, contrarian, and activist investment strategies. He has extensive experience in activist investment, company valuation, public company corporate governance, and mergers and acquisitions law. Prior to founding Eyquem, Carlisle was an analyst at an activist hedge fund, general counsel of a company listed on the Australian Stock Exchange, and a corporate advisory lawyer. As a lawyer specializing in mergers and acquisitions, he has advised on transactions across a variety of industries in the United States, the United Kingdom, China, Australia, Singapore, Bermuda, Papua New Guinea, New Zealand, and Guam, ranging in value from $50 million to $2.5 billion. He is a graduate of the University of Queensland in Australia with degrees in law and business (management).

Read More Show Less

Table of Contents

Preface xi

Acknowledgments xiii


The Foundation of Quantitative Value 1


The Paradox of Dumb Money 3

Value Strategies Beat the Market 9

How Quantitative Investing Protects against Behavioral Errors 23

The Power of Quantitative Value Investing 30

Notes 32


A Blueprint to a Better Quantitative Value Strategy 35

Greenblatt’s Magic Formula 36

It’s All Academic: Improving Quality and Price 45

Strategy Implementation: Investors Behaving Badly 54

Notes 59


Margin of Safety—How to Avoid a Permanent Loss of Capital 61


Hornswoggled! Eliminating Earnings Manipulators and Outright Frauds 63

Accruals and the Art of Earnings Manipulation 64

Predicting PROBMs 72

Notes 79


Measuring the Risk of Financial Distress: How to Avoid the Sick Men of

the Stock Market 81

A Brief History of Bankruptcy Prediction 83

Improving Bankruptcy Prediction 85

How We Calculate the Risk of Financial Distress 86

Scrubbing the Universe 89

Notes 91


Quality—How to Find a Wonderful Business 93


Franchises—The Archetype of High Quality 95

The Chairman’s Secret Recipe 96

How to Find a Franchise 99

Notes 112


Financial Strength: Foundations Built on Rock 113

The Piotroski Fundamentals Score (F_SCORE) 114

Our Financial Strength Score (FS_SCORE) 119

Comparing the Performance of Piotroski’s F_SCORE and Our


Case Study: Lubrizol Corporation 123

Notes 126


The Secret to Finding Bargain Prices 127


Price Ratios: A Horse Race 129

The Horses in the Race 130

Rules of the Race 133

The Race Call 134

A Price Ratio for All Seasons 141

The Offi cial Winner 142

Notes 143


Alternative Price Measures—Normalized Earning Power and

Composite Ratios 145

Normalized Earning Power 147

Compound Price Ratios: Is the Whole Greater than

the Sum of Its Parts? 150

Notes 163


Corroborative Signals 165


Blue Horseshoe Loves Anacott Steel: Follow the Signals from

the Smart Money 167

Stock Buybacks, Issuance, and Announcements 169

Insider Traders Beat the Market 173

Activism and Cloning 176

Short Money Is Smart Money 179

Notes 182


Building and Testing the Model 185


Bangladeshi Butter Production Predicts the S&P 500 Close 187

Sustainable Alpha: A Framework for Assessing Past Results 189

What’s the Big Idea? 191

Rigorously Test the Big Idea 196

The Parameters of the Universe 206

Notes 208


Problems with the Magic Formula 211

Glamour Is Always a Bad Bet 216

Improving the Structure of a Quantitative Value Strategy 218

Our Final Quantitative Value Checklist 222

Notes 228


Quantitative Value Beats the Market 229

Risk and Return 231

Robustness 239

A Peek Inside the Black Box 249

Man versus Machine 257

Beating the Market with Quantitative Value 262

Notes 264

Appendix: Analysis Legend 265

About the Authors 267

About the Companion Website 269

Index 271

Read More Show Less

Customer Reviews

Average Rating 3
( 1 )
Rating Distribution

5 Star


4 Star


3 Star


2 Star


1 Star


Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation


  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously
Sort by: Showing 1 Customer Reviews
  • Anonymous

    Posted December 7, 2013

    Great book. I enjoyed Joel Greenblatt's Little Book that Beats t

    Great book. I enjoyed Joel Greenblatt's Little Book that Beats the Market, and this is a fantastic extension of those concepts. If you buy, don't get the Nook Book! I bought it as a Nook Book and you can't read all of the charts and tables clearly since the nook app doesn't support pinch to zoom. I told them that I wanted to exchange the digital copy for a hardcover copy so I could get full value of the book and was told they don't do that so I'd have to shell another $50 on the hardcover. Really disappointed with the customer service for what is clearly a flawed product.

    1 out of 1 people found this review helpful.

    Was this review helpful? Yes  No   Report this review
Sort by: Showing 1 Customer Reviews

If you find inappropriate content, please report it to Barnes & Noble
Why is this product inappropriate?
Comments (optional)