By |Published On: February 24th, 2013|Categories: Value Investing Research|

Many Turnkeyanalyst.com users and book readers have pointed out that the screening tool is limited to 15 names above $10B, but the book outlines a system that holds 30-40 names and invests in stocks that can be much smaller.

Why the change?

Via Empiritrage, LLC we manage assets for clients in separately managed accounts. Some of our strategies are directly related to the screening technology 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 we limit access to the results from the Quantitative Value algorithm. When the client speaks, we have to listen. Capitalism works.

Does the Change Dramatically Affect Performance?

In short, not really. Returns drop off 1-2% depending on the assumptions used and the time periods analyzed, but the the punchline is still the same.

Here is a formal report on the subject:
http://empiritrage.com/2013/02/25/concentrated-mega-cap-quantitative-value-february-2013/

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About the Author: Wesley Gray, PhD

Wesley Gray, PhD
After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. Next, Wes took an academic job in his wife’s hometown of Philadelphia and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management firm dedicated to an impact mission of empowering investors through education. He is a contributor to multiple industry publications and regularly speaks to professional investor groups across the country. Wes has published multiple academic papers and four books, including Embedded (Naval Institute Press, 2009), Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016). Dr. Gray currently resides in Palmas Del Mar Puerto Rico with his wife and three children. He recently finished the Leadville 100 ultramarathon race and promises to make better life decisions in the future.

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Important Disclosures

For informational and educational purposes only and should not be construed as specific investment, accounting, legal, or tax advice. Certain information is deemed to be reliable, but its accuracy and completeness cannot be guaranteed. Third party information may become outdated or otherwise superseded without notice.  Neither the Securities and Exchange Commission (SEC) nor any other federal or state agency has approved, determined the accuracy, or confirmed the adequacy of this article.

The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. Our full disclosures are available here. Definitions of common statistics used in our analysis are available here (towards the bottom).

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