Quant Value

A great new book out from Wes Gray and Toby Carlisle:  Quantitative Value, + Web Site: A Practitioner’s Guide to Automating Intelligent Investment and Eliminating Behavioral Errors.

My blurb:  “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 Buffet, Graham, and Thorp, to develop a quant system that performs in markets both good and bad.”


Unrelated, but  I did a post last year that is a simple system that updates once a year, picking the top asset classes based on prior year momentum.  This would have you in international REITs and foreign stocks for 2013….some asset class returns for 2013:

Click to enlarge: