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(28-09-2014, 11:27 PM)zf87 Wrote: [ -> ]I also practice quantitative on my little portfolio. I agree that earning-base is inherently more volatile than asset-base strategy. And I would like to recommend a book called "Quantitative value", which also introduces other quantitative factors like "quality" or "bankruptcy factor". The magic formula actually combines value and quality. The book describes for example values other than ROE, like gross profits on total asset, free cash flow on total asset maybe equally good measures.

Thanks for the sharing, I will take a look at the book, by Wesley Gray below?

http://www.amazon.com/Quantitative-Value...1118328078

IMO, the magic formula is the closest to value investing, look for quality (consistent ROE) and buy it cheap (high earning yield). Anyway, no harm to know more...Big Grin

May I know the result of your approach and duration, if you are comfortable? A rough number might do...

I practice focus approach, and my result is available in my portfolio thread.
(28-09-2014, 04:29 PM)erickong Wrote: [ -> ]Value investors usually generate 10-15% long term. For those >15%, its exceptional skill and talent. So - whether its focused, or diversified, Buffett, Greenblatt, Graham, Neff, Klarman, Miller or Keynes style and so on - it will still work out in the end! Some may do better over certain periods, and be overtaken in other periods and so on - but all the VALUE STYLE works!

Thank you for this forum moderator.

I assume the approach does make a difference in performance, thus the focus of the topic here. I strongly feel that it does.

Thanks
(29-09-2014, 09:26 AM)CityFarmer Wrote: [ -> ]Thanks for the sharing, I will take a look at the book, by Wesley Gray below?

http://www.amazon.com/Quantitative-Value...1118328078

IMO, the magic formula is the closest to value investing, look for quality (consistent ROE) and buy it cheap (high earning yield). Anyway, no harm to know more...Big Grin

May I know the result of your approach and duration, if you are comfortable? A rough number might do...

I practice focus approach, and my result is available in my portfolio thread.
That's the book. It compares the magic formula with other matrix through statistics data.

After heavy loss on 3-4 s-chips during the GFC, I started fresh from apr 2012. Later I joined in this forum, and I start to read books on value investing. Slowly build up my portfolio, fine-tune my system of investing/ portfolio management.

My performance for each duration (non-annualized, accounted for dividend and transaction costs):

apr 2012-dec 2012:17.2% (not very accurate due to some guesstimate on portfolio value and the small size of the total portfolio)
2013: 41%
jan 2014-aug 2014 :13.7%

So far, the estimated mean and standard deviation of monthly portfolio gain/loss are 2.3%, 3.1% respectively. (On second thought, this performance may not be totally due to "Quantitative approach". I only created my excel list on Feb 2013, and before that my portfolio are far less Quantitative than now, and it takes time to gradually change one's portfolio.)

Special thanks to dydx, not sure if he's using the Quantitative approach, but the tickers mentioned in many of his enthusiastic posts happen to be on top portion of my excel ranking list.Big Grin
(29-09-2014, 12:30 PM)zf87 Wrote: [ -> ]That's the book. It compares the magic formula with other matrix through statistics data.

After heavy loss on 3-4 s-chips during the GFC, I started fresh from apr 2012. Later I joined in this forum, and I start to read books on value investing. Slowly build up my portfolio, fine-tune my system of investing/ portfolio management.

My performance for each duration (non-annualized, accounted for dividend and transaction costs):

apr 2012-dec 2012:17.2% (not very accurate due to some guesstimate on portfolio value and the small size of the total portfolio)
2013: 41%
jan 2014-aug 2014 :13.7%

So far, the estimated mean and standard deviation of monthly portfolio gain/loss are 2.3%, 3.1% respectively. (On second thought, this performance may not be totally due to "Quantitative approach". I only created my excel list on Feb 2013, and before that my portfolio are far less Quantitative than now, and it takes time to gradually change one's portfolio.)

Special thanks to dydx, not sure if he's using the Quantitative approach, but the tickers mentioned in many of his enthusiastic posts happen to be on top portion of my excel ranking list.Big Grin

Yes, I strongly felt that dydx is the one using Quantitative approach here, specializing on small caps. I am eager to know his performance. Big Grin

Thanks for the sharing of your performance.
(28-09-2014, 10:02 PM)CityFarmer Wrote: [ -> ]I categories funds into 3 groups. ETF passive, quantitative, and focus approach, base on the level of skill/effort required. From various sources, (interview, article, fund disclosed info etc), the general guideline on best performance for the three groups are ~10%, ~20% and >30% over long term for reasonable sized funds. The guideline was adjusted by various factors e.g. AUM size, public vs private fund, tolerance on volatility etc.

Cannot comment on ETF passive and focus approach but your quantitative target seems a bit high especially for unleveraged funds.

Three quantitative fund management companies you may wish to take a look at are:

a. Research Affiliates (my typo mistake earlier - should be affiliates not associates) (http://www.researchaffiliates.com/Work%2.../Home.aspx)
b. Dimensional Fund Advisors (http://us.dimensional.com/strategies/performance.aspx)
c. LSV Asset Management (http://www.lsvasset.com/products/emergma...gmark.html)

The out performance is only of the order of a few hundred basis points over passive ETFs.

I believe the main constraint has to do with the presence of Capital Gain Tax that "encourages" the quantitative funds to adopt more of a buy and hold approach to minimize paying taxes. Can be hard to outrun a passive ETF while paying a double digit capital gain tax.

(28-09-2014, 10:02 PM)CityFarmer Wrote: [ -> ]Both AVF and Walter's fund share similar philosophy and methodology. The only major difference is the level of diversification. Walter's fund performance (21% w/ fee) was 8% more than AVF's target (13% w/ fee).

Given that Walter had to cope with the capital gain tax and AVF may not, the comparison is even more lopsided.

(28-09-2014, 10:02 PM)CityFarmer Wrote: [ -> ]Thanks for the sharing of data. A 4% drop of performance, from 30+ stocks to 70+ stocks, seems consistent with AVF/Walter case study.

I actually would attribute my 4% drop in performance to the fact that my investment universe is too limiting. Going from 30+ to 70+ counters means going from 5 to 10% of the Singapore stock universe. AVF and Walter have far bigger stock universes to play with.

But there are upsides as well. I would put my current satisfactory performance using the quantitative approach to the micro caps in my portfolio, something AVF and Walter cannot do. So the effect of a large universe to select from is somewhat compensated by a smaller universe of very very small stocks.

Finally, if you do speak to them, AVF comes across as a more pure quantitative approach with less human override. They believe that too much human discretion may actually subtract value. Walter may use quantitative as a screen but I believe he does a lot more deep dive / special situations. To that extent, Walter maybe more akin to the focused approach.
(29-09-2014, 07:49 PM)nsengkia Wrote: [ -> ]Cannot comment on ETF passive and focus approach but your quantitative target seems a bit high especially for unleveraged funds.

Three quantitative fund management companies you may wish to take a look at are:

a. Research Affiliates (my typo mistake earlier - should be affiliates not associates) (http://www.researchaffiliates.com/Work%2.../Home.aspx)
b. Dimensional Fund Advisors (http://us.dimensional.com/strategies/performance.aspx)
c. LSV Asset Management (http://www.lsvasset.com/products/emergma...gmark.html)

The out performance is only of the order of a few hundred basis points over passive ETFs.

I believe the main constraint has to do with the presence of Capital Gain Tax that "encourages" the quantitative funds to adopt more of a buy and hold approach to minimize paying taxes. Can be hard to outrun a passive ETF while paying a double digit capital gain tax.

I will include them into my research scope. OK, let's focus on the "smart beta" approach. Since value funds within our context are having turnover of ~20%, i.e. approx 5 years holding. I am not so sure capital gain tax will make significant impact on performance. Anyway, a nice input.

Base on your view, the best performer of "smart beta" approach should be 10%-15% instead of my ~20%, right?

(29-09-2014, 07:49 PM)nsengkia Wrote: [ -> ]Finally, if you do speak to them, AVF comes across as a more pure quantitative approach with less human override. They believe that too much human discretion may actually subtract value. Walter may use quantitative as a screen but I believe he does a lot more deep dive / special situations. To that extent, Walter maybe more akin to the focused approach.

Base on available info on Walter Schloss, I really doubt he did deeper dive into each stock. He did it solo initially, and 2 persons later after aging. While AVF started with 3 persons and now 4. On average both are having a ratio of ~50 stock / person. I will say, the effort on each stock are comparable for both of them

A nice chat. Thank you
(29-09-2014, 09:42 AM)CityFarmer Wrote: [ -> ]
(28-09-2014, 04:29 PM)erickong Wrote: [ -> ]Value investors usually generate 10-15% long term. For those >15%, its exceptional skill and talent. So - whether its focused, or diversified, Buffett, Greenblatt, Graham, Neff, Klarman, Miller or Keynes style and so on - it will still work out in the end! Some may do better over certain periods, and be overtaken in other periods and so on - but all the VALUE STYLE works!

Thank you for this forum moderator.

I assume the approach does make a difference in performance, thus the focus of the topic here. I strongly feel that it does.

Thanks

I would like to share a preliminary finding, over a case study. The case study was base on Yeoman capital (as a representative of focus approach) and AVF (as a representative of quantitative approach). Both covered the same region and similar AUM.

Sources :
http://yeomancapitalmanagement.com/performance/
http://www.aggregate.com.sg/performance/

The preliminary findings are

Over a period of Dec 2012 - Jun 2014, the average monthly return was AVF (0.98%) and Yeoman (1.61%). It shows focus approach's performance is significantly better (+64% better)

The standard deviations were AVF (1.9 ppt) and Yeoman (2.1 ppt) over the same period. I reckon the AVF broader diversification does help to reduce the volatility, over the Yeoman, but does it worth it? Hmm...Big Grin
err based on your logic if A is +0.01% this year and B is +0.1% then B is 10X better? Smile

I presume you know Yeoman & Aggregate are "related"? Smile
(07-10-2014, 03:02 PM)specuvestor Wrote: [ -> ]err based on your logic if A is +0.01% this year and B is +0.1% then B is 10X better? Smile

I presume you know Yeoman & Aggregate are "related"? Smile

Yes, I know Yeoman and Aggregate are very closed, with Aggregate founders were trained by Yeoman. Big Grin

BTW, the % quoted is monthly, so a simple annualized performance were 11.76% (0.98% *12) and 19.32% (1.61%*12) over the period. The difference should be large enough for a preliminary conclusion, even though the duration is pretty short Tongue

Anyway, just a sharing of a preliminary result.
(07-10-2014, 11:36 AM)CityFarmer Wrote: [ -> ]I would like to share a preliminary finding, over a case study. The case study was base on Yeoman capital (as a representative of focus approach) and AVF (as a representative of quantitative approach). Both covered the same region and similar AUM.

I read from here that Yeoman had around 72 stocks, equal-weighted for diversification, and were spread over 5 countries.

Does that fit into your definition of "focus approach"?
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