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Successfully implementing a value strategy cannot be codified into an algo EDIT: There are just too many exceptions and nuances. Every single investment involv
by gbasin 13y ago
Successfully implementing a value strategy cannot be codified into an algo
EDIT: There are just too many exceptions and nuances. Every single investment involves more exceptions and nuances that would need to be coded. And if you don't think so, I would bet you don't have alpha :)
- nissimk 13y agoI guess I'm agreeing with your statement "Successfully," but it doesn't mean it hasn't been tried: http://www.jatit.org/volumes/Vol51No1/24Vol51No1.pdf http://www.jatit.org/volumes/Vol51No1/24Vol51No1.pdf Also, weren't the quant funds that were involved in the summer 2007 blowup all running automated value strategies based on Fama+French factor models? It works really great until it doesn't.
- gbasin 13y agoOh plenty of tryers. Value investing is a lot harder than it looks. And what you're talking about isn't really the definition of value investing (like graham-dodd + infinite details on the individual companies). Those quant funds were running factor models and mid-frequency stat arb