He joins us this week on Tradestreaming Radio to discuss some of his recent research on expert community, SumZero and Joel Greenblatt’s Magic Formula, and lots more.
In its announcement of the launch of Empirical Finance Data, the company said the site is intended to accomplish a few goals
- Demystify quantitative long/short.
- In our mind, the only reason many fund managers can pitch overpriced products to investors, is due to a serious information asymmetry problem. We are here to shakes things up a bit.
- Currently, the only way to access quantitative long/short equity is via expensive private placement vehicles (e.g., hedge funds), expensive mutual funds, and expensive managed accounts. The key theme across all these vehicles is the following theme, “EXPENSIVE.”
- Allow “hands-on” investors an opportunity to build straight forward quantitative portfolios using high-quality data via our basic screening tools.
That’s cool for me — that’s what Tradestreaming is all about. Finding the tools, data and research to make more accurate — profitable — investment decisions. This dovetails nicely into the category we call Stock Screening 2.0 — using technology and proven investment techniques to quantify the investment process.
The screener is super simple and currently sizes stocks up in 4 ways
- Joel Greeblatt’s Magic Formula
- Piotroski’s F-score
- Novy-Marx’s Profit and Value Score
- Cooper, Gulen and Schill’s Asset Growth strategy
Users can search for all rankings of an individual stock or screen for the highest ranking stocks in a particular screen according to market cap. Check it out.
Empirical Finance Data Services (Empirical Finance Blog)
What is Tradestreaming: Screening 2.0 (Tradestreaming)
John Reese’s The Guru Investor: How to beat the market using history’s best investment strategies (Tradestreaming Bookshelf) provides great research for investors interested in creating guru strategies that recreate the types of investments history’s best investors made (guys like Lynch, Buffett, Graham, etc.)