Quant Mashup - Greenbackd
International Evidence for The Acquirer's Multiple Investment Strategy [Greenbackd]
A new paper from Christian Walkshäusl and Sebastian Lobe* called The Enterprise Multiple Investment Strategy: International Evidence examines the performance of the enterprise multiple (EV/EBITDA) in international markets, including Australia, Canada, France, Germany, hong Kong, Japan, Singapore,
- 8 years ago, 11 Dec 2015, 08:58am -
What happens to value in sideways markets: Shiller PE and expected returns using Hussman’s method [Greenbackd]
Robert Shiller’s cyclically adjusted price earnings (CAPE) ratio takes a 10-year inflation-adjusted average of the S&P500’s earnings to arrive at a price/earnings metric smoothed for the business cycle. It’s useful because earnings tend to be volatile and mean reverting. For example, the
- 8 years ago, 18 Jul 2015, 11:11pm -
Discussing Deep Value and the Acquirer’s Multiple at Harvard [Greenbackd]
A little over a month ago I travelled to Harvard to speak to Michael Parzen’s business statistics class on Deep Value and the acquirer’s multiple. Here is the recording of that talk. You can get a free list of the best deep value stocks in the largest 1000 names on The Acquirer’s Multiple. Buy
- 8 years ago, 30 May 2015, 02:20am -
Dispersion by Market Capitalization: A Stock Picker’s Market [Greenbackd]
I’ve just finished the rough draft of a new book about concentrated value investing and the investors who practice it. One of the side-effects of extreme concentration is idiosyncratic portfolio performance–concentrated portfolios behave differently from the market. This makes sense. To beat the
- 8 years ago, 4 May 2015, 02:44pm -
Is Simpler Better? Quantopian tests the Acquirer’s Multiple and Joel Greenblatt’s Magic Formula [Greenbackd]
Josh Payne and the folks at Quantopian ran some tests on the performance of the acquirer’s multiple and Joel Greenblatt’s Magic Formula. I have argued in Deep Value and Quantitative Value that the acquirer’s multiple (enterprise value / operating earnings) tends to outperform the better known
- 9 years ago, 7 Apr 2015, 08:53pm -
Tomorrow: Don’t Miss Free Webinar “Portfolio Construction, Concentration, and Diversification for Value Investors” [Greenback
Tomorrow I’m hosting the live webinar “Portfolio Construction, Concentration, and Diversification for Value Investors.” There are only a few spots available in the room. The webinar will focus on portfolio construction and position sizing for value investors, including the philosophy of
- 9 years ago, 23 Feb 2015, 09:15pm -