Notes and Resources

  1. Watts, William, "The next frontier in investing is 'quantamental' stock picking," MarketWatch, October 29, 2018, available at https://www.marketwatch.com/story/the-next-frontier-in-investing-is-quantamental-stock-picking-2018-10-03 (accessed December 26, 2019).

  2. Bloomberg Professional Services, "The success of quantamental investing is rooted in process," Bloomberg, May 8, 2018, available at https://www.bloomberg.com/professional/blog/success-quantamental-investing-rooted-process/ (accessed December 26, 2019).

  3. Constable, Simon, "What is 'Quantamental' Investing?" Wall Street Journal, April 7, 2019, available at https://www.wsj.com/articles/what-is-quantamental-investing-11554688800 (accessed December 24, 2019).

  4. Bochman, Alon, "Can Quantamental Save Active Investing?" CFA Institute, April 19, 2018, https://blogs.cfainstitute.org/investor/2018/04/19/can-quantamental-save-active-investing/ (accessed December 26, 2019).

  5. Wigglesworth, Robin, “Quant hedge funds set to surpass $1tn management mark,” Financial Times, January 8, 2018, available at https://www.ft.com/content/ff7528bc-ec16-11e7-8713-513b1d7ca85a (accessed December 31, 2019).

  6. See, e.g., Buffett, Warren, Berkshire Hathaway Inc. 2008 Shareholders’ Letter, February 27, 2009, available at http://www.berkshirehathaway.com/letters/2008ltr.pdf (accessed December 31, 2019) (“Long ago, Ben Graham taught me that ‘Price is what you pay; value is what you get.’ Whether we’re talking about socks or stocks, I like buying quality merchandise when it is marked down.”).

  7. See, e.g., Gray, Wesley R., and Tobias E. Carlisle, Quantitative Value: A Practitioner’s Guide to Automating Intelligent Investment and Eliminating Behavioral Errors, John Wily & Sons, Inc., 2013, p. 12 (“[A]dherents to the efficient market hypothesis…argue that price and value cannot be distinct in practice because all information about a security’s value is immediately incorporated into the price”).

  8. See, e.g., Fama, Eugene F., and Kenneth R. French, “The Cross-Section of Expected Stock Returns,” Journal of Finance, 47:2, June 1992, pp. 427-465; Fama, Eugene F., and Kenneth R. French, “Common risk factors in the returns on stocks and bonds,” Journal of Financial Economics, 33, 1993, pp. 3-56; Asness, Clifford S., Tobias J. Moskowitz, and Lasse Heje Pedersen, “Value and Momentum Everywhere,” Journal of Finance, 68:3, June 2013, pp. 929-985.

  9. It has also been argued that these factors capture risk, rather than mispricing. See, e.g., Penman, Stephen H., and Francesco Reggiani, “Fundamentals of Value vs. Growth Investing and an Explanation for the Value Trap,” Financial Analysts Journal, 74:4, Fourth Quarter 2018, pp. 103-119.

  10. Wigglesworth, Robin, “Quant hedge funds set to surpass $1tn management mark,” Financial Times, January 8, 2018, available at https://www.ft.com/content/ff7528bc-ec16-11e7-8713-513b1d7ca85a (accessed December 31, 2019).

  11. Twain, Mark, The Jumping Frog: In English, Then in French, Then Clawed Back Into a Civilized Language Once More By Patient, Unremunerated Toil, Harper & Brothers, 1903, p. 64.

  12. Beilfuss, Lisa, and Alexander Osipovich, “The Race to Zero Commissions: After decades of discounts, the price of trading is suddenly zero with online brokers finding new ways to make money from clients,” Wall Street Journal, October 5, 2019, available at https://www.wsj.com/articles/the-race-to-zero-commissions-11570267802 (accessed December 30, 2019).