Quantitative Value Composite
CONFIRMEDScreen out likely manipulators and distressed firms, buy the cheapest stocks on EBIT / enterprise value, then keep the highest quality. The book tests many value ratios and picks EBIT/EV as the best single measure.
| THE STRATEGY | $SPX BUY & HOLD | |
|---|---|---|
| Growth a year (CAGR) | 13.5% | 8.9% |
| Return per unit of risk (Sharpe) | 0.74 | 0.65 |
| Worst fall (max drawdown) | -62.8% | -52.6% |
// GROWTH OF $1, LOG SCALE
Tested on years it never saw (from the split): 16.4% a year against 12.4% for the benchmark; Sharpe 0.71 in the training years, 0.81 after.
After 25 bps of trading costs: 12.4% a year. WITHIN RANDOM
// DECADE BY DECADE
| ERA | STRATEGY | BENCHMARK |
|---|---|---|
| 1990s | 9.5% | 19.1% |
| 2000s | 9.6% | -2.6% |
| 2010s | 14.5% | 11.6% |
| 2020s | 22.0% | 14.1% |
// THE IDEA, AS PUBLISHED
Wesley R. Gray and Tobias E. Carlisle, Quantitative Value (2012) · 2012
- Drop firms flagged for earnings manipulation (accruals, M-score) or high distress risk
- Take the cheapest decile by EBIT / total enterprise value
- Keep the highest-quality names (franchise power + financial strength); equal weight, rebalance yearly
A real computation on the QuantGPT warehouse, survivorship-free, walk-forward. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-09-24 19:41 ON THE QUANTGPT WAREHOUSE: EVERY DELISTED NAME KEPT, FUNDAMENTALS AS FILED. NOT INVESTMENT ADVICE.