Why Limit the Screener to 15 names above $10B?

Why Limit the Screener to 15 names above $10B?

February 24, 2013 Value Investing Research
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(Last Updated On: January 13, 2017)

Many Turnkeyanalyst.com users and book readers have pointed out that the screening tool is limited to 15 names above $10B, but the book outlines a system that holds 30-40 names and invests in stocks that can be much smaller.

Why the change?

Via Empiritrage, LLC we manage assets for clients in separately managed accounts. Some of our strategies are directly related to the screening technology discussed in Quantitative Value.

Due to the large amount of traffic and interest in the Quantitative Value system, the clients of Empiritrage, LLC strongly suggested that we limit access to the results from the Quantitative Value algorithm. When the client speaks, we have to listen. Capitalism works.

Does the Change Dramatically Affect Performance?

In short, not really. Returns drop off 1-2% depending on the assumptions used and the time periods analyzed, but the the punchline is still the same.

Here is a formal report on the subject:


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Definitions of common statistics used in our analysis are available here (towards the bottom)

About the Author

Wesley R. Gray, Ph.D.

After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes, ETF.com, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.