Any thoughts in this 2 books? Has anyone read them?
Quantitative value
Quantitative momentum
By Wesley
Both are very good books. They are worth reading. Another great book is Deep Value, by Tobias Carlisle, one of the authors of Quantitative Value.
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Great Books I skimmed, espicially quantitative momentum gives a lot food for thought also on seasonality, momentum crashes, etc. and many statistics you don’t find elsewhere easily. Directionally totally helpful.
That said, keep in mind that it’s written from the POV of an ETF provider. I don’t remember the details of the books but Alphaarchitect usually exclude microcaps and keep it rather conservative. Imo many of their vanilla concepts worked great in mid to large until GFC but suffered since (and won’t come back to easily).
They are big defenders of mixed sleeve aproaches (building single factor portfolios and combining them) instead of integrated multifactor (building one multifactor portfolio of stocks at the cross-section of High-Mom + High-Value). It makes sense for institutional and if you want to sell a product (transparency + scalability) but for long-only retail DIY integrated multifactor is vastly superior.
Their ETFs as a portfolio did not really add value compared to $IWM. Same goes for Tobias Carlisle’s ETFs (DEEP+ZIG)
I vastly prefer “What Works on Wallstreet”.
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Yep, I have just finished rereading "what work..." And I am planning to buy new book. other ideas apart of this ones?
Yeah I don't know, beyond that investing books will give you big picture ideas and market history insights and maybe shape investor philosophy and resilience etc. but for true data insights, factor ideas, practical concepts etc. which are actually helpful for your investing, I think you have to switch to actual papers on SSRN or by AQR, OSAM, Robeco, Verdad, etc.
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Evidence-Based Technical Analysis, by David Aronson. A little bit too theoretical, but helped me a lot with some concepts.
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ScifoSpace,
I agree with Doney that What works on Wall street is a great book.
I read the 4th edition by James O’Shaughnessy about 15 years ago about the same time when I started using Bloomberg heavily in my day job and personal/family investments. I believe O’Shaughnessy has since setup a few Asset Management business based on the concepts on the book and some was later sold to Franklin Templeton. If I remember correctly, there are a lot of backtesting data in the book which started the Value Momentum investing approach. I just checked and they still have funds running under the OSAM brand. Here is a link below to O’Shaughnessy Micro Cap with annualized return. I have stopped spending time reading investment books for a while and now rely mostly on Bloomberg for ideas, information and data. Some academic papers from SSRN, ScienceDirect are useful but from what I understand from Andreas in X, it is probably more fruitful to spend time on exploring models with the AI factor using non-linear approaches (LightGBM, Extra Trees …etc) than studying investment books. Hope this helps.
Regards
James
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Does this give anything beyond his 100 Baggers book?
Is it completely different?
I made a real simple Wes Gray Quant Momentum ranking system and played around with it before. I was a bit underwhelmed but maybe you can do something with it or perhaps I didn’t code it exactly as he meant.
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What Works on Wall Street is indeed a terrific book, but it has some problems, which I've outlined here: Did What Works on Wall Street Stop Working? - Portfolio123 Blog
Other books that had a huge impact on me include Excess Returns by Frederik Vanhaverbeke and How Finance Works by Mihir Desai.
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I don´t know the book you mentioned. Can´t say if they are different.