Empiritrage, LLC, an SEC Registered Investment Advisor, is pleased to announce the formal launch of its new flagship Empirical Quantitative Value (“EQV”) strategy with a strategic investment of $20,600,000 from a multi-billion dollar family office located in New York, New York.
EQV is based on the strategies developed by Wesley R. Gray., a University of Chicago Finance Ph.D. and an Assistant Professor of Finance at Drexel University. Dr. Gray’s new book, Quantitative Value: A Practitioner’s Guide to Automating Intelligent Investment and Eliminating Behavioral Errors is being released by John Wiley & Sons in December 2012 (co-authored with Tobias Carlisle). The book has been praised by numerous professionals, including quantitative developers at Blackrock and AQR as well as leading academics at Columbia Business School and The Wharton School at the University of Pennsylvania.
The book’s inspiration began as a response to the promising, but simplistic, systematic value strategy (referred to as the “Magic Formula”) outlined in Joel Greenblatt’s Little Book that Beats the Market. Quantitative Value takes the Magic Formula to the next level, achieving historical performance that is superior to the simple formula outlined in Greenblatt’s book. EQV achieves amazing results by incorporating cutting-edge academic research into a unified value-investing framework. Past systematic value strategies have been limited in their approach, typically investing in large baskets of equities selected for their cheapness, as measured by traditional value factors like price to book, earnings yield, or free cash flow. EQV achieves superior results by taking models developed by the world’s top professors and finding a sophisticated way to create a systematic value engine that excels at identifying mispriced securities with large margins of safety.
The EQV strategies are implemented via a managed account platform. The Funds are designed to outperform competitor systematic value systems while maintaining a high degree of tax efficiency. Empiritrage, LLC charges a 0.95% management fee and no performance fee.
Comprehensive Asset Allocation (CALM), a proprietary market-timing overly for the EQV product set is offered for investors seeking absolute returns with tax and risk management. CALM utilizes a combination of technical signals with macro fundamentals and valuation metrics to determine allocation decisions. CALM is offered for an additional performance fee of 10%.