[ This article is based on Chapter 3 of Equity Management by Jacobs and Levy ] It is not easy to tell who is the real deal when they about investing in equities and who is merely making up a story on a good investment strategy ? The really smart quants have a decent answer : Disentanglement. When we say that a low P/E strategy produces returns which are above average compared to the rest of the markets, this concept of P/E is entangled with many other value measures. If lower P/E stocks also tend to be smaller companies, then it may well be said that the outperformance was attributed to smaller companies rather than the low P/E strategy itself. Do deal with this problem,  the quants will employ a mathematical process to disentangle P/E from the effect of small companies. One possible approach would be to divide companies into buckets ......