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Produktbild: Quantitative Value

Quantitative Value A Practitioner's Guide to Automating Intelligent Investment and Eliminating Behavioral Errors

Aus der Reihe Wiley Finance

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

08.02.2013

Verlag

John Wiley & Sons

Seitenzahl

288

Maße (L/B/H)

23,6/15,9/3 cm

Gewicht

483 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-118-32807-1

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

08.02.2013

Verlag

John Wiley & Sons

Seitenzahl

288

Maße (L/B/H)

23,6/15,9/3 cm

Gewicht

483 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-118-32807-1

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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Die Leseprobe wird geladen.
  • Produktbild: Quantitative Value
  • Preface xi

    Acknowledgments xiii

    PART ONE The Foundation of Quantitative Value 1

    CHAPTER 1 The Paradox of Dumb Money 3

    Value Strategies Beat the Market 9

    How Quantitative Investing Protects against Behavioral Errors 23

    The Power of Quantitative Value Investing 30

    Notes 32

    CHAPTER 2 A Blueprint to a Better Quantitative Value Strategy 35

    Greenblatt's Magic Formula 36

    It's All Academic: Improving Quality and Price 45

    Strategy Implementation: Investors Behaving Badly 54

    Notes 59

    PART TWO Margin of Safety-How to Avoid a Permanent Loss of Capital 61

    CHAPTER 3 Hornswoggled! Eliminating Earnings Manipulators and Outright Frauds 63

    Accruals and the Art of Earnings Manipulation 64

    Predicting PROBMs 72

    Notes 79

    CHAPTER 4 Measuring the Risk of Financial Distress: How to Avoid the Sick Men of the Stock Market 81

    A Brief History of Bankruptcy Prediction 83

    Improving Bankruptcy Prediction 85

    How We Calculate the Risk of Financial Distress 86

    Scrubbing the Universe 89

    Notes 91

    PART THREE Quality-How to Find a Wonderful Business 93

    CHAPTER 5 Franchises-The Archetype of High Quality 95

    The Chairman's Secret Recipe 96

    How to Find a Franchise 99

    Notes 112

    CHAPTER 6 Financial Strength: Foundations Built on Rock 113

    The Piotroski Fundamentals Score (F_SCORE) 114

    Our Financial Strength Score (FS_SCORE) 119

    Comparing the Performance of Piotroski's F_SCORE and Our

    FS_SCORE 122

    Case Study: Lubrizol Corporation 123

    Notes 126

    PART FOUR The Secret to Finding Bargain Prices 127

    CHAPTER 7 Price Ratios: A Horse Race 129

    The Horses in the Race 130

    Rules of the Race 133

    The Race Call 134

    A Price Ratio for All Seasons 141

    The Offi cial Winner 142

    Notes 143

    CHAPTER 8 Alternative Price Measures-Normalized Earning Power and Composite Ratios 145

    Normalized Earning Power 147

    Compound Price Ratios: Is the Whole Greater than

    the Sum of Its Parts? 150

    Notes 163

    PART FIVE Corroborative Signals 165

    CHAPTER 9 Blue Horseshoe Loves Anacott Steel: Follow the Signals from the Smart Money 167

    Stock Buybacks, Issuance, and Announcements 169

    Insider Traders Beat the Market 173

    Activism and Cloning 176

    Short Money Is Smart Money 179

    Notes 182

    PART SIX Building and Testing the Model 185

    CHAPTER 10 Bangladeshi Butter Production Predicts the S&P 500 Close 187

    Sustainable Alpha: A Framework for Assessing Past Results 189

    What's the Big Idea? 191

    Rigorously Test the Big Idea 196

    The Parameters of the Universe 206

    Notes 208

    CHAPTER 11 Problems with the Magic Formula 211

    Glamour Is Always a Bad Bet 216

    Improving the Structure of a Quantitative Value Strategy 218

    Our Final Quantitative Value Checklist 222

    Notes 228

    CHAPTER 12 Quantitative Value Beats the Market 229

    Risk and Return 231

    Robustness 239

    A Peek Inside the Black Box 249

    Man versus Machine 257

    Beating the Market with Quantitative Value 262

    Notes 264

    Appendix: Analysis Legend 265

    About the Authors 267

    About the Companion Website 269

    Index 271