A must-read book on the quantitative value investment
strategy
Warren Buffett and Ed Thorp represent two spectrums of
investing: one value driven, one quantitative. Where they align is
in their belief that the market is beatable. This book seeks to
take the best aspects of value investing and quantitative investing
as disciplines and apply them to a completely unique approach to
stock selection. Such an approach has several advantages over pure
value or pure quantitative investing. This new investing strategy
framed by the book is known as quantitative value, a superior,
market-beating method to investing in stocks.
Quantitative Value provides practical insights into an
investment strategy that links the fundamental value investing
philosophy of Warren Buffett with the quantitative value approach
of Ed Thorp. It skillfully combines the best of Buffett and Ed
Thorp--weaving their investment philosophies into a winning,
market-beating investment strategy.
* First book to outline quantitative value strategies as they are
practiced by actual market practitioners of the discipline
* Melds the probabilities and statistics used by quants such as
Ed Thorp with the fundamental approaches to value investing as
practiced by Warren Buffett and other leading value investors
* A companion Website contains supplementary material that allows
you to learn in a hands-on fashion long after closing the book
If you're looking to make the most of your time in today's
markets, look no further than Quantitative Value.
Autorentext
WESLEY R. GRAY, PHD, is the founder and executive managing member of Empiritrage, LLC, an SEC-registered investment advisor; and Turnkey Analyst, LLC, a firm dedicated to educating and sharing quantitative investment techniques to the general public. He is also an assistant professor of finance at Drexel University's LeBow College of Business, where his research focus is on value investing and behavioral finance. Professor Gray teaches graduate-level investment management and a seminar on hedge fund strategies and operations. His professional and leadership experiences include over fourteen years building systematic trading systems, trading special situations, and service as a U.S. Marine Corps intelligence officer (Captain) in Iraq and various posts in Asia. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago Booth School of Business. He graduated magna cum laude with a BS in economics from the Wharton School, University of Pennsylvania.
TOBIAS E. CARLISLE, LLB, is the founder and managing member of Eyquem Investment Management LLC, portfolio manager of the Eyquem Fund LP, and the author of the award-winning website greenbackd.com, which covers deep value, contrarian, and activist investment strategies. He has extensive experience in activist investment, company valuation, public company corporate governance, and mergers and acquisitions law. Prior to founding Eyquem, Carlisle was an analyst at an activist hedge fund, general counsel of a company listed on the Australian Stock Exchange, and a corporate advisory lawyer. As a lawyer specializing in mergers and acquisitions, he has advised on transactions across a variety of industries in the United States, the United Kingdom, China, Australia, Singapore, Bermuda, Papua New Guinea, New Zealand, and Guam, ranging in value from $50 million to $2.5 billion. He is a graduate of the University of Queensland in Australia with degrees in law and business (management).
Zusammenfassung
A must-read book on the quantitative value investment strategy
Warren Buffett and Ed Thorp represent two spectrums of investing: one value driven, one quantitative. Where they align is in their belief that the market is beatable. This book seeks to take the best aspects of value investing and quantitative investing as disciplines and apply them to a completely unique approach to stock selection. Such an approach has several advantages over pure value or pure quantitative investing. This new investing strategy framed by the book is known as quantitative value, a superior, market-beating method to investing in stocks.
Quantitative Value provides practical insights into an investment strategy that links the fundamental value investing philosophy of Warren Buffett with the quantitative value approach of Ed Thorp. It skillfully combines the best of Buffett and Ed Thorpweaving their investment philosophies into a winning, market-beating investment strategy.
- First book to outline quantitative value strategies as they are practiced by actual market practitioners of the discipline
- Melds the probabilities and statistics used by quants such as Ed Thorp with the fundamental approaches to value investing as practiced by Warren Buffett and other leading value investors
- A companion Website contains supplementary material that allows you to learn in a hands-on fashion long after closing the book
If you're looking to make the most of your time in today's markets, look no further than Quantitative Value.
Inhalt
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 …