| |
| |
| Preface | |
| |
| |
| Acknowledgments | |
| |
| |
| |
| The Foundation of Quantitative Value | |
| |
| |
| |
| The Paradox of Dumb Money | |
| |
| |
| Value Strategies Beat the Market | |
| |
| |
| How Quantitative Investing Protects against Behavioral Errors | |
| |
| |
| The Power of Quantitative Value Investing | |
| |
| |
| Notes | |
| |
| |
| |
| A Blueprint to a Better Quantitative Value Strategy | |
| |
| |
| Greenblatt's Magic Formula | |
| |
| |
| It's All Academic: Improving Quality and Price | |
| |
| |
| Strategy Implementation: Investors Behaving Badly | |
| |
| |
| Notes | |
| |
| |
| |
| Margin of Safety-How to Avoid a Permanent Loss of Capital | |
| |
| |
| |
| Hornswoggled! Eliminating Earnings Manipulators and Outright Frauds | |
| |
| |
| Accruals and the Art of Earnings Manipulation | |
| |
| |
| Predicting PROBMs | |
| |
| |
| Notes | |
| |
| |
| |
| Measuring the Risk of Financial Distress: How to Avoid the Sick Men of the Stock Market | |
| |
| |
| A Brief History of Bankruptcy Prediction | |
| |
| |
| Improving Bankruptcy Prediction | |
| |
| |
| How We Calculate the Risk of Financial Distress | |
| |
| |
| Scrubbing the Universe | |
| |
| |
| Notes | |
| |
| |
| |
| Quality-How to Find a Wonderful Business | |
| |
| |
| |
| Franchises-The Archetype of High Quality | |
| |
| |
| The Chairman's Secret Recipe | |
| |
| |
| How to Find a Franchise | |
| |
| |
| Notes | |
| |
| |
| |
| Financial Strength: Foundations Built on Rock | |
| |
| |
| The Piotroski Fundamentals Score (F_SCORE) | |
| |
| |
| Our Financial Strength Score (FS_SCORE) | |
| |
| |
| Comparing the Performance of Piotroski's F_SCORE and Our FS_SCORE | |
| |
| |
| Case Study: Lubrizol Corporation | |
| |
| |
| Notes | |
| |
| |
| |
| The Secret to Finding Bargain Prices | |
| |
| |
| |
| Price Ratios: A Horse Race | |
| |
| |
| The Horses in the Race | |
| |
| |
| Rules of the Race | |
| |
| |
| The Race Call | |
| |
| |
| A Price Ratio for All Seasons | |
| |
| |
| The Official Winner | |
| |
| |
| Notes | |
| |
| |
| |
| Alternative Price Measures-Normalized Earning Power and Composite Ratios | |
| |
| |
| Normalized Earning Power | |
| |
| |
| Compound Price Ratios: Is the Whole Greater than the Sum of Its Parts? | |
| |
| |
| Notes | |
| |
| |
| |
| Corroborative Signals | |
| |
| |
| |
| Blue Horseshoe Loves Anacott Steel: Follow the Signals from the Smart Money | |
| |
| |
| Stock Buybacks, Issurance, and Announcements | |
| |
| |
| Insider Traders Beat the Market | |
| |
| |
| Activism and Cloning | |
| |
| |
| Short Money Is Smart Money | |
| |
| |
| Notes | |
| |
| |
| |
| Building and Testing the Model | |
| |
| |
| |
| Bangladeshi Butter Production Predicts the S&P 500 Close | |
| |
| |
| Sustainable Alpha: A Framework for Assessing Past Results | |
| |
| |
| What's the Big Idea? | |
| |
| |
| Rigorously Test the Big Idea | |
| |
| |
| The Parameters of the Universe | |
| |
| |
| Notes | |
| |
| |
| |
| Problems with the Magic Formula | |
| |
| |
| Glamour Is Always a Bad Bet | |
| |
| |
| Improving the Structure of a Quantitative Value Strategy | |
| |
| |
| Our Final Quantitative Value Checklist | |
| |
| |
| Notes | |
| |
| |
| |
| Quantitative Value Beats the Market | |
| |
| |
| Risk and Return | |
| |
| |
| Robustness | |
| |
| |
| A Peek Inside the Black Box | |
| |
| |
| Man versus Machine | |
| |
| |
| Beating the Market with Quantitative Value | |
| |
| |
| Notes | |
| |
| |
| Appendix: Analysis Legend | |
| |
| |
| About the Authors | |
| |
| |
| About the Companion Website | |
| |
| |
| Index | |