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

ISBN-10: 1118328078
ISBN-13: 9781118328071
Edition: 2012
List price: $57.50 Buy it from $50.05
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Description: Ed Thorp and Warren Buffett represent two spectrums of investing: one quantitative, one value driven. Where they align is in their belief that the market is beatable. This book seeks to take the best aspects of of quantitative investing and value  More...

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Book details

List price: $57.50
Copyright year: 2012
Publisher: John Wiley & Sons, Limited
Publication date: 2/8/2013
Binding: Hardcover
Pages: 288
Size: 6.25" wide x 9.25" long x 1.00" tall
Weight: 0.902
Language: English

Ed Thorp and Warren Buffett represent two spectrums of investing: one quantitative, one value driven. Where they align is in their belief that the market is beatable. This book seeks to take the best aspects of of quantitative investing and value investing as disciplines and apply them to a completely unique approach to stock selection. Such an approach has several advantages over pure quantitative or pure value investing. This new investing strategy, framed by the book, is known as Quantitative Value, a superior, market-beating approach to investing in stocks.

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

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