Details
Ben Graham Was a Quant
Raising the IQ of the Intelligent InvestorWiley Finance, Band 600 1. Aufl.
32,99 € |
|
Verlag: | Wiley |
Format: | |
Veröffentl.: | 02.02.2011 |
ISBN/EAN: | 9781118013380 |
Sprache: | englisch |
Anzahl Seiten: | 352 |
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Beschreibungen
<b>Innovative insights on creating models that will help you become a disciplined intelligent investor</b> <p>The pioneer of value investing, Benjamin Graham, believed in a philosophy that continues to be followed by some of today's most successful investors, such as Warren Buffett. Part of this philosophy includes adhering to your stock selection process come "hell or high water" which, in his view, was one of the most important aspects of investing.</p> <p>So, if a quant designs and implements mathematical models for predicting stock or market movements, what better way to remain objective, then to invest using algorithms or the quantitative method? This is exactly what <i>Ben Graham Was a Quant</i> will show you how to do. Opening with a brief history of quantitative investing, this book quickly moves on to focus on the fundamental and financial factors used in selecting "Graham" stocks, demonstrate how to test these factors, and discuss how to combine them into a quantitative model.</p> <ul> <li>Reveals how to create custom screens based on Ben Graham's methods for security selection</li> <li>Addresses what it takes to find those factors most influential in forecasting stock returns</li> <li>Explores how to design models based on other styles and international strategies</li> </ul> <p>If you want to become a better investor, you need solid insights and the proper guidance. With <i>Ben Graham Was a Quant</i>, you'll receive this and much more, as you learn how to create quantitative models that follow in the footsteps of Graham's value philosophy.</p>
<p>Preface xi</p> <p><b>Introduction: The Birth of the Quant 1</b></p> <p>Characterizing the Quant 3</p> <p>Active versus Passive Investing 6</p> <p><b>Chapter 1 Desperately Seeking Alpha 11</b></p> <p>The Beginnings of the Modern Alpha Era 16</p> <p>Important History of Investment Management 18</p> <p>Methods of Alpha Searching 20</p> <p><b>Chapter 2 Risky Business 27</b></p> <p>Experienced versus Exposed Risk 28</p> <p>The Black Swan: A Minor ELE Event—Are Quants to Blame? 34</p> <p>Active versus Passive Risk 38</p> <p>Other Risk Measures: VAR, C-VAR, and ETL 49</p> <p>Summary 52</p> <p><b>Chapter 3 Beta is Not “Sharpe” Enough 55</b></p> <p>Back to Beta 64</p> <p>Beta and Volatility 65</p> <p>The Way to a Better Beta: Introducing the g-Factor 67</p> <p>Tracking Error: The Deviant Differential Measurer 75</p> <p>Summary 77</p> <p><b>Chapter 4 Mr. Graham, I Give You Intelligence 79</b></p> <p>Fama-French Equation 81</p> <p>The Graham Formula 89</p> <p>Factors for Use in Quant Models 90</p> <p>Momentum: Increasing Investor Interest 96</p> <p>Volatility as a Factor in Alpha Models 113</p> <p><b>Chapter 5 Modeling Pitfalls and Perils 123</b></p> <p>Data Availability, Look-Ahead, and Survivorship Biases 124</p> <p>Building Models You Can Trust 127</p> <p>Scenario, Out-of-Sample, and Shock Testing 131</p> <p>Data Snooping and Mining 139</p> <p>Statistical Significance and Other Fascinations 140</p> <p>Choosing an Investment Philosophy 148</p> <p>Growth, Value, Quality 149</p> <p>Investment Consultant as Dutch Uncle 152</p> <p>Where Are the Relative Growth Managers? 154</p> <p><b>Chapter 6 Testing the Graham Crackers . . . er, Factors 159</b></p> <p>The First Tests: Sorting 160</p> <p>Time-Series Plots 173</p> <p>The Next Tests: Scenario Analysis 182</p> <p><b>Chapter 7 Building Models from Factors 193</b></p> <p>Surviving Factors 194</p> <p>Weighting the Factors 197</p> <p>The Art versus Science of Modeling 200</p> <p>Time Series of Returns 210</p> <p>Other Conditional Information 215</p> <p>The Final Model 217</p> <p>Other Methods of Measuring Performance: Attribution Analysis via Brinson and Risk Decomposition 220</p> <p>Regression of the Graham Factors with Forward Returns 228</p> <p><b>Chapter 8 Building Portfolios from Models 233</b></p> <p>The Deming Way: Benchmarking Your Portfolio 235</p> <p>Portfolio Construction Issues 247</p> <p>Using an Online Broker: Fidelity, E*Trade, TD Ameritrade, Schwab, Interactive Brokers, and TradeStation 249</p> <p>Working with a Professional Investment Management System: Bloomberg, Clarifi, and FactSet 251</p> <p><b>Chapter 9 Barguments: The Antidementia Bacterium 255</b></p> <p>The Colossal Nonfailure of Asset Allocation 256</p> <p>The Stock Market as a Class of Systems 258</p> <p>Stochastic Portfolio Theory: An Introduction 266</p> <p>Portfolio Optimization: The Layman’s Perspective 276</p> <p>Tax-Efficient Optimization 282</p> <p>Summary 282</p> <p><b>Chapter 10 Past and Future View 285</b></p> <p>Why Did Global Contagion and Meltdown Occur? 292</p> <p>Fallout of Crises 297</p> <p>The Rise of the Multinational State-Owned Enterprises 301</p> <p>The Emerged Markets 310</p> <p>The Future Quant 311</p> <p>Notes 317</p> <p>Acknowledgments 325</p> <p>About the Author 327</p> <p>Index 329</p>
<p><b>STEVEN P. GREINER, Ph.D.,</b> has served as the senior quantitative strategist and portfolio manager for Allegiant Asset Management (now wholly owned by PNC Capital Advisors) and was a member of its Investment Committee. Prior to this, he was a senior quantitative strategist for large capitalization investments at Harris Investment Management. He has more than twenty years of quantitative and modeling experience. Currently, Dr. Greiner is the head of Risk Research for FactSet Research Systems. He received a BS in mathematics and chemistry from the University of Buffalo, an MS and PhD in physical chemistry from the University of Rochester, and attained postdoctoral experience from the Free University Berlin, Department of Physics.
<p>The pioneer of value investing, Benjamin Graham, believed in a philosophy that continues to be followed by some of today's most successful investors, such as Warren Buffett. Part of this philosophy includes adhering to your stock selection process come "hell or high water," which, in his view, was one of the most important aspects of investing. <p>So, if a quant designs and implements mathematical models for predicting stock or market movements, what better way to remain objective than to invest using algorithms in a quantitative method? This is exactly what <i>Ben Graham Was a Quant</i> will show you how to do. <p>Opening with a brief history of quantitative investing, this book quickly moves on to focus on the fundamental and financial factors used in selecting "Graham" stocks, demonstrate how to test these factors with current software, and discuss how to combine them into a quantitative model. Along the way, <i>Ben Graham Was a Quant</i> also takes the time to define the search for Alpha and explain what it is, highlight some of the inadequacies of modern portfolio theory, and introduce specific risk measures you should become familiar with. <p>One of the best aspects of quantitative investing is that it ultimately leads to disciplined, and intelligent, investing. <i>Ben Graham Was a Quant</i> will help you achieve this goal by codifying Graham's value philosophy and combining it with quantitative methodsall while using a minimum of mathematics. With this book as your guide, you'll discover a better way to invest, as you learn how to create quantitative models that follow in the footsteps of Graham's proven value approach.
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