Quantitative Strategies for Achieving Alpha: The Standard and Poor's Approach to Testing Your Investment Choices
McGraw Hill Professional, 1 dec. 2008 - 336 pagina's
Alpha, higher-than-expected returns generated by an investment strategy, is the holy grail of the investment world. Achieve alpha, and you've beaten the market on a risk-adjusted basis. Quantitative Strategies for Achieving Alpha was borne from equity analyst Richard Tortoriello's efforts to create a series of quantitative stock selection models for his company, Standard & Poor's, and produce a “road map” of the market from a quantitative point of view.
With this practical guide, you will gain an effective instrument that can be used to improve your investment process, whether you invest qualitatively, quantitatively, or seek to combine both. Each alpha-achieving strategy has been extensively back-tested using Standard & Poor's Compustat Point in Time database and has proven to deliver alpha over the long term. Quantitative Strategies for Achieving Alpha presents a wide variety of individual and combined investment strategies that consistently predict above-market returns. The result is a comprehensive investment mosaic that illustrates clearly those qualities and characteristics that make an investment attractive or unattractive. This valuable work contains:
This powerful, data intensive book will help you clearly see what empirically drives the market, while providing the tools to make more profitable investment decisions based on that knowledge--through both bull and bear markets.
Wat mensen zeggen - Een review schrijven
Chapter 10 Red Flags
Chapter 11 Collected Wisdom
Chapter 12 Combining The Factors
Chapter 13 Integrating the Strategies into Your Investment Approach
Chapter 9 Price Momentum