Ben Graham Was a Quant - Raising the Iq of the Intelligent Investor

Informationen zum Autor STEVEN P. GREINER, Ph.D., 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. Klappentext 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. 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 Ben Graham Was a Quant 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 with current software, and discuss how to combine them into a quantitative model. Along the way, Ben Graham Was a Quant 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. One of the best aspects of quantitative investing is that it ultimately leads to disciplined, and intelligent, investing. Ben Graham Was a Quant will help you achieve this goal by codifying Graham's value philosophy and combining it with quantitative methods?all 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. Zusammenfassung Innovative insights on creating models that will help you become a disciplined intelligent investor 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. Inhaltsverzeichnis Preface xi Introduction: The Birth of the Quant 1 Characterizing the Quant 3 Active versus Passive Investing 6 Chapter 1 Desperately Seeking Alpha 11 The Beginnings of the Modern Alpha Era 16 Important History of Investment Management 18 Methods of Alpha Searching 20 Chapter 2 Risky Business 27 Experienced versus Exposed Risk 28 The Black Swan: A Minor ELE Event-Are Quants to Blame? 34 Active versus Passive Risk 38 Other Risk Measures: VAR, C-VAR, and ETL 49 Summary 52 Chapter 3 Beta is Not "Sharpe" Enough 55 Back to Beta 64 Beta and Volatility 65 The Way to a Better Beta: Introducing the g-Factor 67 Tracking Error: The Deviant Differential Measurer 75 Summary 77 Chapter 4 Mr. Graham, I Give You Intelligence 79 Fama-French Equation 81 The Graham Formula 89 Factors for Use in Quant Models 90 Momentum: Increasing Investor Interest 96 Volatility as a Factor in Alpha Models 113 Chapter 5 Modeling Pitfalls and Perils 123 Data Availability, Look-Ahead, and Survivor...

Sommario

Preface.
 
Introduction: The Birth of the Quant.
 
Characterizing the Quant.
 
Active versus Passive Investing.
 
Chapter 1: Desperately Seeking Alpha.
 
The Beginnings of the Modern Alpha Era.
 
Important History of Investment Management.
 
Methods of Alpha Searching.
 
Chapter 2: Risky Business.
 
Experienced versus Exposed Risk.
 
The Black Swan: A Minor ELE Event--Are Quants to Blame?
 
Active versus Passive Risk.
 
Other Risk Measures: VAR, CVAR, and ETL.
 
Summary.
 
Chapter 3: Beta Is Not Sharpe Enough.
 
Back to Beta.
 
Beta and Volatility.
 
The Way to a Better "Beta": Introducing the g-Factor.
 
Tracking Error: The Deviant Differential Measurer.
 
Summary.
 
Chapter 4: Mr. Graham, I Give You Intelligence.
 
Fama-French Equation.
 
The Graham Formula.
 
Factors for Use in Quant Models.
 
Momentum: Increasing Investor Interest.
 
Volatility as a Factor in Alpha Models.
 
Chapter 5: Modeling Pitfalls and Perils.
 
Data Availability, Look-Ahead, and Survivorship Biases.
 
Building Models One Can Trust.
 
Scenario, Out-Of-Sample, and Shock Testing.
 
Data Snooping and Mining.
 
Statistical Significance and Other Fascinations.
 
Choosing an Investment Philosophy.
 
Growth, Value, Quality.
 
Investment Consultant as Dutch Uncle.
 
Where are the Relative Growth Managers?
 
Chapter 6: Testing the Graham "Crackers"...er, Factors.
 
The First Tests: Sorting.
 
Time-Series Plots.
 
The Next Tests: Scenario Analysis.
 
Chapter 7: Building Models from Factors.
 
Surviving Factors.
 
Weighting the Factors.
 
The Art versus Science of Modeling.
 
Time-Series of Returns.
 
Other Conditional Information.
 
The Final Model.
 
Other Methods of Measuring Performance: Attribution Analysis Via Brinson and Risk Decomposition.
 
Regression of the Graham Factors with Forward Returns.
 
Chapter 8: Building Portfolios from Models.
 
The Deming Way: Benchmarking Your Portfolio.
 
Portfolio Construction Issues.
 
Using an Online Broker: Fidelity, E*Trade, TD-Ameritrade, Schwab, Interactive Brokers, and TradeStation.
 
Working with A Professional Investment Management System: Bloomberg, Clarify, and Factset.
 
Chapter 9: Barguments: The Anti-Dementia Bacterium.
 
The Colossal Non-Failure of Asset Allocation.
 
The Stock Market as a Class of Systems.
 
Stochastic Portfolio Theory: An Introduction.
 
Portfolio Optimization: The Layman's Perspective.
 
Tax-Efficient Optimization.
 
Summary.
 
Chapter 10: Past and Future View.
 
Why did Global Contagion and Meltdown Occur?
 
Fallout of Crises.
 
The Rise of the Multi-National State Owned Enterprises.
 
The Emerged Markets.
 
The Future Quant.
 
Notes.
 
Acknowledgments.
 
About the Author.
 
Index.

Dettagli sul prodotto

• Autori: Greiner, S Greiner, Steven Greiner, Steven P Greiner, Steven P. Greiner, Greiner Steven P.
• Editore: Wiley, John and Sons Ltd
• Lingue: Inglese
• Formato: Copertina rigida
• Pubblicazione: 15.04.2011
• EAN: 9780470642078
• ISBN: 978-0-470-64207-8
• Pagine: 352
• Serie: Wiley Finance; Wiley Finance Editions; The Wiley Finance Series; Wiley Finance; Wiley Finance Editions
• Categorie: Scienze sociali, diritto, economia > Economia > Economia aziendale; Finanzwesen, Finance & Investments, Finanz- u. Anlagewesen, Spezialthemen Finanz- u. Anlagewesen, Finance & Investments Special Topics