内容简介
4 m2 O! I" U9 d$ w2 c; B1 } 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.+ L; o, w. x$ Q2 e( {
作者简介& b' R B: S% N: a( @8 ]. W$ F
Wesley R. Gray, Ph.D. is the founder and Chief Operating officer of Empirical Finance, LLC. He is also an Assistant Professor of Finance at Drexel University's Lebow College of Business where his research focus is on value investing and behavioral finance. Professor Gray teaches introductory investments and an advanced-level course on hedge fund strategies and operations. Dr. Gray's professional and leadership experiences include over twelve years trading special situations and micro-cap equities and service as a United States Marine Corps intelligence officer (Captain) in Iraq and various posts in Asia. Dr. Gray earned an MBA and a Ph.D. in finance from the University of Chicago Booth School of Business. He graduated magna cum laude with a B.S in economics from The Wharton School, University of Pennsylvania. Tobias E. Carlisle is the founder of Eyquem Investment Management, manager of the Eyquem Global Value Fund and the Eyquem Fund, and the author of the well-regarded blog greenbackd.com. He is a former corporate advisory lawyer, practicing in Australia and the US. He has advised on a variety of transactions in the US, the UK, China, Australia, Singapore, Bermuda, Papua New Guinea, New Zealand, and Guam. He is a graduate of the University of Queensland in Australia with degrees in Law and Business(Management).
" {% b4 h7 ?3 ` r+ r( C% f9 ~! u目录) v) i1 k. |- ?. Q
Cover
. l7 X4 D8 Z6 d- pSeries C- Q0 s# O, W, B# f& a0 J# Y
Title Page
/ y( n, C. T% H: j1 bCopyright5 O1 b* `6 z. a9 F7 h+ _ P+ j8 u
Dedication
* ?4 y0 D- l% `1 x2 v) zPreface5 ?7 z$ j `) j7 @! v$ S* o3 q X
Acknowledgments a, ~/ [% A6 |' o! G
Part 1: The Foundation of Quantitative Value& ^* ? U, X$ H7 y: u3 |
Chapter 1: The Paradox of Dumb Money
. X- l" j5 O7 H) z2 pVALUE STRATEGIES BEAT THE MARKET
" N, u, g2 Z( R% A+ p9 I: [; [HOW QUANTITATIVE INVESTING PROTECTS AGAINST BEHAVIORAL ERRORS8 g" m$ P( j2 s$ ]% s
THE POWER OF QUANTITATIVE VALUE INVESTING0 y, F1 o: W: u
NOTES
8 _. |! d) i7 p6 ^9 [0 {2 y' }+ oChapter 2: A Blueprint to a Better Quantitative Value Strategy
+ P# h U0 f2 x3 [9 W/ lGREENBLATT'S MAGIC FORMULA
9 I/ o6 Q$ S5 ?6 E j" @6 {5 AIT'S ALL ACADEMIC: IMPROVING QUALITY AND PRICE
0 H8 d$ c* I5 _" X) g) PSTRATEGY IMPLEMENTATION: INVESTORS BEHAVING BADLY9 q' @6 h3 }! _3 U
NOTES
: j6 h) U1 a" TPart 2: Margin of Safety—How to Avoid a Permanent Loss of Capital
: T; G, X6 s8 Y. n( I# R+ q7 OChapter 3: Hornswoggled! Eliminating Earnings Manipulators and Outright Frauds
% I6 R/ [3 [) M) K( |: ^ACCRUALS AND THE ART OF EARNINGS MANIPULATION/ j9 S5 l! K. r0 |
PREDICTING PROBMs8 Y$ m! F2 D# U6 E
NOTES
4 T G* T* N6 C/ C% K# i+ BChapter 4: Measuring the Risk of Financial Distress: How to Avoid the Sick Men of the Stock Market
3 c$ Y* {3 ]" r! s4 g+ E \& ~A BRIEF HISTORY OF BANKRUPTCY PREDICTION
9 T, i; m, w/ H6 {IMPROVING BANKRUPTCY PREDICTION
& G4 U8 z4 L6 e7 w1 ?( VHOW WE CALCULATE THE RISK OF FINANCIAL DISTRESS2 F+ {& T; ]. \( Z A2 U/ u2 y
SCRUBBING THE UNIVERSE
2 U3 m& n" X* y E# {' @$ D0 |NOTES
6 o0 m0 @; ~/ _ Q+ C. A& BPart 3: Quality—How to Find a Wonderful Business3 R1 L; `5 @; u$ i! i" z- Q
Chapter 5: Franchises—The Archetype of High Quality
* p. V$ W. _) q3 Y% J6 o9 WTHE CHAIRMAN'S SECRET RECIPE6 Y e+ T/ U2 n# S5 ~
HOW TO FIND A FRANCHISE/ R M. ^3 e* L
NOTES* p/ g- h& I( E3 O8 {9 n% y
Chapter 6: Financial Strength: Foundations Built on Rock9 M( P' e" G! l: z: y1 L/ B
THE PIOTROSKI FUNDAMENTAL SCORE (F_SCORE)
, n$ R! q; e3 Q% Z" n9 n! ]8 MOUR FINANCIAL STRENGTH SCORE (FS_SCORE)# V1 i$ R% z8 n) A; h1 B* }
COMPARING THE PERFORMANCE OF PIOTROSKI'S F_SCORE AND OUR FS_SCORE6 C7 t; y5 N: [9 h+ {3 r
CASE STUDY: LUBRIZOL CORPORATION
- P2 }4 v) P6 h: Q# VNOTES
: W a. Q. l+ O6 w" k7 T( nPart 4: The Secret to Finding Bargain Prices
4 ~, }- a3 m+ AChapter 7: Price Ratios: A Horse Race
- y" W( o9 F) C7 gTHE HORSES IN THE RACE6 h2 @4 v: f* {. I: [6 I; p4 b
RULES OF THE RACE
4 }/ [ i* M" E5 k- [THE RACE CALL
" K2 q. \) o5 k- R# u) AA PRICE RATIO FOR ALL SEASONS
4 R8 k# C: L# qTHE OFFICIAL WINNER- I- I; r( F% S
NOTES
5 C+ ^& _- O- y: yChapter 8: Alternative Price Measures—Normalized Earning Power and Composite Ratios K4 c! `6 K7 m1 X. W4 C) p
NORMALIZED EARNING POWER
! e( w: F0 a: H- T) K/ n5 \* QCOMPOUND PRICE RATIOS: IS THE WHOLE GREATER THAN THE SUM OF ITS PARTS?
1 q/ l- @( M# H6 x* nNOTES8 S p* I5 c2 \' y* x# L
Part 5: Corroborative Signals8 B2 z2 z! o5 k; r9 S
Chapter 9: Blue Horseshoe Loves Anacott Steel: Follow the Signals from the Smart Money
9 F" `6 t' j8 s- p+ ?' F& }STOCK BUYBACKS, ISSUANCE, AND ANNOUNCEMENTS
9 n$ \$ k, f' q; H0 a9 IINSIDER TRADERS BEAT THE MARKET. L. p/ m/ v( T" k8 V5 q% }
ACTIVISM AND CLONING' K! L% {+ K; q: S% C5 v5 T) k
SHORT MONEY IS SMART MONEY
! g/ \4 S4 Y. S) x7 wNOTES' ]3 p' i( y2 U0 l
Part 6: Building and Testing the Model/ U$ Q3 p3 l Y/ V& r3 d
Chapter 10: Bangladeshi Butter Production Predicts the S＆P 500 Close9 n3 f) @, a/ V, i9 \
SUSTAINABLE ALPHA: A FRAMEWORK FOR ASSESSING PAST RESULTS
3 x. l( ?/ B0 Z% B+ {5 R* |5 WWHAT'S THE BIG IDEA?% X- o) P3 z/ G# Z6 i# P
RIGOROUSLY TEST THE BIG IDEA/ n; h) s/ J4 \; }
THE PARAMETERS OF THE UNIVERSE) t( U/ Q7 s8 V5 M' Y
NOTES* h; t- l4 i, t" J
Chapter 11: Problems with the Magic Formula" G6 I* ~% J( T
GLAMOUR IS ALWAYS A BAD BET# K$ ~. W B1 K1 {4 {# _# p
IMPROVING THE STRUCTURE OF A QUANTITATIVE VALUE STRATEGY" w* O) i Z9 q" O
OUR FINAL QUANTITATIVE VALUE CHECKLIST- K$ F+ ~ d" l3 R5 K' I
NOTES
2 x' o! V1 B* X5 L7 s) \Chapter 12: Quantitative Value Beats the Market
H- P0 C- A' s7 \8 |; t/ _4 TRISK AND RETURN
% d& B- h3 x4 D3 t- P4 g/ M: }ROBUSTNESS2 C5 \% E6 p+ `6 B9 T! L6 }
A PEEK INSIDE THE BLACK BOX% r J- I. t0 [/ C& @: C& W
MAN VERSUS MACHINE7 L( ~# ?3 i* G
BEATING THE MARKET WITH QUANTITATIVE VALUE
* O% B1 y( L. U$ }7 [NOTES
0 B8 \; |( a! X h4 T1 Q. HAppendix: Analysis Legend) ^% E8 }9 }* q3 \ f# m% k
About the Authors/ ~; |$ w; n/ L! d
About the Companion Website: j# l+ e# o/ G) i! F
Index9 B9 G) @/ e9 n6 Z9 z3 Q
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