Quantitative Value

Wesley R. Gray 지음

Wiley 2012년 11월 29일 출간

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A must-read book on the quantitative value investment strategyWarren Buffett and Ed Thorp represent two spectrums of investing: one value driven, one quantitative. Where they align is in their belief that the market is beatable. This book seeks to take the best aspects of value investing and quantitative investing as disciplines and apply them to a completely unique approach to stock selection. Such an approach has several advantages over pure value or pure quantitative investing. This new investing strategy framed by the book is known as quantitative value, a superior, market-beating method to investing in stocks.Quantitative Value provides practical insights into an investment strategy that links the fundamental value investing philosophy of Warren Buffett with the quantitative value approach of Ed Thorp. It skillfully combines the best of Buffett and Ed Thorp-weaving their investment philosophies into a winning, market-beating investment strategy.First book to outline quantitative value strategies as they are practiced by actual market practitioners of the disciplineMelds the probabilities and statistics used by quants such as Ed Thorp with the fundamental approaches to value investing as practiced by Warren Buffett and other leading value investorsA companion Website contains supplementary material that allows you to learn in a hands-on fashion long after closing the bookIf you're looking to make the most of your time in today's markets, look no further than Quantitative Value.

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Preface xiAcknowledgments xiiiPART ONE The Foundation of Quantitative Value 1CHAPTER 1 The Paradox of Dumb Money 3Value Strategies Beat the Market 9How Quantitative Investing Protects against Behavioral Errors 23The Power of Quantitative Value Investing 30Notes 32CHAPTER 2 A Blueprint to a Better Quantitative Value Strategy 35Greenblatt&'s Magic Formula 36It&'s All Academic: Improving Quality and Price 45Strategy Implementation: Investors Behaving Badly 54Notes 59PART TWO Margin of Safety&m-How to Avoid a Permanent Loss of Capital 61CHAPTER 3 Hornswoggled! Eliminating Earnings Manipulators and Outright Frauds 63Accruals and the Art of Earnings Manipulation 64Predicting PROBMs 72Notes 79CHAPTER 4 Measuring the Risk of Financial Distress: How to Avoid the Sick Men of the Stock Market 81A Brief History of Bankruptcy Prediction 83Improving Bankruptcy Prediction 85How We Calculate the Risk of Financial Distress 86Scrubbing the Universe 89Notes 91PART THREE Quality&m-How to Find a Wonderful Business 93CHAPTER 5 Franchises&m-The Archetype of High Quality 95The Chairman&'s Secret Recipe 96How to Find a Franchise 99Notes 112CHAPTER 6 Financial Strength: Foundations Built on Rock 113The Piotroski Fundamentals Score (F_SCORE) 114Our Financial Strength Score (FS_SCORE) 119Comparing the Performance of Piotroski&'s F_SCORE and OurFS_SCORE 122Case Study: Lubrizol Corporation 123Notes 126PART FOUR The Secret to Finding Bargain Prices 127CHAPTER 7 Price Ratios: A Horse Race 129The Horses in the Race 130Rules of the Race 133The Race Call 134A Price Ratio for All Seasons 141The Offi cia

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저자(글) Wesley R. Gray

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WESLEY R. GRAY, PhD, is the founder and executive managing member of Empiritrage, LLC, an SEC#45;registered investment advisor; and Turnkey Analyst, LLC, a firm dedicated to educating and sharing quantitative investment techniques to the general public. He is also an assistant professor of finance at Drexel University#39;s LeBow College of Business, where his research focus is on value investing and behavioral finance. Professor Gray teaches graduate#45;level investment management and a seminar on hedge fund strategies and operations. His professional and leadership experiences include over fourteen years building systematic trading systems, trading special situations, and service as a U.S. Marine Corps intelligence officer (Captain) in Iraq and various posts in Asia. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago Booth School of Business. He graduated magna cum laude with a BS in economics from the Wharton School, University of Pennsylvania.TOBIAS E. CARLISLE, LLB, is the founder and managing member of Eyquem Investment Management LLC, portfolio manager of the Eyquem Fund LP, and the author of the award#45;winning website greenbackd.com, which covers deep value, contrarian, and activist investment strategies. He has extensive experience in activist investment, company valuation, public company corporate governance, and mergers and acquisitions law. Prior to founding Eyquem, Carlisle was an analyst at an activist hedge fund, general counsel of a company listed on the Australian Stock Exchange, and a corporate advisory lawyer. As a lawyer specializing in mergers and acquisitions, he has advised on transactions across a variety of industries in the United States, the United Kingdom, China, Australia, Singapore, Bermuda, Papua New Guinea, New Zealand, and Guam, ranging in value from $50 million to $2.5 billion. He is a graduate of the University of Queensland in Australia with degrees in law and business (m