Quantitative Strategies for Achieving Alpha: The Standard and Poor's Approach to Testing Your Investment Choices (McGraw-Hill Finance & Investing) - Hardcover

Tortoriello, Richard

Hardcover

ISBN 10: 0071549846 ISBN 13: 9780071549844

Publisher: McGraw-Hill Education, 2008

Synopsis

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:

• A wide variety of investment strategies built around the seven basics that drive future stock market returns: profitability, valuation, cash flow generation, growth, capital allocation, price momentum, and red flags (risk)
• A building-block approach to quantitative analysis based on 42single-factor and nearly 70 two- and three-factor backtests, whichshow the investor how to effectively combine individual factors into robust investment screens and models
• More than 20 proven investment screens for generating winning investment ideas
• Suggestions for using quantitative strategies to manage risk and for structuring your own quantitative portfolios
• Advice on using quantitative principles to do qualitative investment research, including sample spreadsheets

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.

About this title

From the Back Cover:

Beat the market with these scientifically proven investment strategies!

“Richard Tortoriello structures six concepts that blend fundamental, quantitative, and technical disciplines. His tests are rooted in sound financial theory designed to avoid statistical bias and capture the primary drivers of investment returns.”
Ralph J. Acampora, CMT
Director of Technical Analysis Studies
New York Institute of Finance

“By explaining the rationale for various accounting screens, this book is arguably an up-to-date 'quant' version of the Graham-and-Dodd approach. Tortoriello's tests are made extremely realistic by a threefold emphasis on fundamental variables, valuation paradigms, and technical analysis measures. As topping, it's well written with lots of meaningful quotes, market history stories, and other insights that give readers an important feel for the markets.”
H. Russell Fogler, PhD
Principal
Fogler Research and Management

“The saying used to be 'Fundamental analysis tells you what, but technical analysis tells you when.' As a result of Richard's new book on quantitative analysis, an investor now has the tools to uncover the What, When, and Why of investing.”
Sam Stovall
Chief Investment Strategies
Standard & Poor's Equity Research

About the Author:

Richard Tortoriello is the aerospace and defense analyst in the equity research division of Standard & Poor's and has also conducted numerous quantitative investment studies for the company. He is responsible for buy, sell, and hold recommendations on twenty-five aerospace- and defense-related stocks, including General Electric, Boeing, United Technologies, Lockheed Martin, and Honeywell. He has been interviewed numerous times for Bloomberg Television, CNBC, BBC TV, CNN, The Wall Street Journal, The New York Times, and The Washington Post.

About this edition

• Publisher: McGraw-Hill Education
• Publication date: 2008
• ISBN 10: 0071549846
• ISBN 13: 9780071549844
• Binding: Hardcover
• Number of pages: 480