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In Principles of Quantitative Equity Investing, pioneering financial researcher Dr. Sugata Ray demonstrates how to invest successfully in US equities with quantitative strategies, using rigorous rule sets to decide when and what to trade.
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Whether you’re a serious investor, professional advisor, or student of finance, Ray will help you determine the optimal quantitative rules for your investing objectives, and then "backtest" their performance through any historical time period. He demonstrates each key technique using state-of-the-art Equities Lab software — and this book comes with 20 weeks of free access to Equities Lab, plus a discount on its purchase.
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Ray covers key topics including stock screening, portfolio rebalancing, market timing, returns and dividends, benchmarks, bespoke measures, and more. He also presents a series of powerful screens built by many of the world’s most successful investors.
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Together, this guidebook and software combine to offer a turnkey solution for creating virtually any quantitative strategy, and then accurately estimating its performance and risk characteristics — helping you systematically maximize your profits and control your risk.
- Sales Rank: #1275201 in Books
- Published on: 2015-06-28
- Original language: English
- Number of items: 1
- Dimensions: 9.20" h x .70" w x 7.10" l, .0 pounds
- Binding: Hardcover
- 224 pages
Most helpful customer reviews
2 of 2 people found the following review helpful.
DIY Quant Investing - a mile wide and an inch deep; Equities Lab software a big PLUS
By William L. Lyman
This book takes a very broad approach to introducing Do-It-Yourself (DIY) investors (i.e., primarily serious individual investors, although the book ought to have cross-over appeal to various financial advisors and professionals) to "quantitative equity investing". Given the intended audience, the price point of the book (~$50) seems high. While written by a finance professor at the University of Florida, the book is *not* academic in nature. In fact, for better or for worse, the book makes scant mention of traditional aspects of academia finance like efficient markets, modern portfolio theory (MPT) and the Capital Asset Pricing Model (CAPM). The book focuses on basic fundamental screening for stocks and simple comments on aspects of portfolio management (weighting of stocks within the portfolio, rebalancing of the portfolio, diversification, etc.) - yet missing on other key elements of portfolio management (portfolio concentration, real-world portfolios that don't have just a few or hundreds of stocks that pass a screen, building/scaling into positions, etc.). A brief mention of technical analysis is provided, but unfortunately, especially given the power of the Equities Labs software mentioned in the book, virtually no mention of combining the power of fundamental analysis + technical analysis + valuation analysis. Personally, for individual and small professional investors, I believe there is substantial benefit from combining these three areas of analysis in selecting stocks for your portfolio. The book does briefly highlight how to use macro-economic related data (from Quandl, which is supported by the software used in the book) - a rarely discussed approach for individual investors.
To be of more value to DIY investors, here are some missing/sparse topics worthy of consideration in future editions of the book:
- "Buy" criteria - overview of the salient [quant] factors in fundamentals (profitability, growth, financial strength, returns on capital)
- "Sell" criteria - what sort of rules govern when to sell a stock?
- Valuation metrics - P/B, Price-to-Tangible-Book, P/S, P/E; Enterprise Value versions of these same multiples; valuation multiples relative to a stock's own historical norms and to other stocks within its industry
- Rebalancing of portfolios - show the impact of various holding periods
- Portfolio construction - how many positions(stocks) to have in a portfolio (concentration), how to diversify among those positions, how to build a position in multiple trades (scaling in/out of a position)
The aspects and methods of quantitative investing explored in the book are overshadowed the capabilities of the software used and highlighted in the book (Equities Lab - see below for my view of this software). The power of the software is just touched upon in the book yet dwarfs the author's insights on quantitative equity investing.
For a quick read to get you acquainted with stock screening, I would suggest Finding #1 Stocks: Screening, Backtesting and Time-Proven Strategies by Matras. For a more thorough, non-academic overview of quantitative strategies (yet accessible to the motivated individual investor), I recommend What Works on Wall Street, Fourth Edition: The Classic Guide to the Best-Performing Investment Strategies of All Time by James O'Shaughnessy, Quantitative Strategies for Achieving Alpha: The Standard and Poor's Approach to Testing Your Investment Choices (McGraw-Hill Finance & Investing) by Tortoriello, and Quantitative Value, + Web Site: A Practitioner's Guide to Automating Intelligent Investment and Eliminating Behavioral Errors by Gray & Carlisle.
As a side note, I have been a long-time user of the Equities Lab software platform prominently referenced throughout the book. For what it's worth, I believe the Equities Lab screening and back-testing software is best-in-class investment software available for the individual investor - and has a heavy dose of institutional quality features and benefits (detailed fundamental, technical, and valuation analysis, back-testing with 20 years of historical data (!), great visualizations (e.g., heat maps for just about any field/variable for any subset of stocks), etc.). In addition, unlike Morningstar, Investors Business Daily & Marketsmith, Zacks and VectorVest, Equities Lab has no mysterious proprietary indicators - except for those you might create for yourself. Thus, your screens and analysis are fully transparent and understandable. The free 20-week trial of Equities Lab alone may justify the price of the book.
0 of 0 people found the following review helpful.
Decent primer but obviously written as marketing material for the website
By T. Betz
For the price, this was not what I was expecting. Since it was written by a finance professor, I was expecting something more in-depth. Unfortunately, this book reads more like an infomercial to Sugata Ray's EquitiesLab website. I would say this book is geared more towards those who need an initial primer to quantitative investing concepts and who plan on relying on a single website or source to provide the black-box testing of quantitative strategies. Not for anyone who is looking for a more mathematically rigorous or in-depth analysis of "why" certain strategies work.
0 of 0 people found the following review helpful.
Absolutely helped me screen stocks so much better! I used two formulas given from the book ...
By Cody Azzi
Absolutely helped me screen stocks so much better! I used two formulas given from the book to find companies with high yields when back-testing similar companies
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