INDICE: Preface. Introduction: The Birth of the Quant. Characterizing the Quant. Active vs. 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 vs. Exposed Risk. The Black Swan: A Minor ELE Event, Are Quants to Blame? Active vs. 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: IncreasingInvestor 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 asDutch Uncle. Where are the Relative Growth Managers? Chapter 6: Testing the Graham Crackers.. er, Factors. The First Tests: Sorting. Time-Series Plots. TheNext 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 Laymans 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.
- ISBN: 978-0-470-64207-8
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 352
- Fecha Publicación: 09/03/2011
- Nº Volúmenes: 1
- Idioma: Inglés