Use quantitative strategies to maximize profits and control risk in trading US equities
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.
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.
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.
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.
Chapter 1: Overview of Quantitative Investing 1
Chapter 2: What You Need to Start Investing Using Quantitative Techniques 7
Chapter 3: Creating a Screen--The Nuts and Bolts of Choosing a Quantitative Investing Strategy 29
Chapter 4: For the Deeper Divers among Us: How to Use Quantitative Strategies to Enhance Fundamental Valuations 59
Chapter 5: Market Timing--Getting In and Out at the Right Time 65
Chapter 6: Technical Analysis for Quants 73
Chapter 7: How to Measure Performance 85
Chapter 8: Rebalancing--Why, How, and How Often 99
Chapter 9: Weights--Equal or Otherwise 109
Chapter 10: Some Powerful Screens 113
Chapter 11: Where to Get Ideas for New Screens 129
Chapter 12: Troubleshooting 135
Chapter 13: Behavioral Biases Avoided by Investing Quantitatively 139
Chapter 14: How Do You Actually Make Money Now? A Brief Guide to Implementation 145
Chapter 15: Alternative Tools for Quantitative Investing 161
Chapter 16: Why Does Quantitative Investing Work? 165
Chapter 17: Quantitative Investing in the Markets Today 173
Chapter 18: Godspeed 179