{"product_id":"ben-graham-was-a-quant-isbn-9780470642078","title":"Ben Graham Was a Quant","description":"\u003cb\u003eInnovative insights on creating models that will help you become a disciplined intelligent investor\u003c\/b\u003e  \u003cp\u003eThe pioneer of value investing, Benjamin Graham, believed in a philosophy that continues to be followed by some of today's most successful investors, such as Warren Buffett. Part of this philosophy includes adhering to your stock selection process come \"hell or high water\" which, in his view, was one of the most important aspects of investing.\u003c\/p\u003e \u003cp\u003eSo, if a quant designs and implements mathematical models for predicting stock or market movements, what better way to remain objective, then to invest using algorithms or the quantitative method? This is exactly what \u003ci\u003eBen Graham Was a Quant\u003c\/i\u003e will show you how to do. Opening with a brief history of quantitative investing, this book quickly moves on to focus on the fundamental and financial factors used in selecting \"Graham\" stocks, demonstrate how to test these factors, and discuss how to combine them into a quantitative model.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eReveals how to create custom screens based on Ben Graham's methods for security selection\u003c\/li\u003e \u003cli\u003eAddresses what it takes to find those factors most influential in forecasting stock returns\u003c\/li\u003e \u003cli\u003eExplores how to design models based on other styles and international strategies\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eIf you want to become a better investor, you need solid insights and the proper guidance. With \u003ci\u003eBen Graham Was a Quant\u003c\/i\u003e, you'll receive this and much more, as you learn how to create quantitative models that follow in the footsteps of Graham's value philosophy.\u003c\/p\u003e \u003cp\u003ePreface xi\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIntroduction: The Birth of the Quant 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCharacterizing the Quant 3\u003c\/p\u003e \u003cp\u003eActive versus Passive Investing 6\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Desperately Seeking Alpha 11\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Beginnings of the Modern Alpha Era 16\u003c\/p\u003e \u003cp\u003eImportant History of Investment Management 18\u003c\/p\u003e \u003cp\u003eMethods of Alpha Searching 20\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Risky Business 27\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eExperienced versus Exposed Risk 28\u003c\/p\u003e \u003cp\u003eThe Black Swan: A Minor ELE Event—Are Quants to Blame? 34\u003c\/p\u003e \u003cp\u003eActive versus Passive Risk 38\u003c\/p\u003e \u003cp\u003eOther Risk Measures: VAR, C-VAR, and ETL 49\u003c\/p\u003e \u003cp\u003eSummary 52\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Beta is Not “Sharpe” Enough 55\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBack to Beta 64\u003c\/p\u003e \u003cp\u003eBeta and Volatility 65\u003c\/p\u003e \u003cp\u003eThe Way to a Better Beta: Introducing the g-Factor 67\u003c\/p\u003e \u003cp\u003eTracking Error: The Deviant Differential Measurer 75\u003c\/p\u003e \u003cp\u003eSummary 77\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Mr. Graham, I Give You Intelligence 79\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFama-French Equation 81\u003c\/p\u003e \u003cp\u003eThe Graham Formula 89\u003c\/p\u003e \u003cp\u003eFactors for Use in Quant Models 90\u003c\/p\u003e \u003cp\u003eMomentum: Increasing Investor Interest 96\u003c\/p\u003e \u003cp\u003eVolatility as a Factor in Alpha Models 113\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Modeling Pitfalls and Perils 123\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eData Availability, Look-Ahead, and Survivorship Biases 124\u003c\/p\u003e \u003cp\u003eBuilding Models You Can Trust 127\u003c\/p\u003e \u003cp\u003eScenario, Out-of-Sample, and Shock Testing 131\u003c\/p\u003e \u003cp\u003eData Snooping and Mining 139\u003c\/p\u003e \u003cp\u003eStatistical Significance and Other Fascinations 140\u003c\/p\u003e \u003cp\u003eChoosing an Investment Philosophy 148\u003c\/p\u003e \u003cp\u003eGrowth, Value, Quality 149\u003c\/p\u003e \u003cp\u003eInvestment Consultant as Dutch Uncle 152\u003c\/p\u003e \u003cp\u003eWhere Are the Relative Growth Managers? 154\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Testing the Graham Crackers . . . er, Factors 159\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe First Tests: Sorting 160\u003c\/p\u003e \u003cp\u003eTime-Series Plots 173\u003c\/p\u003e \u003cp\u003eThe Next Tests: Scenario Analysis 182\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Building Models from Factors 193\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSurviving Factors 194\u003c\/p\u003e \u003cp\u003eWeighting the Factors 197\u003c\/p\u003e \u003cp\u003eThe Art versus Science of Modeling 200\u003c\/p\u003e \u003cp\u003eTime Series of Returns 210\u003c\/p\u003e \u003cp\u003eOther Conditional Information 215\u003c\/p\u003e \u003cp\u003eThe Final Model 217\u003c\/p\u003e \u003cp\u003eOther Methods of Measuring Performance: Attribution Analysis via Brinson and Risk Decomposition 220\u003c\/p\u003e \u003cp\u003eRegression of the Graham Factors with Forward Returns 228\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Building Portfolios from Models 233\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Deming Way: Benchmarking Your Portfolio 235\u003c\/p\u003e \u003cp\u003ePortfolio Construction Issues 247\u003c\/p\u003e \u003cp\u003eUsing an Online Broker: Fidelity, E*Trade, TD Ameritrade, Schwab, Interactive Brokers, and TradeStation 249\u003c\/p\u003e \u003cp\u003eWorking with a Professional Investment Management System: Bloomberg, Clarifi, and FactSet 251\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Barguments: The Antidementia Bacterium 255\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Colossal Nonfailure of Asset Allocation 256\u003c\/p\u003e \u003cp\u003eThe Stock Market as a Class of Systems 258\u003c\/p\u003e \u003cp\u003eStochastic Portfolio Theory: An Introduction 266\u003c\/p\u003e \u003cp\u003ePortfolio Optimization: The Layman’s Perspective 276\u003c\/p\u003e \u003cp\u003eTax-Efficient Optimization 282\u003c\/p\u003e \u003cp\u003eSummary 282\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Past and Future View 285\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhy Did Global Contagion and Meltdown Occur? 292\u003c\/p\u003e \u003cp\u003eFallout of Crises 297\u003c\/p\u003e \u003cp\u003eThe Rise of the Multinational State-Owned Enterprises 301\u003c\/p\u003e \u003cp\u003eThe Emerged Markets 310\u003c\/p\u003e \u003cp\u003eThe Future Quant 311\u003c\/p\u003e \u003cp\u003eNotes 317\u003c\/p\u003e \u003cp\u003eAcknowledgments 325\u003c\/p\u003e \u003cp\u003eAbout the Author 327\u003c\/p\u003e \u003cp\u003eIndex 329\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eSTEVEN P. GREINER, Ph.D.,\u003c\/b\u003e has served as the senior quantitative strategist and portfolio manager for Allegiant Asset Management (now wholly owned by PNC Capital Advisors) and was a member of its Investment Committee. Prior to this, he was a senior quantitative strategist for large capitalization investments at Harris Investment Management. He has more than twenty years of quantitative and modeling experience. Currently, Dr. Greiner is the head of Risk Research for FactSet Research Systems. He received a BS in mathematics and chemistry from the University of Buffalo, an MS and PhD in physical chemistry from the University of Rochester, and attained postdoctoral experience from the Free University Berlin, Department of Physics.   \u003c\/p\u003e\u003cp\u003eThe pioneer of value investing, Benjamin Graham, believed in a philosophy that continues to be followed by some of today's most successful investors, such as Warren Buffett. Part of this philosophy includes adhering to your stock selection process come \"hell or high water,\" which, in his view, was one of the most important aspects of investing.\u003c\/p\u003e \u003cp\u003eSo, if a quant designs and implements mathematical models for predicting stock or market movements, what better way to remain objective than to invest using algorithms in a quantitative method? This is exactly what Ben Graham Was a Quant will show you how to do.\u003c\/p\u003e \u003cp\u003eOpening with a brief history of quantitative investing, this book quickly moves on to focus on the fundamental and financial factors used in selecting \"Graham\" stocks, demonstrate how to test these factors with current software, and discuss how to combine them into a quantitative model. Along the way, Ben Graham Was a Quant also takes the time to define the search for Alpha and explain what it is, highlight some of the inadequacies of modern portfolio theory, and introduce specific risk measures you should become familiar with.\u003c\/p\u003e \u003cp\u003eOne of the best aspects of quantitative investing is that it ultimately leads to disciplined, and intelligent, investing. Ben Graham Was a Quant will help you achieve this goal by codifying Graham's value philosophy and combining it with quantitative methods—all while using a minimum of mathematics. With this book as your guide, you'll discover a better way to invest, as you learn how to create quantitative models that follow in the footsteps of Graham's proven value approach.\u003c\/p\u003e  \u003cp\u003eThe pioneer of value investing, Benjamin Graham, believed in a philosophy that continues to be followed by some of today's most successful investors, such as Warren Buffett. Part of this philosophy includes adhering to your stock selection process come \"hell or high water,\" which, in his view, was one of the most important aspects of investing. \u003c\/p\u003e\u003cp\u003eSo, if a quant designs and implements mathematical models for predicting stock or market movements, what better way to remain objective than to invest using algorithms in a quantitative method? This is exactly what \u003ci\u003eBen Graham Was a Quant\u003c\/i\u003e will show you how to do. \u003c\/p\u003e\u003cp\u003eOpening with a brief history of quantitative investing, this book quickly moves on to focus on the fundamental and financial factors used in selecting \"Graham\" stocks, demonstrate how to test these factors with current software, and discuss how to combine them into a quantitative model. Along the way, \u003ci\u003eBen Graham Was a Quant\u003c\/i\u003e also takes the time to define the search for Alpha and explain what it is, highlight some of the inadequacies of modern portfolio theory, and introduce specific risk measures you should become familiar with. \u003c\/p\u003e\u003cp\u003eOne of the best aspects of quantitative investing is that it ultimately leads to disciplined, and intelligent, investing. \u003ci\u003eBen Graham Was a Quant\u003c\/i\u003e will help you achieve this goal by codifying Graham's value philosophy and combining it with quantitative methods—all while using a minimum of mathematics. With this book as your guide, you'll discover a better way to invest, as you learn how to create quantitative models that follow in the footsteps of Graham's proven value approach.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988802126053,"sku":"NP9780470642078","price":49.95,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470642078.jpg?v=1761781646","url":"https:\/\/k12savings.com\/products\/ben-graham-was-a-quant-isbn-9780470642078","provider":"K12savings","version":"1.0","type":"link"}