Principles of Quantitative Equity Investing (Paperback)

Sugata Ray teaches and conducts research at the University of Florida. Ray’s research has been published in a number of peer-reviewed journals, including the Journal of Investment Management and the Journal of Financial Markets. Ray’s work has been presented to regulators, including those at the SEC and the Fed; academics at conferences such as the American Finance Association and European Finance Association; and industry participants. Ray’s research has been covered in CNN, The Economist, the Financial Times, NPR, and The Wall Street Journal, among numerous other trade and popular press outlets. In addition to his academic pursuits, Ray also develops and manages quantitative investment strategies for Fundamental Global Investors, an investment company, and Capital Wealth Advisors, a wealth management company. Previously, Ray worked in various capacities in a number of financial services firms and asset managers, including Legg Mason, Oliver Wyman, and Lehman Brothers. He received his Doctorate, Master’s, and Bachelor’s degrees from the Wharton School at the University of Pennsylvania. You can read more about the author at his website: www.sugata.in.

Preface     xiii
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
Bibliography     181
Index     185