Quantitative strategies for achieving Alpha:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
McGraw Hill
2009
|
| Schriftenreihe: | McGraw-Hill finance & investing
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Series statement from jacket. - Includes bibliographical references and index |
| Beschreibung: | XIII, 466 S. graph. Darst. 25 cm |
| ISBN: | 9780071549844 0071549846 |
Internformat
MARC
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Datensatz im Suchindex
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|---|---|
| adam_text | CONTENTS ACKNOWLEDGMENTS XI LIST OF ABBREVIATIONS XIII CHAPTER 1
INTRODUCTION: IN SEARCH OF ALPHA 1 QUANTITATIVE VERSUS QUALITATIVE
ANALYSIS 3 TOWARD AN INTEGRATED MODEL OF INVESTMENT ANALYSIS 7 THE
CONCEPTS USED IN THIS BOOK 8 CHAPTER 2 METHODOLOGY 11 THE DATABASE 13
THE BACKTEST UNIVERSE 15 PORTFOLIO RETURNS AND HOLDING PERIODS 16 HOW
THE TESTS ARE STRUCTURED 19 THE EXCESS RETURNS TESTS 23 THE BACKTEST
SUMMARY TABLE AND GRAPHS 23 HOW TO IDENTIFY A STRONG QUANTITATIVE
STRATEGY 27 HOW TO USE THE BACKTEST SUMMARY AND GRAPHS 28 THE SECTOR
TESTS 30 THE SECTOR SUMMARY TABLES AND GRAPH 32 EPILOGUE: WHY AREN T WE
ALL RICH? 34 CHAPTER 3 THE DAY-TO-DAY DRIVERS OF STOCK MARKET RETURNS 37
THE METHODOLOGY USED IN THIS CHAPTER 39 EARNINGS GROWTH DRIVES STOCK
MARKET RETURNS 42 VII VIII CONTENTS SALES GROWTH ALSO DRIVES RETURNS 44
EARNINGS GROWTH IS THE STRONGER FACTOR 47 FREE CASH FLOW GROWTH: THE
FIRST PREDICTIVE BASIC 48 EARNINGS SURPRISES SIGNAL CHANGES IN INVESTOR
SENTIMENT 49 EARNINGS GROWTH AND INVESTOR SENTIMENT 53 SUMMARY 57
CHAPTER 4 PROFITABILITY 59 RETURN ON INVESTED CAPITAL 61 EBITDA MINUS
CAPITAL EXPENDITURES TO INVESTED CAPITAL 70 RETURN ON EQUITY AND RETURN
ON ASSETS 79 ECONOMIC PROFITS 87 SUMMARY 99 CHAPTER 5 VALUATION 103 FREE
CASH FLOW TO PRICE 105 ENTERPRISE VALUE TO EBITDA 113 PRICE TO EARNINGS
(CURRENT FISCAL YEAR EPS ESTIMATE) 122 ENTERPRISE VALUE TO SALES 131
DIVIDEND PLUS REPURCHASE YIELD 136 PRICE TO BOOK VALUE 138 SUMMARY 147
CHAPTER 6 CASH FLOW 151 FREE CASH FLOW TO OPERATING INCOME 153 CASH
RETURN ON INVESTED CAPITAL 161 FREE CASH FLOW PLUS NET SHARE REPURCHASE
PLUS DIVIDEND TO PRICE 171 SUMMARY 178 CHAPTER 7 GROWTH 181 FREE CASH
FLOW PER SHARE SCORE 184 EARNINGS PER SHARE SCORE 192 TWO-YEAR AVERAGE
CAPITAL EXPENDITURES PER SHARE GROWTH 202 SUMMARY 208 CONTENTS IX
CHAPTER 8 CAPITAL ALLOCATION 213 SHARE REPURCHASES AND SHARE REDUCTION
217 ONE-YEAR REDUCTION IN LONG-TERM DEBT 227 EXTERNAL FINANCING TO
ASSETS 235 THREE-YEAR AVERAGE CAPITAL EXPENDITURES TO INVESTED CAPITAL
246 ACQUISITIONS TO INVESTED CAPITAL 251 SUMMARY 256 CHAPTER 9 PRICE
MOMENTUM 259 RELATIVE STRENGTH 262 52-WEEK PRICE RANGE 275 RELATIVE
STRENGTH INDEX 283 SUMMARY 292 CHAPTER 10 RED FLAGS 295 FINANCIAL
LEVERAGE AND DEBT PAYBACK 296 CAPITAL EXPENDITURES TO PROPERTY, PLANT,
AND EQUIPMENT 305 OPERATING CASH FLOW TO CAPITAL EXPENDITURES 310
ONE-YEAR CHANGE IN INVENTORY PLUS RECEIVABLES TURNOVER 317 DEPRECIATION
TO INVESTED CAPITAL 322 SUMMARY 330 CHAPTER 11 COLLECTED WISDOM 333 THE
ART OF INVESTMENT 334 MOSAICS: TOWARD A QUANTITATIVE VIEW OF INVESTING
336 CHAPTER 12 COMBINING THE FACTORS 347 THE STRONGEST BUILDING BLOCKS
348 THE STRONGEST TWO-FACTOR COMBINATIONS 351 FACTORS THAT WORK
TOGETHER*AND WHY 354 SUGGESTIONS FOR COMBINING THE STRATEGIES 360
THREE-FACTOR TESTS 362 AMUITIFACTORMODEL 366 CONTENTS CHAPTER 13
INTEGRATING THE STRATEGIES INTO YOUR INVESTMENT APPROACH 375
QUANTITATIVE SCREENS TO GENERATE INVESTING IDEAS 376 VETTING INVESTMENT
IDEAS 388 CREATING QUANTITATIVE PORTFOLIOS 396 A FINAL THOUGHT 397
APPENDIX A 399 THE BUILDING BLOCKS 399 APPENDIX B 405 TWO-FACTOR
STRATEGIES 405 APPENDIX C 417 AVERAGE PORTFOLIO VALUES BY QUINTILE 417
INDEX 461
|
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| illustrated | Illustrated |
| indexdate | 2024-07-09T21:42:42Z |
| institution | BVB |
| isbn | 9780071549844 0071549846 |
| language | English |
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| physical | XIII, 466 S. graph. Darst. 25 cm |
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| spelling | Tortoriello, Richard Verfasser aut Quantitative strategies for achieving Alpha Richard Tortoriello New York [u.a.] McGraw Hill 2009 XIII, 466 S. graph. Darst. 25 cm txt rdacontent n rdamedia nc rdacarrier McGraw-Hill finance & investing Series statement from jacket. - Includes bibliographical references and index Portfolio-Management stw Wertpapieranlage stw Investment analysis Portfolio management Rate of return Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Investitionsanalyse (DE-588)4273190-2 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 s Investitionsanalyse (DE-588)4273190-2 s b DE-604 SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017715518&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Tortoriello, Richard Quantitative strategies for achieving Alpha Portfolio-Management stw Wertpapieranlage stw Investment analysis Portfolio management Rate of return Aktienmarkt (DE-588)4130931-5 gnd Investitionsanalyse (DE-588)4273190-2 gnd |
| subject_GND | (DE-588)4130931-5 (DE-588)4273190-2 |
| title | Quantitative strategies for achieving Alpha |
| title_auth | Quantitative strategies for achieving Alpha |
| title_exact_search | Quantitative strategies for achieving Alpha |
| title_full | Quantitative strategies for achieving Alpha Richard Tortoriello |
| title_fullStr | Quantitative strategies for achieving Alpha Richard Tortoriello |
| title_full_unstemmed | Quantitative strategies for achieving Alpha Richard Tortoriello |
| title_short | Quantitative strategies for achieving Alpha |
| title_sort | quantitative strategies for achieving alpha |
| topic | Portfolio-Management stw Wertpapieranlage stw Investment analysis Portfolio management Rate of return Aktienmarkt (DE-588)4130931-5 gnd Investitionsanalyse (DE-588)4273190-2 gnd |
| topic_facet | Portfolio-Management Wertpapieranlage Investment analysis Portfolio management Rate of return Aktienmarkt Investitionsanalyse |
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