Summary

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.

Author Biography

Dr. Sugata Ray (Gainesville, FL) teaches financial management and conducts research on hedge funds and related financial topics at the University of Florida’s Warrington College of Business Administration. Dr. Ray’s research has been published in peer-reviewed journals including the Journal of Investment Management and the Journal of Financial Markets, and has been presented to the SEC, the Federal Reserve, and at major conferences in the US and Europe. He is a Partner and Director of Quantitative Strategies at Fundamental Global Investors (an investment firm) and at Capital Wealth Advisors, an affiliated family office and wealth advisor. He holds a Ph.D., Masters, and undergraduate degrees from The Wharton School at the University of Pennsylvania.

What This Book Is About (And Not About) And Who It Is For (And Not For)

Introduction to Quantitative Investing

Screens

Horizons (Or Rebalancing Frequency)

Backtesting

Implementation

Tools Needed For Quantitative Investing – Data … A Lot Of It. And Something to Crunch Data.

A Primer to Equities Lab

Creating Your First Screen

Results Explained

Backtesting

Screening and Backtesting – The Nuts And Bolts Of Choosing A Quantitative Investing Strategy

Market Timing – Getting In And Out At The Right Time

What Makes A Good Screen? How To Measure Performance.

Returns

Dividends

Benchmarks

Standard Deviation

Alphas

Other Bespoke Measures (Maximum Drawdown, Best/Worst Months, Dividends Paid, Minimizing

Turnover, Etc.)

Some Powerful Screens Built By People Smarter Than Me – F-Scores, The Magic Formula, Etc.

Exclusion Criteria – Why Do We Exclude Certain Stocks Even Before We Start?

Rebalancing – Why, How, And How Often

Weights

Implementation FAQs

How Do We Account For Transaction Costs?

Alternative Tools for Quantitative Investing

Conclusion

The complete, practical guide to quantitative investing: identify rigorous trading rules for yourself, and fully backtest them to understand their performance and risk characteristics

Supplemental Materials

What is included with this book?

The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.