Ben Graham Was a Quant / Wiley Finance Editions (PDF)

Preface xi Introduction: The Birth of the Quant 1 Characterizing the Quant 3 Active versus Passive Investing 6 CHAPTER 1 Desperately Seeking Alpha 11 The Beginnings of the Modern Alpha Era 16 Important History of Investment Management 18 Methods of Alpha Searching 20 CHAPTER 2 Risky Business 27 Experienced versus Exposed Risk 28 The Black Swan: A Minor ELE Event--Are Quants to Blame? 34 Active versus Passive Risk 38 Other Risk Measures: VAR, C-VAR, and ETL 49 Summary 52 CHAPTER 3 Beta Is Not "Sharpe" Enough 55 Back to Beta 64 Beta and Volatility 65 The Way to a Better Beta: Introducing the g-Factor 67 Tracking Error: The Deviant Differential Measurer 75 Summary 77 CHAPTER 4 Mr. Graham, I Give You Intelligence 79 Fama-French Equation 81 The Graham Formula 89 Factors for Use in Quant Models 90 Momentum: Increasing Investor Interest 96 Volatility as a Factor in Alpha Models 113 CHAPTER 5 Modeling Pitfalls and Perils 123 Data Availability, Look-Ahead, and Survivorship Biases 124 Building Models You Can Trust 127 Scenario, Out-of-Sample, and Shock Testing 131 Data Snooping and Mining 139 Statistical Significance and Other Fascinations 140 Choosing an Investment Philosophy 148 Growth, Value, Quality 149 Investment Consultant as Dutch Uncle 152 Where Are the Relative Growth Managers? 154 CHAPTER 6 Testing the Graham Crackers . . . er, Factors 159 The First Tests: Sorting 160 Time-Series Plots 173 The Next Tests: Scenario Analysis 182 CHAPTER 7 Building Models from Factors 193 Surviving Factors 194 Weighting the Factors 197 The Art versus Science of Modeling 200 Time Series of Returns 210 Other Conditional Information 215 The Final Model 217 Other Methods of Measuring Performance: Attribution Analysis via Brinson and Risk Decomposition 220 Regression of the Graham Factors with Forward Returns 228 CHAPTER 8 Building Portfolios from Models 233 The Deming Way: Benchmarking Your Portfolio 235 Portfolio Construction Issues 247 Using an Online Broker: Fidelity, E*Trade, TD

STEVEN P. GREINER, Ph.D., 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.

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