Quantitative Value + Web Site

Preface xi    Acknowledgments xiii    PART ONE The Foundation of Quantitative Value 1    CHAPTER 1 The Paradox of Dumb Money 3    Value Strategies Beat the Market 9    How Quantitative Investing Protects against Behavioral Errors 23    The Power of Quantitative Value Investing 30    Notes 32    CHAPTER 2 A Blueprint to a Better Quantitative Value Strategy 35    Greenblatt   s Magic Formula 36    It   s All Academic: Improving Quality and Price 45    Strategy Implementation: Investors Behaving Badly 54    Notes 59    PART TWO Margin of Safety   How to Avoid a Permanent Loss of Capital 61    CHAPTER 3 Hornswoggled! Eliminating Earnings Manipulators and Outright Frauds 63    Accruals and the Art of Earnings Manipulation 64    Predicting PROBMs 72    Notes 79    CHAPTER 4 Measuring the Risk of Financial Distress: How to Avoid the Sick Men of the Stock Market 81    A Brief History of Bankruptcy Prediction 83    Improving Bankruptcy Prediction 85    How We Calculate the Risk of Financial Distress 86    Scrubbing the Universe 89    Notes 91    PART THREE Quality   How to Find a Wonderful Business 93    CHAPTER 5 Franchises   The Archetype of High Quality 95    The Chairman   s Secret Recipe 96    How to Find a Franchise 99    Notes 112    CHAPTER 6 Financial Strength: Foundations Built on Rock 113    The Piotroski Fundamentals Score (F-SCORE) 114    Our Financial Strength Score (FS-SCORE) 119    Comparing the Performance of Piotroski   s F-SCORE and Our    FS-SCORE 122    Case Study: Lubrizol Corporation 123    Notes 126    PART FOUR The Secret to Finding Bargain Prices 127    CHAPTER 7 Price Ratios: A Horse Race 129    The Horses in the Race 130    Rules of the Race 133    The Race Call 134    A Price Ratio for All Seasons 141    The Offi cial Winner 142    Notes 143    CHAPTER 8 Alternative Price Measures   Normalized Earning Power and Composite Ratios 145    Normalized Earning Power 147    Compound Price Ratios: Is the Whole Greater than    the Sum of Its Parts? 150    Notes 163    PART FIVE Corroborative Signals 165    CHAPTER 9 Blue Horseshoe Loves Anacott Steel: Follow the Signals from the Smart Money 167    Stock Buybacks, Issuance, and Announcements 169    Insider Traders Beat the Market 173    Activism and Cloning 176    Short Money Is Smart Money 179    Notes 182    PART SIX Building and Testing the Model 185    CHAPTER 10 Bangladeshi Butter Production Predicts the S&P 500 Close 187    Sustainable Alpha: A Framework for Assessing Past Results 189    What   s the Big Idea? 191    Rigorously Test the Big Idea 196    The Parameters of the Universe 206    Notes 208    CHAPTER 11 Problems with the Magic Formula 211    Glamour Is Always a Bad Bet 216    Improving the Structure of a Quantitative Value Strategy 218    Our Final Quantitative Value Checklist 222    Notes 228    CHAPTER 12 Quantitative Value Beats the Market 229    Risk and Return 231    Robustness 239    A Peek Inside the Black Box 249    Man versus Machine 257    Beating the Market with Quantitative Value 262    Notes 264    Appendix: Analysis Legend 265    About the Authors 267    About the Companion Website 269    Index 271