[下载][数量化投资书籍]Data Driven Investing

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书名 Data Driven Investing

版本 专业版非国际版
作者 Bill Matson and Mitchell R. Hardy
页数 501 pages
出版 Publisher: Data Driven Publishing (2004)
语言 English
内容涵盖 书籍的部分PDF
ISBN-10: 0975584200
ISBN-13: 978-0975584200

书籍介绍：

http://www.mechanical-investing.com/data-driven-investing.html

内容概述：
This 500 pages Investment book combines Mechanical Stock Picking, Market Timing and Psychology of Investing.
The part on Mechanical Stock Picking is a remake of "What Works on Wall Street". The authors took the same Compustat database than James O’Shaughnessy from 1951 to 2002 and backtested various investing strategies: Value, Growth and Momentum (Relative Strength).
Differences with "What Works on Wall Street" include:
Portfolios of 100 stocks are used instead of 50. The results are unchanged compared to O’Shaughnessy’s ones: Value and Momentum are best.
Poor definition of Growth Investing: simply defined as High Price/Earning, High Price/Sales, High Price/Book or High Price/Cash Flow.
Only single factor: for instance no mix of Value and Relative Strength.
Emphasis on Market Cap portfolios: the authors show that nano-cap (Market Cap below 10 Millions) provide far superior performances. The authors mention that Survivorship bias provides optimistic results for nano-cap but do not quantify the benefit. They also do not mention about Bid-Ask spread that can a killer with very small cap. So don’t get too excited with their nano-cap returns: in reality, the returns will be lower.
The authors do not provide Standard deviations of returns but they do provide yearly results from 1951 to 2002 for all strategies so interested readers can compute many statistics.
A major portion of the book is then dedicated to Market Timing. The authors provide extensive results on the Presidential Cycle and Market Timing based on the Federal Reserve action (direction of Interest Rates). They then combine both in a timing model called the combined fed–election cycle.
The authors then look at which Mechanical Stock Picking strategies (Value, Growth, Momentum, what Market Cap?) fared best depending on the state of the combined fed–election cycle. For instance: which Stock Picking strategy is best in late part of the presidential cycle (years 3 and 4) if the fed is increasing interest rates? This is a long chapter (chapter 11 with 110 pages) with many statistics and graphs ending with a summary in page 215 that looks too optimized and somewhat complex. I recommend simplifying.
Then comes a part on Psychology of Investing: it provides very good explanations of the many psychological biases that affect investors. Unfortunately, little remedy is offered.
The authors finally explain how they implement their strategy including how and when to place trades, how to price orders. They first use the stock picking strategies highlighted in the first part to derive a "Watch List". They then time their entry mainly based on news (Good or Bad) and price action (including Volume and Relative Strength). Their strategy leads them to hold stocks for a variable length of time as opposed to pure mechanical investors who rebalance at fix time.
Overall, this book is highly recommended to Mechanical Investors and an excellent addition to What Works on Wall Street, with Market Timing on prime.
Note: the book is difficult to find and can get expensive at either Amazon, Ebay or Alibris (often close to 200$). Don’t get ripped, go directly to the publisher Data Driven Publishing where you can buy it for 49.90$ +shipping and handling.

目录（图片形式）

附件内容不全，只要143页，下载需谨慎

289761.rar (1.93 MB, 需要: 20 个论坛币) 本附件包括：

• Binder1.pdf

2009-2-1 01:25:00 上传

[下载][数量化投资书籍]Data Driven Investing
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