Alpha, higher-than-expected returns generated by an investment strategy, is the
holy grail of the investment world. Achieve alpha, and you've beaten the market on a
risk-adjusted basis. Quantitative Strategies for Achieving Alpha was borne from equity
analyst Richard Tortoriello's efforts to create a series of quantitative stock selection
models for his company, Standard & Poor's, and produce a “road map” of the market
from a quantitative point of view.
With this practical guide, you will gain an effective instrument that can be used to
improve your investment process, whether you invest qualitatively, quantitatively, or seek
to combine both. Each alpha-achieving strategy has been extensively back-tested using
Standard & Poor's Compustat Point in Time database and has proven to deliver alpha
over the long term. Quantitative Strategies for Achieving Alpha presents a wide variety of
individual and combined investment strategies that consistently predict above-market
returns. The result is a comprehensive investment mosaic that illustrates clearly those
qualities and characteristics that make an investment attractive or unattractive.
This valuable work contains:
This powerful, data intensive book will help you clearly see what empirically drives
the market, while providing the tools to make more profitable investment decisions based
on that knowledge—through both bull and bear markets.
Richard Tortoriello is the aerospace and defense analyst in the equity
research division of Standard & Poor's and has also conducted numerous quantitative
investment studies for the company. He is responsible for buy, sell, and hold
recommendations on twenty-five aerospace- and defense-related stocks, including General
Electric, Boeing, United Technologies, Lockheed Martin, and Honeywell. He has been
interviewed numerous times for Bloomberg Television, CNBC, BBC TV, CNN, The Wall Street
Journal, The New York Times, and The Washington Post.
Table of Contents
Ch. 1 Introduction: In Search of Alpha 1
Ch. 2 Methodology 11
Ch. 3 The Day-To-Day Drivers of Stock Market Returns 37
Ch. 4 Profitability 59
Ch. 5 Valuation 103
Ch. 6 Cash Flow 151
Ch. 7 Growth 181
Ch. 8 Capital Allocation 213
Ch. 9 Price Momentum 259
Ch. 10 Red Flags 295
Ch. 11 Collected Wisdom 333
Ch. 12 Combining the Factors 347
Ch. 13 Integrating the Strategies into Your Investment Approach 375
App. A The Building Blocks 399
App. B Two-Factor Strategies 405
App. C Average Portfolio Values by Quintile 417
Index 461
480 pages, Hardcover