12/16/2008

Quantitative Strategies for Achieving Alpha by Richard Tortoriello



Quantitative Strategies for Achieving Alpha (McGraw-Hill Finance & Investing)






In this book Richard Tortoriello sets out find empirical drivers for stock market returns. This is a new book published last month. The author tests 1200 strategies on stock above 500 million valuation to determine the major fundamental and market based drivers for future stock market returns.After such analysis he presents strategies that consistently outperform the market.




The author tests 7 basic categories of stocks factors:
  1. Profitability
  2. Valuation
  3. Cash flow
  4. Growth
  5. Capital allocation
  6. Price momentum
  7. Red Flags ( risk factors)

Detailed quantitative tests  for each of the factors are presented in the book. As the author works for S&P, he has access to the best database on stocks and he presents his findings for multiple factors within each of the above seven categories. The testing shows that the top single factor strategy for achieving excess return is price momentum calculated using 28/16 relative strength. The best strategy using two combined factor for excess return is price momentum plus nearness 52 week high. 

This book unlike other quant books is easy to understand and well presented. The biggest advantage of this book is it will give you building blocks to build your trading strategy around things that empirically work in the market. Knowing what works and why it works can help you build better trading models.





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Do you have a trial?

If you are just looking for trial you are better off trying thousands of other trading site that offer free trail or one month trial and offer you promise of riches.

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How can I become a member?

To sign up go to www.stockbee.biz and follow the sign up process. The site uses Paypal for payment processing.

2 comments:

Chas said...

Pradeep, do you know what the "28/16" means in 28/16 RSI ... Is that the cross of the two lines or something different. Thank you!

Pradeep Bonde said...

28 week and 16 week Relative Strength Index. It has nothing to do with cross of RSI. It picks stocks by top quintiles by 28 RSI and bottom quintiles by 16 RSI for long and short respectively.