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Quantitative Investing

Strategies to exploit stock market anomalies for all investors

By Fred Piard
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Contents Listing

Disclaimer
About The Author
Preface
Acknowledgements
Introduction

1. Methodology
Focus on Simple Basic Principles
Evaluating Strategies
The Cost of a Drawdown
Tools and Requirements
Common Hypotheses, Vocabulary and Presentation
Chapter Summary

2. Market Timing
S&P 500 Market Timing
Multi-Indexes Timing
Sector Portfolio Timing
Global Assets Portfolio Timing
Chapter Summary

3. Momentum
Sector Rotation
Global Assets Rotation
Paired Switching
Chapter Summary

4. Seasonal Patterns
The Only Strategy Backtested Over 319 Years
A Two-Season Strategy
A Four-Season Strategy
The End of Year Pattern
Seasons and Sectors
More Seasonal Patterns
Chapter Summary

5. Mixing Strategies
An Attempt To Combine Everything
The "No Brain No Gain" Strategy
Building a Systemic Portfolio
The Luck Factor
Chapter Summary

6. Fundamental Quantitative Models
Hypotheses
A Value Model
A Growth Model
A Dividend Model
Market Timing and Hedging
Combining Models
Chapter Summary

7. Designing A Strategy
The Framework
The Deadly Sins of Backtesting
Chapter Summary

Conclusion

Appendices
Appendix 1: Summer and Winter returns since 1950
Appendix 2: A New Kind of Quantitative Indicator
Appendix 3: Bibliograph
Appendix 4: Support

Index
Disclaimer
About The Author
Preface
Acknowledgements
Introduction

1. Methodology
Focus on Simple Basic Principles
Evaluating Strategies
The Cost of a Drawdown
Tools and Requirements
Common Hypotheses, Vocabulary and Presentation
Chapter Summary

2. Market Timing
S&P 500 Market Timing
Multi-Indexes Timing
Sector Portfolio Timing
Global Assets Portfolio Timing
Chapter Summary

...

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Summary

This book provides straightforward quantitative strategies that any investor can implement with little work using simple, free or low-cost tools and services.

But what exactly is quantitative investing?

There are various possible definitions of quantitative investing, but the author defines it as:

"Identifying reasonable and measurable hypotheses about behaviours of the financial market so as to make investment d... Read more below. Download a PDF sample of Quantitative Investing now

About the Author

Fred Piard

FRED PIARD gained extensive experience in the software industry, information systems consulting and marketing before discovering an interest in the financial markets. Self-taught in this field, he puts into practice what he learnt from his previous activities to build his own methodology. From his years in research he has the ability to combine a systemic point of view and an analytic approach. As a software architect he knows that the things that work the best in the long term are the simplest. As a consultant he experienced the real economy through various sectors: energy, banking, healthcar... Read more on Fred Piard

Jacket Text

This book provides straightforward quantitative strategies that any investor can implement with little work using simple, free or low-cost tools and services.

But what exactly is quantitative investing?

There are various possible definitions of quantitative investing, but the author defines it as:

"Identifying reasonable and measurable hypotheses about behaviours of the financial market so as to make investment decisions with an acceptable confidence in expected returns and risks."

The main advantages in using quantitative models are that they:

- make the investment process independent of opinions and emotions (the most important factor for an individual investor), and
- make it reproducible by anyone at any time (the most important factor for a fund)

With a set of good strategies, quantitative investing allows one to act in the market at specific pre-planned times. It is possible to work on this just once a week or month, and ignore charts and the news. It removes most of the doubts and emotions with the discipline of keeping a long-term vision and sensible money management. This book will show you how.
This book provides straightforward quantitative strategies that any investor can implement with little work using simple, free or low-cost tools and services.

But what exactly is quantitative investing?

There are various possible definitions of quantitative investing, but the author defines it as:

"Identifying reasonable and measurable hypotheses about behaviours of the financial market so as to make investment decisions with an acceptable confidence in expected returns and risks."

The main advantages in using quantitative models are that they:

- make the investment process independent of opinions and emotions (the most important factor for an individual investor), and
- make ...

Reviews

"Well-written, easy to follow, and logically formatted"
- Leslie N. Masonson, Futures mag

"A refreshing and informative guide on how to implement a number of scientific based strategies in order to do what most investors aim to achieve - beat the market on a consistent basis...Overall, for those investors who want a range of new ideas on how to make money from the markets this book is an ideal addition to the library."
- UK-Analyst
"Well-written, easy to follow, and logically formatted"
- Leslie N. Masonson, Futures mag

"A refreshing and informative guide on how to implement a number of scientific based strategies in order to do what most investors aim to achieve - beat the market on a consistent basis...Overall, for those investors who want a range of new ideas on how to make money from the markets this book is an ideal addition to the library."
- UK-Analyst

Media Coverage

UK Analyst

It is probably true to say that the market is saturated with investment books on how to make money from growth, value, income shares and the like. New ideas which add anything to this area are few...

Read more

EFT Trends

Seasonal trends affect a variety of sector exchange traded funds. Commodities ETFs also show some noticeable seasonal tendencies.

For example, October is usually unkind to gold, but November is...

Read more

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