This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Mục lục
1. Data, Portfolios, and Performance: How We Test the Strategies.- 2. The Trend Is Your Friend: Momentum Investing.- 3. Trees Do Not Grow to the Sky: Reversals in a Stock Market.- 4. No Pain, No Gain? The Puzzle of Risk-Return Relationship.- 5. Are Stocks Lotteries? The Shape of Distribution Matters.- 6. Januaries, Mays, and Lunar Cycles: Stock Selection with Seasonal Anomalies.- 7. Predicting Prices Based on… Prices? The Role of Nominal Prices.- 8. To Time or Not to Time? Tactical Allocation across Strategies.- 9. Conclusions.
Giới thiệu về tác giả
Adam Zaremba is Assistant Professor at the Poznań University of Economics and Business, Poland. He is an economist, adviser, and portfolio manager for investment management companies. Zaremba has written numerous research papers on financial markets and is also an individual investor with many years’ experience.
Koby (Jacob) Shemer is an experienced asset manager in international capital markets. He is the founder of Analyst IMS, a public asset management firm, and Alpha Beta, a quantitative asset management company. During his career, he has been responsible for managing portfolios of assets totalling billions of US dollars.
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