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EQUITY MANAGEMENT.
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EQUITY MANAGEMENT Quantitative Anal
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To Ilene, Lauren, Julie, Sam, and E
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CONTENTS Foreword by Harry M. Marko
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Contents ix Chapter 4 Calendar Anom
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Contents xi Implications 272 High-D
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FOREWORD by Harry M. Markowitz, Nob
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Foreword xv In practice, of course,
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Foreword xvii that an RDM would con
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xix
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INTRODUCTION Life on the Leading Ed
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Life on the Leading Edge 3 tion abo
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Life on the Leading Edge 5 clude th
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Life on the Edge Leading 7 stocks t
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Life on the Leading Edge 9 . Quanti
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Life on the Leading Edge 11 By the
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Life on the Leading Edge 13 ple, st
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Life on the Leading Edge 15 find be
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Life on the Leading Edge 17 equal t
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P A R T ONE Selecting Securities A
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Selectine Securities 21 stocks. Suc
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selecting secunties 23 unmoved by s
Page 46 and 47: CHAPTER 1 The Complexity of the Sto
Page 48 and 49: The Complexity of the Stock Market
Page 52 and 53: The Complexity of the St& Market 31
Page 58 and 59: The Complexity of the St& Market 37
Page 60 and 61: The of the Complexity Stock Market
Page 64 and 65: The Comdexitv of the Stock Market 4
Page 68 and 69: V 7
Page 70 and 71: Disentangling Equity Return Regular
Page 72 and 73: Disentangling Equity Rehun Regulari
Page 74 and 75: Disentangling Equity Rehun Regulari
Page 85 and 86: 64 selecting securities aged 59 bas
Page 87 and 88: 66 selecting Securities FIGURE 2-2
Page 89 and 90: 68 selecting securities FIGURE 2-3
Page 91 and 92: 70 selecting securities tic of 17.8
Page 93 and 94: 72 selecting securities Some Implic
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Page 99 and 100: with most previous work having focu
Page 104 and 105: U) E J B Y m E J rr" c)
Page 112 and 113: Disentangling Equity Regularities R
Page 124 and 125: C H A P T E R 3 On the Value of “
Page 126 and 127: On the Value of "Value" 105 Althoug
Page 128 and 129: On the Value of "Value" 1M erally c
Page 130 and 131: On the Value of “Value” 109 Ano
Page 132 and 133: 111
Page 134 and 135: On the Value of "Value" 113 (GLS) r
Page 136 and 137: I I I d "L 115
Page 138 and 139: On the Value of “Value” 117 Pur
Page 140 and 141: On the Value of "Value" 119 TABLE 3
Page 142 and 143: On the Value of “Value” l21 TAB
Page 144 and 145: On the Value of 'Value" 123 correla
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On the of “Value” Value 125 suc
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On the Value of "Value" 127 22. On
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On the Value of "Value" 129 Akerlof
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On the Value of ”Value” 131 -an
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On the Value of “Value” 133 Ver
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C H A P T E R 4 Abnormal Returns at
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Calendar Anomalies 137 this time. T
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Calendar Anomalies 139 mately 30 pe
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Calendar Anomalies 141 for almost a
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Calendar Anomalies 143 Day-of-the-w
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Calendar Anomalies 145 century as t
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Calendar Anomalies 147 Abnormal pre
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Calendar Anomalies 149 Utes of the
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Calendar Anomalies 151 CONCLUSION T
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Calendar Anomalies 153 19. ”Feder
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Calendar Anomalies ’ 155 -. 1986c
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calendar Anomalies 157 Whitford, D.
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CHAPTER S Forecasting the Size Effe
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Forecasting the Si Effect 161 stock
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Forecasting the Size Effect 163 mai
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Forecasting the Si Effect 165 way c
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Forecasting the Size Effect 167 Sea
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Forecasting the Si Effect 169 FIGUR
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Forecastine the Size Effect 17l ues
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Forecasting the Si Effect 173 acros
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Forecasting the Size Effect 175 the
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Forecasting the Si Effect 177 dex (
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Forecasting the Si Effect 179 Bayes
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Y 0 0 6 \ " l" I I x 0 0 0 P NW P;?
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Forecasting the Si Effect 183 ENDNO
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Forecasting the Si Effect 185 18. A
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Forecasting the Si Effect 187 Box,
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Forecasting the Si Effect 189 -and-
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Forecasting the Si Effect 191 Schwe
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C H A P T E R 6 Earnings Estimates,
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Earnings Estimates, Predictor Speci
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m V I2 V
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202 selecting securities current 6
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204 selecting securities of 70 perc
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206 selecting securities TABLE 6-4
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consensus earnings trend predictor
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210 selecting Securities FIGURE 6-1
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212 selecting securities Cumulative
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i l I? 8
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Earnings Estimates, Predictor Speaf
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Earning Estimates, Predictor Specif
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P A R T T W O Managing Portfolios T
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Managing Portfolios 231 universe mo
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Managing Portfolios 233 can take ac
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CHAPTER 7 Engineering Portfolios A
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Engineering Portfolios 237 have per
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Engineering Portfolios 239 disentan
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Engineering Portfolios 241 in which
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Engineering Portfolios 243 style su
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Engineering Portfolios 245 weight)
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CHAPTER 8 The Law of One Alpha* A;
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The Law of One Alpha 249 ances-say,
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C.H A’P T E R 9 Residual Risk How
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Residual Risk 253 percent curtain.
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Residual Risk 255 FIGURE 9-2 Sacrif
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Residual Risk 257 FIGURE 9 3 Sacrif
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Residual Risk 259 FIGURE' 9-5 Gain
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Residual Risk 261 REFERENCES Clarke
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CHAPTER 1 0 High-Definition Style R
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265
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268 Managing Portfolios approach pe
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270 Managing Portfolios TABLE 10-1
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High-Definition Style Rotation 273
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- ! i a + N 275
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- / m 00 00 G 000
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P A R T T,HREE Expanding Opportunit
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available from the portfolio constr
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Expanding Opportunities 287 “Long
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CHAPTER l l Long-Short Equity Inves
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Longshort Equity Investing 291 effi
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Long-Short Equity Investing 293 Mil
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~ Long-Short Equity Jnvesting 295 F
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Long-Short Investing Equity 297 FIG
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Long-Short Equity Investing 299 F I
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Long-Short Investing Equity 301 sta
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IMPLEMENTATION OF LONG-SHORT STRATE
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Long-Short Investing Equity 305 mar
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Long-Short Equity Investing 307 Mor
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Long-Short Equity Investing 309 The
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C H A P T E R 1 2 20 Myths About Lo
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20 Mvths About Lone-Short 313 towar
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20 Myths About Long-Short 315 lecti
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20 Myths About Long-Short 317 upon
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20 Myths About Long-Short 319 ERISA
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C H A P T E R 1 3 The Long and Shor
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The Long and Short on Long-Short 32
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t t I + I n I . I t 8s; 325
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The Long and Short on Long-short 33
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+ 333
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The Long and Short on Longshort 341
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CHAPTER 1 4 Long-Short Portfolio Ma
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Longshort Portfolio Management 351
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Long-Short Portfolio Management 353
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Long-Short Portfolio Mariagement ,
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Long-Short.Portfolio Management 359
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Lone-Short Portfolio Manawment 367
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CHAPTER 1 5 Alpha Transport with De
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Alpha Transport with Derivatives 37
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Apha Transport with Derivatives 373
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Alpha Transport with Derivatives 37
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Al~ha TransDort with Derivatives 37
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Al~ha Transwrt with Derivatives 379
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N A M E I N D E X Admati, A., 153 A
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Name Index 383 Handa, F., 87,97,162
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Name Index 385 Quenouille, M., 176,
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SUBJECT INDEX Active management, 4,
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Subject Index 389 Information coeff
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~ Subject Index 391 Predictor speci
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Subject Index 393 Uptick rules, 341
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. in finance from the 'whart e is t
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