They Read, I Read
“They read, I read” is just an internet-updated version of “he said, she said.”
All About Alpha, one of the excellent resources I list on my links page, posts a study about how the new-fangled 130/30 funds outperform long-only funds. Click the previous link for the “they read” version. The PDF version of the white paper on 130/30 funds is here.
This is what I read when I downloaded it.
Page 1 : blah blah blah bs bs bs
Page 2 : blah blah blah bs bs bs
Page 3 : blah blah blah bs bs bs
Page 4 : blah blah blah bs bs bs
Page 5 : blah blah blah bs bs bs
Page 6 : blah blah blah bs bs bs
Page 7 : blah blah blah bs bs bs
Page 8 : blah blah blah bs bs bs
Page 9 : blah blah blah bs bs bs
Page 10 : blah blah blah bs bs bs
Page 11 : blah blah blah bs bs bs
Page 12 : blah blah blah bs bs bs
Page 13 : endnotes and references
Page 14 : Their six-factor quantitative model consists of
(1) analysts’ estimate revisions net up/down,
(2) 11-month price momentum lagged by one month,
(3) price to cash flow,
(4) price to book,
(5) price to sales, and
(6) net change in shares outstanding, decreasing share count is a positive factor.
They hold a big basket of longs that scored well and a smaller basket of shorts that scored poorly, and rebalance every so often.
Page 15 : Demonstration of the efficacy of the six factors used in combination.
Page 16 : blah blah blah bs bs bs
February 5th, 2008 at 7:20 pm
[…] They use the marketing term “alpha factors” to describe the mixture of stock characteristics that they screen for. See Appendix A.1. on page 30 of 44 on the PDF file. There is a great deal of similarity to the characteristics screened for in the last paper on 1X0/X0 investing that I reviewed, and any long-term reader of this blog should be familiar with most of them. They derive 50 indicators from what they label as the “10 Credit Suisse composite alpha factors.” Stocks from the S&P 500 are ranked based on the straight average of their ranking in each of the 10 “factors,” each of which is comprised of several indicators. […]