Principles of Quantitative Equity Investing: A Complete Guide to Creating, Evaluating, and Implementing Trading Strategies

10. Some Powerful Screens

There is an entire industry dedicated to developing quantitative screens that make money. In fact, there are multiple industries dedicated to this. There is, of course, an industry of money managers who create and follow quantitative techniques. There is also an academic industry that looks for anomalous stock returns. Quantitative screens that generate significantly positive returns are anomalies because if market prices truly reflected all publicly available information about a stock, it should not be possible to generate high returns by screening based on this publicly available information. Academics are not content with simply documenting an anomaly and quietly profiting off of it. They will also proceed to find ...