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Quantitative Investing: Strategies to exploit stock market anomalies for all investors by Fred Piard

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Chapter 6: Fundamental Quantitative Models

This chapter is a quick introduction to quantitative fundamental analysis. The focus is on keeping things simple and practical with common tools for individual investors. It begins with hypotheses, then presents three models, each one oriented towards a category of fundamental data. It also compares market timing and hedging to protect a portfolio in specific cases. It ends with an example of a low-risk portfolio mixing the three models.

Hypotheses

Existing publications by or about famous investors like Graham, Buffett, Zweig, Greenblatt, Piotroski and O’Neil extensively cover the topic of quantitative fundamental analysis. I won’t go into the details here and suggest you refer to these publications ...

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