Stock Selection and Analysis

Managing Global Equities - gaining an edge

The Holy Grail of global equity investment is consistently to add alpha, quarter after quarter. All investors seek an edge - a great process or a superior understanding of markets - and Savvy Investor aims to highlight papers which help investors to work smarter.

Here is a selection of some of the most popular, recent research on global equity investing, together with some of our favourite papers on this topic from the last year.

Performance Consistency in Global Equities - An Adaptive Quant Approach (QMA, 2016)
This paper by QMA Associates describes how a bottom-up, quantitative investment process may be well suited to deliver consistent positive excess returns in international equity markets.

The Shiller CAPE Ratio: A New Look (Jeremy Siegel, 2016)
Robert Shiller's CAPE ratio has served as one of the best models for forecasting long-term future stock returns. However, recent future equity return forecasts may be overpessimistic as a result of changes in the computation of GAAP earnings used in the model.

equities exchange electronic board Managing Global Stocks

Does an Industry Selection Model Add Up? (Lazard, June 2016)
This paper by Lazard presents an industry selection model and its return sources. The authors show that at reasonable risk levels, the model still has the potential to add consistent returns. 

JP Morgan Guide to the Markets Q4 2016
The JP Morgan quarterly "Guide to the Markets" is a bumper 80-page report, packed with charts and tables, illustrating global economic trends, and examining the key drivers of equity and fixed income markets for the period ahead. 

The Long and the Short of It: The Quant Shorting Advantage (QMA, 2016)
This paper by QMA Associates describes how short selling can allow investors to find alpha in often overlooked places. It highlights the benefits of a systematic quantitative process and explains the main categories of shorting-enabled equity products.

The Ten Attributes of Great Investors (August 2016)
Michael J. Mauboussin started on Wall Street in 1986. It goes without saying that he has seen dramatic events and change during that time. Here, he reflects on what makes great investment managers.

The Misrepresentation of Earnings (Financial Analysts Journal, 2016)
The authors of this research surveyed nearly 400 CFOs on the definition and drivers of earnings quality, with an emphasis on the prevalence and detection of earnings misrepresentation. 

101 Ways to Generate Alpha - the top white papers (Sep 2016)
Active equity managers use many different investment strategies and processes to meet the challenge of consistently creating alpha within their portfolios. Here, we have highlighted some of the top papers, which help equity investors to build successful alpha-generating processes.

Capturing the Chinese A-shares and H-shares Anomaly (FTSE Russell, 2016)
The behaviour of the price differential between A-shares and H-shares of dual-listed Chinese companies is studied in this paper by FTSE Russell. The authors cover the period 2006-2016. 

How Do Fees Affect the Active Versus Passive Debate? (S&P Dow Jones Indices, 2016)
This report by S&P Dow Jones Indices addresses three questions that are pertinent to the active versus passive debate, particularly the impact of fees on performance.

Deep Cyclical Investing: Getting It Right (Martin Currie, 2016)
Matthew Franklin, Investment Analyst at Martin Currie Investment Management, explains in this paper what "Cyclical investing" is as well as its pros and cons for investors.

Structural Trends in Equity Market Valuation (Absolute Return Partners, 2015)
This April 2015 document examines at the structural factors that drive equity prices, including Corporate Profits as a share of GDP, dividends and share buy-backs, demographics, interest rates and valuations.

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