Stock Selection and Analysis - Articles & White Papers
Research and papers relating to stock selection and security analysis. This section includes reports and articles which help fund managers and investment analysts examine their stock selection process. Popular themes in this category include papers on company valuation methods; how to assess equity valuation and identify the best approaches to stock screening; how to use price/book ratio...
, PE multiples, PEG ratios, equity cash flow, free cash flow, APV (Adjusted Present Value), economic profit, EVA, dividend discount models, and other metrics. Papers which help equity fund managers use factor-based investing models to build a better beta (smart beta approaches using risk factors to achieve superior returns) are also well read. Other surveys and white papers in this section look at the case for active equity managers, the characteristics (hallmarks) of successful equity managers, how to use big data in stock selection, active versus passive strategies, momentum strategies, trading rules, pairwise correlations and stock volatility. A key question for equity managers is how to determine the valuation of an equity market. One of the most credible tools for equity valuation is the Shiller PE. To see our latest blog post on the Shiller PE and economic conditions, please visit https://www.savvyinvestor.net/blog/Shiller-PE-Economic-Conditions
Based on Robeco's own research, they conclude that out of the hundreds of factors proposed in the literature many are indeed redundant, lack robustness, or cannot even be replicated to begin with. They do not find, however, that the entire factor zoo can be reduced to just a handful of factors.
An unusual shift in equity betas accompanied the market drawdown in March 2020, leaving equity investors few places to hide. In this paper, we share our observations of this dislocation and highlight the likely affect it had on defensive equity strategies.
Investors have traditionally relied on mean-variance analysis to determine a portfolio’s optimal asset mix, but they have struggled to incorporate private equity into this framework because they do not know how to estimate its risk. The observed volatility of private equity returns is unrealistically low because the recorded…
Below-average market volatility is typically associated with above-average returns. Given a choice, therefore, most investors would prefer low volatility to high. For active managers, however, the choice is less obvious: lower market volatility is associated with lower correlation and lower dispersion, both of which make…
Among other things, this 50-page issue of Invesco's Risk & Reward report examines a variety of themes, for example: (i) a factor-based buy-and-hold strategy for bonds (ii) integrating low volatility style exposure into core equity factor investments (iii) equity factor timing, and more.
Defensive equity strategies have obvious appeal – especially in today’s turbulent markets. But how do you distinguish between a proliferating number of similar-sounding strategies? This eBook examines: 1) the key differentiators that can help sort through a sea of approaches, and 2) how to classify them in terms of risk and…
Defensive equity strategies have obvious appeal – especially in today’s turbulent markets. But how do you distinguish between a proliferating number of similar-sounding strategies? This eBook examines: 1) the key differentiators that can help sort through a sea of approaches, and 2) how to classify them in terms of risk and…
A recurring criticism of smart beta strategies is the presumption of a risk of “crowding”. It is frequently pointed to as a potential risk but is rarely formalised or even defined. While there is no convincing evidence to prove the crowding theorists correct, thinking about the economic rationale behind a specific premium…
In this timely piece, Invesco highlights the relevance of strategic and tactical asset allocation for portfolio insurance, given increased market volatility.
Factor allocation decisions are becoming a prominent consideration for factor investors. Which factors to allocate to, and in what magnitude, has a significant impact on investment outcomes and should be a key focus of investors. As multi-factor investing grows in popularity, we hope it will evolve from the mere…
This year’s market downturn has sparked renewed interest in defensive equity investing. This eBook offers a fresh look at this mature investment category: What is it? Why does it appear to deliver? What outcomes should you expect? What are some key issues to consider? What’s the case for using it?
This year’s market downturn has sparked renewed interest in defensive equity investing. This eBook offers a fresh look at this mature investment category: What is it? Why does it appear to deliver? What outcomes should you expect? What are some key issues to consider? What’s the case for using it?
Factor strategies differ significantly in terms of portfolio construction, with a debate regarding the methods used in portfolio construction approaches. In this paper, FTSE Russell extends itsTilt framework to encompass explicit exposure targets and examine the implications of this, from both an investment solution and a…
Approximately 30%–40% of the variability in global individual equity securities can be explained by top-down country and industry memberships. Active management of global equity portfolios in the asset management industry, however, focuses almost exclusively on bottom-up security selection approaches, either minimizing or…
This paper explains the STOXX approach to its family of thematic indices, familiarizing readers with the data sources and the related index construction methodologies used to incorporate them, develop the concept and the rationale for each identified thematic, and analyze the resulting indices. This includes using basic…
The income-generating potential of alternatives seems to be largely underappreciated, despite the trend toward larger allocations to alternative asset classes and the need for yield. Investors can enhance their ability to capitalize on the yield and diversification benefits of alternatives by focusing on the risks that drive…
Credit investors beware: actively managed credit hedge funds may provide more beta than expected and mutual funds too little. This paper investigates just how much traditional risk premia is responsible for active credit manager fund returns.
QMA relates valuation multiples to fundamentals through a new framework. Starting with a standard Gordon dividend discount model and applying a Dupont decomposition, they investigate how changes in fundamentals affect pricing in the cross section of global equities. QMA find that changes in fundamentals affect value and…
The FTSE Target Exposure Indexes are a suite of benchmarks and investable indexes designed to target specific characteristics—such as factor, climate and ESG exposures—while minimizing all off-target, consequential exposures. Target exposures are completely flexible and can be combined to cater to specific client objectives…
