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.
This detailed report (169 pages) is a collaborative effort between CFA Institute and Principles for Responsible Investment. It provides important global insights into the ESG integration techniques of leading portfolio managers and analysts around the world.
This tome (authored by CFA Institute Research Foundation) examines the differences between classical finance and behavioral finance and how they can compliment each other. Whichever story investors subscribe to, the market is very complex. It contains far more securities than can be practical to analyze individually. This…
In this podcast discussion, the discussants delve into the philosophy that underpins quantitative investment, and some of the ways our evolving understanding of human behavior can lead to investment insight.
Investors are increasingly showing interest in risk premia strategies across asset classes. Carry is one of the most studied premia. To successfully execute a risk premia strategy, it is important to have a detailed understanding of how individual premia returns are affected by macroeconomic conditions.
What are the signs of equity market stress? In this paper, we offer a collection of reliable indicators to help identify the degree of market instability. These indicators provide investors with insight to capital markets that complement other conventional risk metrics (e.g., valuations, sentiment, economic).
Invesco's 3rd annual Global Factor Investing Study is based upon interviews with over 300 instutional investors and is the largest in-depth analysis of global factor investing.
Baillie Gifford is challenging the investment industry to return to its fundamental purpose, namely deploying clients’ capital into tangible, sustainable activities, allowing companies to grow and prosper over the long term, whilst still generating positive returns for shareholders. ‘Actual’ investment requires a willingness…
Recent proprietary research has revealed that there are a surprisingly large number of stocks with a positive impact – almost 3,000 out of the 15,000 in our chosen universe (the CS HOLT database). This is partially explained by expanding the universe to include small caps. Our results reveal that, contrary to conventional…
Recent market turbulence has refocused attention on the potential long-term benefits of defensive investment strategies. In this new paper, we take an in-depth look at three such approaches: Low Volatility Factor (LVF), Minimum Variance (Min Var) and Equal Risk Contribution (ERC). While similar in their use of risk measures…
Winner of Financial Analysts Journal Graham and Dodd Awards of Excellence, Top Award 2018.
Warren Buffett’s Berkshire Hathaway has realized a Sharpe ratio of 0.79 with significant alpha to traditional risk factors. The alpha became insignificant, however, when we controlled for exposure to the factors “betting…
The real differentiating factor for companies developing AI tools is the data used to solve a problem. Computing power is a commodity. Many relevant algorithms and machine learning techniques are in the public domain, and are largely a commodity as well. That’s why we believe companies with proprietary datasets or privileged…
In this paper, we show that dividend yield is an important component of total return. We also highlight pertinent characteristics of the S&P 500 Dividend Aristocrats, an index that seeks to measure the performance of the S&P 500 constituents that have increased their dividend payouts for 25 consecutive years. We show…
It has been a tough couple months for many managers, especially hedge funds. Some have speculated that there has been a large unwinding of crowded risk-factor positions. We do not see that in our factor returns, and instead propose a few other possible culprits.
Factor investing works in emerging stock markets, as well as in developed markets. But factor definitions matter greatly. From this perspective, even the now well-established five-factor model, proposed in 2015 by Nobel-prize winner, Eugene Fama, and fellow researcher, Kenneth French, still leaves room for improvement.…
This paper by CFA Institute helpfully summarises the evolution of public markets and public corporations with some conclusions about why there has been a shift from public to private capital formation. The authors close with policy recommendations designed to ameliorate issues raised.
This paper examines the Index Effect and reports that it has weakened significantly since 2013. The Index Effect is the phenomenon where stocks added to an index experience positive excess returns in the days immediately before they are officially added to the index, while stocks that are removed from the index experience…
Factor index construction is currently a widely discussed topic among institutional investors and asset managers, particularly whether the construction of multi-factor indexes should be top-down or bottom-up. In this paper, FTSE Russell compares the exposure and diversification outcomes of multi-factor portfolios that use a…
What are the signs of equity market stress? In this paper, we offer a collection of reliable indicators to help identify the degree of market instability. These indicators provide investors with insight to capital markets that complement other conventional risk metrics (e.g., valuations, sentiment, economic).
