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.
In this paper for the Journal of Portfolio Management, Robert D. Arnott, Denis B. Chaves, and Tzee-man Chow examine the interplay that exists between the Shiller P/E ratio and the macroeconomy.
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…
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.
While many investors have long taken factors into account for risk management, they’re increasingly recognizing that factors can also be return drivers. Ron Ratcliff, BlackRock’s Head of Multi-Asset Investment Risk for Americas West and Russ Koesterich, Portfolio Manager for BlackRock’s Global Allocation discuss how raised “…
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).
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…
Among other things, this 39-page issue of Risk & Reward examines how to implement a multi-factor commodity strategy. Factor investing research to date has generally focused on equities. However, based on the results of this research, factor investing in commodities appears to offer the potential to extend the asset class…
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).
This 40 page document provides a comprehensive overview of the characteristics of European equity indices, covering broad, country, sector and thematic indices. The report examines fund flows and investor sentiment, providing guidance in the use of ETFs to efficiently capture index returns.
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.
PGIM’s latest megatrend research examines how technology is unleashing disruption and the profound implications it will have for investors. With input from more than 30 PGIM investment professionals across our public and private fixed income, equity, real estate and alternatives managers – as well as leading academics,…
There is much discussion about “superstar” firms and “superstar effects” in reaction to the rapid growth of very large global companies. This 57-page report by McKinsey Global Institute assesses the extent to which a superstar effect can be observed in the global economy in three arenas—firms, sectors, and cities—and the…
Initially factor investing was primarily popular in the equity domain, but the same forces that make factor investing work for equities – investor behavior, market constraints and regulations – are also applicable to other asset classes. In this paper we present a number of client cases that illustrate different rationales…
It has been widely observed that capitalization-weighted indexes can be beaten by surprisingly simple, systematic investment strategies. Indeed, in the U.S. stock market, equal-weighted portfolios, random-weighted portfolios, and other naive, non-optimized portfolios tend to outperform a capitalization-weighted index over…
