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.
Now in its fifth year, the 2018 FTSE Russell global smart beta survey provides unique insight into major trends in awareness, popularity and use of smart beta strategies among global asset owners. In 2014, 25% of investors reported no current allocation in smart beta and had no plans to evaluate it in the future, today, it…
Artificial intelligence may be the most transformative and disruptive advancement since the Industrial Revolution. After decades of hype and disappointment, AI is poised to fuel the next wave of innovation, and potentially provide unprecedented opportunities for companies and investors.
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.
As the global investment landscape continues to evolve, iShares aims to provide solutions to help clients overcome investment challenges. Institutions are increasingly using ETFs as tools to overcome these challenges, and our 2018 iShares institutional Guide to ETFs is a resource to help them navigate the ever-evolving ETF…
As the outlook for market-beta returns deteriorates, investors are becoming increasingly focused on investment strategies with absolute return objectives based on alpha.
Many investors combine concerns over overcrowding in factors with capacity fears. We want to help separate these terms and provide some clarity over the current state of factors.
Artificial intelligence (AI) may be the most transformative and disruptive advancement since the Industrial Revolution. After decades of hype and disappointment, AI is poised to fuel the next wave of innovation, and potentially provide unprecedented opportunities for companies and investors.
In this white paper we examine the remarkable history of low-volatility investing, charting its rise from the margins to the mainstream. We investigate the theoretical and behavioural underpinnings of the concept and the extent of their present-day relevance; we ask whether the current market really is crowded and what, if…
In this research paper, we explore the effectiveness of overlaying earnings revision strategies on traditional fundamental value and quality factors across seven Pan Asian markets—Australia, China, Hong Kong, India, Japan, South Korea, and Taiwan—between March 31, 2006, and March 31, 2018.
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 “…
In our new, 102-page, The Big Book of SI, we analyze the present status of sustainability investing and the big trends that are shaping its future. The book also zooms in on sustainability reporting and the link between ESG and performance.
Berkshire Hathaway has realized a Sharpe ratio of 0.79 with significant alpha to traditional risk factors. However, the alpha becomes insignificant when controlling for exposures to Betting-Against-Beta and Quality-Minus-Junk factors. Further, we estimate that Buffett’s leverage is about 1.7-to-1 on average. Therefore,…
This paper examines the performance of actively managed funds on a risk-adjusted basis.
Modern portfolio theory (MPT) states that expectations of returns must be accompanied by risk or variation around the expected return. It assumes that higher risk should be compensated, on average, by higher returns. Beyond…
The current approaches and products of quantitative equity investing stand on the shoulders of major theoretical and empirical contributions in financial economics. At the root of disciplined, modern investment processes are two intuitive concepts: risk and return. This report provides an introduction to these two concepts,…
Using survey data from mainstream investment organizations, we provide insights into why and how investors use reported environmental, social, and governance (ESG) information. Relevance to investment performance is the most frequent motivation, followed by client demand, product strategy, and then, ethical considerations.…
Technical drivers in Europe have caused credit spreads to widen beyond what fundamentals would suggest. At the same time, the gap between U.S. and European monetary policy continues to grow. Strategists at Barings believe the combination of these factors is creating an interesting opportunity for U.S. investors to consider…
Pitched at an introductory level, this podcast centres around a series of in-depth conversations with experts from State Street Global Advisors with the aim of bringing investment processes to life.
For years, institutions have turned to Intech® to complement their lineup of traditional managers. In 2016, one of our large European public clients approached us about building a bespoke investment solution to help them meet their absolute funding requirements within an absolute risk (total risk) budget. We worked closely…
For years, institutions have turned to Intech® to complement their lineup of traditional managers. In 2016, one of our large European public clients approached us about building a bespoke investment solution to help them meet their absolute funding requirements within an absolute risk (total risk) budget. We worked closely…
