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.
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 “…
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…
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.
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…
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…
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…
In this 36-page paper, the authors calculate the factor exposures of selection and weighting (S&W) portfolios and then replicate those factor exposures using the FTSE Russell factor tilt methodology. This allows them to construct competing factor tilt portfolios that are substantially different in terms of construction…
An increased understanding of the importance of corporate governance has not meant the end of corporate governance scandals. Governance has continued to evolve, and a number of issues have come forward since the last edition of this manual. This version updates the reader on various aspects of governance such as board…
There are so many elements to consider when building factor-based solutions it can be overwhelming. We’ve highlighted two case studies of investors tackling these challenges.
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.
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.
