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
What, Exactly, Is a Factor? According to BlackRock, as of June 2018 there was $1.9 trillion invested in factor-based strategies—a figure expected to grow by nearly 80% to $3.4 trillion by 2022. There is no question that these strategies have moved to the forefront of investing, but their growing popularity begs the basic…
This paper has been authored by quant experts at Robeco. They examine 24 global factor premiums across the main asset classes via replication and new-sample evidence spanning more than 200 years of data. Replication yields ambiguous evidence within a unified testing framework with methods that account for p-hacking. The new-…
Our recent paper “What, Exactly, Is a Factor?” examined various ways of constructing a portfolio used to calculate factor returns. We demonstrated that the absence or presence of a number of common constraints—such as a universe limitation—could have a large impact on a portfolio’s exposures and returns. We also showed how…
Factor investing has never been as popular as it is today. However, with the propagation of this type of investment approach, the equity space is becoming increasingly saturated with more and more factors that are ever more removed from academically-grounded research. This paper discusses factor definitions used in…
Investors’ appetite for stocks frequently mentioned in the news is often raised to explain the Volatility effect. But our empirical analysis shows this theory holds little water.
Can you do well by doing good? Environmental, social and governance (ESG) investing has undeniably begun its ascent to the mainstream. This trend not only suggests investors are more readily prepared to pursue a responsible agenda, but also that they believe it doesn’t have to come at the expense of returns. In fact, there…
Now in its sixth year, the FTSE Russell global institutional survey provides unique insight into major trends in awareness, popularity and the use of smart beta among global asset owners. This year it has produced an additional report that examines the integration of ESG into smart beta strategies…
Defensive equity strategies have obvious appeal, but how do you get the most out of their potential benefits? We look at how to best differentiate between the multitudes of approaches, evaluate and classify them by outcome, and implement them within your equity allocation and overall portfolio.
Defensive equity strategies have obvious appeal, but how do you get the most out of their potential benefits? We look at how to best differentiate between the multitudes of approaches, evaluate and classify them by outcome, and implement them within your equity allocation and overall portfolio.
The notion that buying cheaply protects value when markets fall can get lost in long bull markets. That's not an issue for Nigel Waller and Andrew Goodwin of Oldfield Partners.
In this research paper, we explain why efficient factor investing requires an understanding of how factor characteristics drive portfolio returns.
Using a characteristics-based multi-factor return model, we analyze the performance of factor-based equity portfolios and show that generic single-factor portfolios are…
The longest equity bull market in history, persistently low interest rates and increased longevity have sparked renewed interest in defensive equity investing. Defensive equity strategies now comprise a mature category, which demands a fresh look: what is a defensive equity strategy, why does it deliver, what are the risks,…
The longest equity bull market in history, persistently low interest rates and increased longevity have sparked renewed interest in defensive equity investing. Defensive equity strategies now comprise a mature category, which demands a fresh look: what is a defensive equity strategy, why does it deliver, what are the risks,…
The latest version of Invesco's Risk & Reward publication covers a whole host of themes including active bond returns, insights on active (ESG) engagement, pension reform in China, low volatility anchoring, equal weighting in sector portfolios, and more.
The latest version of Invesco's Risk & Reward publication covers a whole host of themes including active bond returns, insights on active (ESG) engagement, pension reform in China, low volatility anchoring, equal weighting in sector portfolios, and more.
Contrary to popular belief, factors and ESG can live together. There may be value in challenging misperceptions about factor investing and ESG that have developed over time.
Sustainable investing is rapidly becoming mainstream, but there’s a wide variety of approaches, and sometimes the labels used can be confusing. In our new book, a publication in collaboration with RobecoSAM, we look at what a truly integrated approach to sustainable investing means, and how investors can reap the…
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…
Sometimes, the sector composition of an equity portfolio is of primary importance. At other times, single-stock risks are more prominent. Among other things, this paper by S&P Dow Jones Indices assesses the relative importance of sectors in determining the performance of the S&P 500 and its constituents.
