Stock Selection and Analysis

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.
  • CFA Institute Research Foundation

    Factor Investing and Asset Allocation (CFA Institute Research Foundation)

    Factor investing is as old as the hills. Yet it has only recently become a widespread practice. What is behind this sudden change in the investment management industry? What do analysts at firms that engage in factor investing do? What results might investors using these techniques expect? Here is a hugely important read to explore these questions.

    • Professional
    • Views: 2892
    Read more
  • Robeco

    Factor Investing: An Academic Source of Excess Returns (Savvy Investor, 2018)

    Authored by Savvy Investor and sponsored by Robeco, this 24-page special report is designed as a go-to resource for anyone interested in factor investing, covering a host of different factor investing issues in a short timespan.

    The report explains the academic underpinning to factor investing, and describes how a consensus has built around the belief that 4-6 key equity risk ...

    • Professional
    • Views: 2330
    Read more
  • Robeco

    Exploring the world of factors - Nine academics on smart beta and factor investing (Robeco, 2018)

    Collected interviews with high-profile factor investing experts, who bring an original contribution to the discussion. The concept of factor investing dates back to the 1970s, but it has only been gaining traction over the past few years. Factor-based allocation has its roots in the vast amount of empirical findings, accumulated over many decades, that document the existence of ...

    • Professional
    • Views: 1100
    Read more
  • Citi

    Disruptive Innovations IV: Ten More Things to Stop and Think About (Citi, 2016)

    • 21 Nov 2016
    • Company: Citi

    The fourth in a series from Citi GPS, this edition examines 10 more innovative technologies and new products which are disrupting their sectors. This edition covers:

    1. Big Data Disruption - The Big Data Revolution in Energy
    2. Contextual Commerce - What is Contextual Commerce?
    3. Direct-to-Consumer Marketplace - Another Threat to ...

    • Professional
    • Views: 1501
    Read more
  • AQR Capital Management

    Fact, Fiction and Momentum Investing (Cliff Asness et al, 2015)

    Authored by Cliff Asness and others from AQR Capital, this paper examines the "myths" surrounding momentum investing, using results from a variety of academic studies. The paper aims to clarify the facts with regard to the efficacy of trend-following strategies and to document the practical value of momentum within the investment process.

  • MSCI

    How ESG Affects Equity Valuation, Risk, and Performance (MSCI, 2017)

    • 21 Dec 2017
    • Company: MSCI

    Many researchers have studied the relationship between companies with strong environmental, social and governance (ESG) characteristics and corporate financial performance. A major challenge has been to show that positive correlations — when produced — provide explanations for the behavior. As the classic phrase used by statisticians says, “correlation does not ...

    • Professional
    • Views: 1227
    Read more
  • BlackRock

    Enhance your skill: how active managers are using factor strategies (BlackRock, 2017)

    How are asset managers using factors to optimize active strategies?

    Factor investing continues to grow at a rapid pace, with almost $34 billion globally flowing into smart beta ETFs since the beginning of 2017.  Asset managers are taking notice, and many are already using factors to enhance their investment process. 

    Through the lens of three compelling case ...

    • Professional
    • Views: 1818
    Read more
  • BlackRock

    Active Strategies, Indexing and the Rise of ETFs (Greenwich Associates / BlackRock, Oct 2017)

    Institutional flows into ETFs are expected to grow to $300B annually by 2020. Institutional Investors around the world are stepping up their use of ETFs as part of a broad transformation in portfolio management. Driving this growth is a wholesale reconsideration of the long-held distinction between active and indexed investment approaches.

    This paper presents the ...

    • Professional
    • Views: 2129
    Read more
  • Invesco (Europe)

    Invesco Global Factor Investing Study 2017

    Our factor investing study offers unique insights into the growth of factor investing via over 100 in-depth face-to-face interviews with consultants, pension funds, insurers, sovereign investors and private banks globally. We spoke with investors that were leading the way when it came to factor investing as well as non-users who were yet to adopt this investment approach.

    For ...

    • Professional
    • Views: 1013
    Read more
  • Robeco

    Ten things you should know about factor investing (Robeco, 2017)

    Factor-based investing has gained considerable traction over the past decade. Concepts such as ‘factor premiums’ or ‘smart beta’ have become popular buzzwords, and now appear frequently in mainstream financial media. Prominent institutional investors have also publicly embraced allocation to well-known factors, like value, momentum or low volatility.

    But ...

    • Short article
    • Views: 1477
    Read more
  • Credit Suisse

    Supertrends - Investing for the Long Term (Credit Suisse, 2017)

    This 97-page report has been produced by Credit Suisse. It analyses the key trends affecting long-term investing, such as geopolitics, demographic shifts, and rapid technology change. These movements provide a tangible link between today’s major developments and portfolios' risk/return profiles in the long run.

    • Professional
    • Views: 2826
    Read more
  • MSCI

    Bridging the Gap: Adding Factors to Passive and Active Allocations (MSCI)

    • 04 May 2017
    • Company: MSCI

    Asset owners face a challenge in determining how the factor allocation fits into the overall equity program: How does the factor allocation relate to the existing roster of active managers? This paper uses a risk budgeting framework to investigate how active mandates and factor allocations can be combined. Risk budgeting connects the manager selection process with the factor ...

    • Professional
    • Views: 1082
    Read more
  • QMA

    Start of Something Big: Demystifying the Source of Large Alpha in Small Caps (QMA)

    • 24 Jan 2017
    • Company: QMA

    In a world where alpha can seem scarce, active small-cap managers continue to outperform their benchmarks in an impressive way. But why? Investors have a general sense small caps are riskier and less efficient, but how these characteristics contribute to more alpha opportunities remains unclear. At QMA, we think it’s critical to understand the sources of returns so that you ...

    • Professional
    • Views: 2032
    Read more
  • CFA Institute

    Fundamentals of Efficient Factor Investing (Financial Analysts Journal, 2017)

    This paper appeared in CFA Institute's Financial Analysts Journal. Combining long-only-constrained factor subportfolios is generally not a mean–variance-efficient way to capture expected factor returns. For example, a combination of four fully invested factor subportfolios—low beta, small size, value, and momentum—captures less than half ...

    • Professional
    • Views: 1368
    Read more
  • EDHEC-Risk Institute

    Academic Lessons on Factor Investing (EDHEC, 2016)

    This paper analyses what academic research has to say on equity factors. Our objective is to understand which lessons we can learn from such research in terms of designing and evaluating factor indices. When analysing academic publications on equity factor investing, five important lessons emerge, which provide useful perspective on practical questions about factor indices. This ...

  • EDHEC-Risk Institute

    Robustness of Smart Beta Strategies (EDHEC)

    This EDHEC paper examines the importance of robustness for smart beta strategies, explaining how a strategy being "relatively robust" differs from "absolute robustness". The authors describe how the robustness of smart beta performance can be assessed and quantified, describing various approaches, which may be used to improve the robustness of smart beta ...

    • Professional
    • Views: 1450
    Read more
  • Credit Suisse

    Reflections on the Ten Attributes of Great Investors (Michael J. Mauboussin, Aug 2016)

    Thirty years ago this year, Michael J. Mauboussin started on Wall Street. It goes without saying that he has seen dramatic events and change during that time. Equity market indices are roughly 10 times higher today than they were in 1986. And of the 10 biggest companies by market cap then, only AT&T, Exxon Mobil and GE remain in that league today. In this piece, he shares his ...

    • Professional
    • Views: 3320
    Read more

Pages

Feedback