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
If indices can represent passively implemented returns in a given universe, then the risk/return profiles among various indices in the same universe should be similar. In large-cap U.S. equities, the S&P 500® and Russell 1000 have had similar risk/return profiles (9.65% versus 9.73% per year, respectively, since Dec. 31…
Several major equity benchmark providers maintain rules-based defensive equity portfolios they call indexes – but they shouldn’t be confused with their cap-weighted counterparts. We take a closer look at what options exist and how they differ, their viability as passive investments and how they might be improved, and how to…
Several major equity benchmark providers maintain rules-based defensive equity portfolios they call indexes – but they shouldn’t be confused with their cap-weighted counterparts. We take a closer look at what options exist and how they differ, their viability as passive investments and how they might be improved, and how to…
Adam Berger of Wellington Management asks two pertinent questions: Should investors be patient with value stocks and international equity diversification? Where do China A-shares fit in an emerging markets portfolio? Read his thoughts here.
Among other things, this 32-page issue of Risk & Reward examines how to take a factor-based approach to diversifying oil exposure. Oil investors, fixed income investors and sovereign wealth funds are the main focus of this issue.
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…
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…
Cheap stocks have been underperforming for the last 18 months, while expensive stocks are overperforming. In fact, current value performance parallels the Tech Bubble and Global Financial Crisis (GFC). This comes as a surprise to many. We have been living through an extraordinary return environment that has, largely, fallen…
Low-carbon and factor-based investing are two key trends in the global investment management industry. This paper investigates the impact of low-carbon screening on traditional market-cap-weighted portfolios and factor portfolios (quality, value, momentum, and low volatility) across seven Asian markets: Australia, China,…
Among other things, this 32-page issue of Risk & Reward examines how to take a factor-based approach to diversifying oil exposure. Oil investors, fixed income investors and sovereign wealth funds are the main focus of this issue.
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…
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.
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…
This report adds institutional accounts to the mutual funds analyzed in the S&P Indices Versus Active (SPIVA) U.S. Scorecards. It also examines the impact of fees.
The lack of correlation across various ESG rating agencies is often cited as one of the causes of data inconsistency. There is criticism that different ESG rating agencies often have quite different ESG ratings for the same company. The process tends to be opaque with little understanding of how ratings are deduced. However…
This 42-page paper by Candriam examines the key role the transportation and energy sectors play in the sustainable energy transition. It asks the question: can automobiles change the world?
A client recently asked an intriguing question: “Do style factors behave differently after a yield-curve inversion?” Intuitively, one might think they would. Particularly if a recession were looming, investors might turn to stocks that are less volatile, lower beta, more profitable, less leveraged, etc. We studied the impact…
