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.
  • 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: 3128
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  • EDHEC-Risk Institute

    Is Smart Beta just Monkey Business? Factor Exposures, Upside-Down Strategies and Rebalancing (EDHEC)

    The “Monkey portfolio” proposition is that smart beta strategies can be deployed naively, with the assurance that all such strategies will add value. EDHEC's research suggests otherwise, with many smart beta strategies having exposure to other factors. The authors warn that care is needed to avoid over-extrapolating the implications of a particular test ...

    • Professional
    • Views: 1834
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  • 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: 1858
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  • AQR Capital Management

    Fact, Fiction and Momentum Investing (AQR Capital, 2014)

    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.

  • Vanguard

    A framework for institutional portfolio construction (Vanguard, 2016)

    Typically, institutional investors around the world pursue one of four investment goals: absolute return, liability-driven investment, total return or principal protection. Generally, they choose from four different investment approaches: static tilts, traditional active management, market-capitalization exposures and alternative investments. Given the aforementioned potential ...

    • Professional
    • Views: 2375
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  • 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 ...

  • 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: 844
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  • 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: 1943
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  • 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: 1039
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  • QMA (Quantitative Management Associates)

    Start of Something Big: Demystifying the Source of Large Alpha in Small Caps (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: 1133
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  • 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: 1330
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  • QMA (Quantitative Management Associates)

    Performance Consistency in International Equities - The Advantage of an Adaptive Quantitative Approach (2016)

    QMA's paper describes how a bottom-up, quantitative investment process may be well suited to deliver consistent positive excess returns in international equity markets by focusing on two key elements of the investment process: a) a stock selection model that captures the long-term drivers of future returns via firm fundamentals, and b) the use of rankings generated by that ...

  • 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: 1412
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