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: 2760
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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: 1764
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  • 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: 2166
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  • Johnson Associates

    US Asset Management Compensation Survey 2015

    This US salary survey, compiled jointly by Johnson Associates and Greenwich Associates, shows median salary and bonus earned by analysts, traders and portfolio managers, working in equity and fixed income, for traditional asset managers and at hedge funds. It suggests that compensation for professionals at traditional buy-side organizations has almost recovered to pre-crisis highs. ...

    • Professional
    • Views: 10623
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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 ...

  • 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 ...

  • CFA Institute

    Fundamentals of Efficient Factor Investing (FAJ, 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: 1271
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  • 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: 1382
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  • BlackRock

    The Rise of Factor Investing: Adoption by Institutional Investors (BlackRock, 2016)

    This paper examines the increasing prominence of factors and factor investing in institutional portfolios. The paper is split into four parts: Introduction; The Factor Landscape; Capital Allocation and Investment Strategies; The Future of Factor Investing. The report is based on a survey of 200 institutional investors from around the world.

  • Research Affiliates

    A Framework for Assessing Factors and Implementing Smart Beta Strategies (2015)

    Published in the Journal of Index Investing, this article argues that the academic literature is littered with a "zoo" of apparently smart risk factors, which in practice will go unrewarded, being the result of spurious and unwarranted data-mining, The authors suggest a methodology whereby robust, investable, risk factors can be identified, which make intuitive sense and ...

    • Professional
    • Views: 1386
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  • Cambridge Associates

    Hallmarks of Successful Active Equity Managers

    How can investors select active equity managers to maximize their odds for success? While there are no silver bullets in active equity manager selection, some managers have generated attractive long-term performance that exceeds both their benchmarks and management fees. This 20 page document from Kevin Ely of Cambridge Associates highlights key characteristics to look ...

    • Professional
    • Views: 1982
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  • FTSE Russell

    Smart beta: 2017 global survey findings from asset owners (FTSE Russell, 2017)

    Now in its fourth year, FTSE Russell’s comprehensive survey of global asset owners focuses on key themes behind the adoption, evaluation and implementation of smart beta. Find out the primary motivations of asset owners from across all asset tiers and regions, and get insight into how they perceive and participate in growing trends such as smart sustainability and ...

  • UBS Asset Management

    Up in the air on carbon: How investors can leverage carbon data (UBS Asset Management, 2017)

    Much of the investment industry has begun incorporating carbon emissions data into investment decisions, but the way forward is complex and requires analysis that goes beyond standard carbon emissions data. Investors who focus on simple solutions such as divestment or footprinting without considering these other factors may end up divesting shares of innovative companies and ...

  • FTSE Russell

    Factor Exposure and Portfolio Concentration (FTSE Russell, May 2017)

    Get an in-depth view of efficient multi-factor portfolio construction techniques, review the pros and cons of various approaches, and take a closer look at the benefits of tilting toward and away from single and multiple factors. An ideal read for asset owners who need a better understanding of factor tilting and want to compare outcomes for factor portfolio construction by looking ...

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