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A detailed look at equity valuation and portfolio management Equity valuation is a method of valuing stock prices using fundamental analysis to determine the worth of the business and discover investment opportunities. In Equity Valuation and Portfolio Management Frank J. Fabozzi and Harry M. Markowitz explain the process of equity valuation, provide the necessary mathematical background, and discuss classic and new portfolio strategies for investment managers. Divided into two comprehensive parts, this reliable resource focuses on valuation and portfolio strategies related to equities. *…mehr
A detailed look at equity valuation and portfolio management Equity valuation is a method of valuing stock prices using fundamental analysis to determine the worth of the business and discover investment opportunities. In Equity Valuation and Portfolio Management Frank J. Fabozzi and Harry M. Markowitz explain the process of equity valuation, provide the necessary mathematical background, and discuss classic and new portfolio strategies for investment managers. Divided into two comprehensive parts, this reliable resource focuses on valuation and portfolio strategies related to equities. * Discusses both fundamental and new techniques for valuation and strategies * Fabozzi and Markowitz are experts in the fields of investment management and economics * Includes end of chapter bullet point summaries, key chapter take-aways, and study questions Filled with in-depth insights and practical advice, Equity Valuation and Portfolio Management will put you in a better position to excel at this challenging endeavor.
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Autorenporträt
FRANK J. FABOZZI, PHD, CFA, is Professor of Finance at EDHEC Business School and a member of the EDHEC-Risk Institute. Prior to joining EDHEC in August 2011, he held various professorial positions in finance at the Yale School of Management from 1994 to 2011 and was a visiting professor of finance and accounting at the MIT Sloan School of Management from 1986 to 1992. He is also Editor of the Journal of Portfolio Management. HARRY M. MARKOWITZ, PHD, is a consultant in the area of finance. In 1990, he was awarded the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for his groundbreaking work in portfolio theory. In 1989, he received the John von Neumann Theory Prize of the Institute for Operations Research and the Management Sciences for his work in portfolio theory and other applications of mathematics and computers to business practice.
Inhaltsangabe
Preface xiii About the Editors xxiii Contributing Authors xxv Chapter 1 An Introduction to Quantitative Equity Investing 1 Paul Bukowski Equity Investing 1 Fundamental vs. Quantitative Investor 2 The Quantitative Stock Selection Model 7 The Overall Quantitative Investment Process 9 Research 9 Portfolio Construction 18 Monitoring 21 Current Trends 22 Key Points 23 Questions 24 Chapter 2 Equity Analysis Using Traditional and Value-Based Metrics 25 James L. Grant and Frank J. Fabozzi Overview of Traditional Metrics 25 Price Multiples 32 Fundamental Stock Return 36 Traditional Caveats 38 Overview of Value-Based Metrics 39 Key Points 58 Appendix: Case Study 60 Questions 69 Chapter 3 A Franchise Factor Approach to Modeling P/E Orbits 71 Stanley Kogelman and Martin L. Leibowitz Background 72 Historical Data Observations 75 Formulation of the Basic Model 81 P/E Myopia: The Fallacy of a Stable P/E 85 Two-Phase P/E Orbits 91 Franchise Valuation under Q-Type Competition 96 Franchise Labor 97 Key Points 101 Questions 102 Chapter 4 Relative Valuation Methods for Equity Analysis 105 Glen A. Larsen Jr., Frank J. Fabozzi, and Chris Gowlland Basic Principles of Relative Valuation 106 Hypothetical Example 115 Key Points 123 Questions 124 Chapter 5 Valuation over the Cycle and the Distribution of Returns 125 Anders Ersbak Bang Nielsen and Peter C. Oppenheimer The Link Between Earnings and Returns 126 The Phases Can Be Interpreted in Relationship to the Economy 132 Asset Class Performance Varies across the Phases 137 Incorporating Cyclicality into Valuations 139 Appendix: Dates and Returns of the Phases 142 Key Points 146 Questions 146 Chapter 6 An Architecture for Equity Portfolio Management 147 Bruce I. Jacobs and Kenneth N. Levy Architectural Building Blocks 148 Traditional Active Management 151 Passive Management 156 Engineered Management 157 Expanding Opportunities 160 The Risk-Return Continuum 163 The Ultimate Objective 167 Key Points 168 Questions 169 Chapter 7 Equity Analysis in a Complex Market 171 Bruce I. Jacobs and Kenneth N. Levy An Integrated Approach to a Segmented Market 172 Disentangling 176 Constructing, Trading, and Evaluating Portfolios 184 Profiting from Complexity 186 Key Points 187 Questions 188 Chapter 8 Survey Studies of the Use of Quantitative Equity Management 189 Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas 2003 Intertek European Study 189 2006 Intertek Study 197 2007 Intertek Study 205 Challenges for Quantitative Equity Investing 224 Modeling After the 2007-2009 Global Financial Crisis 226 Key Points 228 Questions 229 Chapter 9 Implementable Quantitative Equity Research 231 Frank J. Fabozzi, Sergio M. Focardi, and K. C. Ma The Rise of Econophysics 233 A General Framework 235 Select a Sample Free from Survivorship Bias 238 Select a Methodology to Estimate the Model 239 Risk Control 246 Key Points 248 Questions 249 Chapter 10 Tracking Error and Common Stock Portfolio Management 251 Raman Vardharaj, Frank J. Fabozzi, and Frank J. Jones Definition of Tracking Error 251 Components of Tracking Error 254 Forward-Looking vs. Backward-Looking Tracking Error 255 Information Ratio 256 Determinants of Tracking Error 257 Marginal Contribution to Tracking Error 261 Key Points 262 Questions 263 Chapter 11 Factor-Based Equity Portfolio Construction and Analysis 265 Petter N. Kolm, Joseph A. Cerniglia, and Frank J. Fabozzi Factor-Based Trading 266 Developing Factor-Based Trading Strategies 269 Risk to Trading Strategies 271 Desirable Properties of Factors 273 Sources for Factors 273 Building Factors from Company Characteristics 274 Working with Data 275 Analysis of Factor Data 283 Key Points 287 Questions 289 Chapter 12 Cross-Sectional Factor-Based Models and Trading Strategies 291 Joseph A. Cerniglia, Petter N. Kolm, and Frank J. Fabozzi Cross-Sectional Methods for Evaluation of Factor Premiums 292 Factor Models 300 Performance Evaluation of Factors 310 Model Construction Methodologies for a Factor-based Trading Strategy 317 Backtesting 328 Backtesting Our Factor Trading Strategy 330 Key Points 331 Appendix: The Compustat Point-in-Time, IBES Consensus Databases and Factor Definitions 333 Questions 337 Chapter 13 Multifactor Equity Risk Models and Their Applications 339 Anthony Lazanas, António Baldaque da Silva, Arne D. Staal, and Cenk Ural Motivation 340 Equity Risk Factor Models 342 Applications of Equity Risk Models 350 Key Points 370 Questions 371 Chapter 14 Dynamic Factor Approaches to Equity Portfolio Management 373 Dorsey D. Farr Methods of Active Management 376 Modeling 385 Implementation 392 Key Points 395 Questions 395 Chapter 15 A Factor Competition Approach to Stock Selection 397 Joseph Mezrich and Junbo Feng The Problem 397 The Solution 403 Which Factors Get Picked? 407 Does the Alpha Repair Process Work? 408 Key Points 411 Questions 412 Chapter 16 Avoiding Unintended Country Bets in Global Equity Portfolios 413 Michele Aghassi, Cliff Asness, Oktay Kurbanov, and Lars N. Nielsen Country Membership and Individual Stock Returns 414 Ways to Build Active Global Portfolios 416 Studying the Naive Portfolio 419 Empirical Results 420 Why Does the Naive Stock Selection Portfolio Make Country Noise Bets? 422 Key Points 423 Questions 424 Chapter 17 Modeling Market Impact Costs 425 Petter N. Kolm and Frank J. Fabozzi Market Impact Costs 426 Liquidity and Transaction Costs 427 Market Impact Measurements and Empirical Findings 430 Forecasting and Modeling Market Impact 433 Key Points 439 Questions 440 Chapter 18 Equity Portfolio Selection in Practice 441 Dessislava A. Pachamanova and Frank J. Fabozzi Portfolio Constraints Commonly Used in Practice 442 Benchmark Exposure and Tracking Error Minimization 450 Incorporating Transaction Costs 454 Incorporating Taxes 460 Multi-Account Optimization 465 Robust Parameter Estimation 469 Portfolio Resampling 471 Robust Portfolio Optimization 474 Key Points 480 Questions 481 Chapter 19 Portfolio Construction and Extreme Risk 483 Jennifer Bender, Jyh-Huei Lee, and Dan Stefek Measures of Extreme Loss 484 Constraining Shortfall 485 Performance 485 Imposing Benchmark Neutrality 487 Analysis 489 Key Points 493 Appendix: Constructing Out-of-Sample Shortfall Betas 494 Questions 495 Chapter 20 Working with High-Frequency Data 497 Irene Aldridge What is High-Frequency Data? 497 How is High-Frequency Data Recorded? 499 Properties of High-Frequency Data 500 High-Frequency Data are Voluminous 501 High-Frequency Data are Subject to Bid-Ask Bounce 503 High-Frequency Data are Irregularly Spaced in Time 509 Equity Correlations Decay at High Frequencies 517 Key Points 519 Questions 520 Chapter 21 Statistical Arbitrage 521 Brian J. Jacobsen Pairs Trading 523 General Models 532 Key Points 534 Questions 534 About the Website 535 Index 537
Preface xiii About the Editors xxiii Contributing Authors xxv Chapter 1 An Introduction to Quantitative Equity Investing 1 Paul Bukowski Equity Investing 1 Fundamental vs. Quantitative Investor 2 The Quantitative Stock Selection Model 7 The Overall Quantitative Investment Process 9 Research 9 Portfolio Construction 18 Monitoring 21 Current Trends 22 Key Points 23 Questions 24 Chapter 2 Equity Analysis Using Traditional and Value-Based Metrics 25 James L. Grant and Frank J. Fabozzi Overview of Traditional Metrics 25 Price Multiples 32 Fundamental Stock Return 36 Traditional Caveats 38 Overview of Value-Based Metrics 39 Key Points 58 Appendix: Case Study 60 Questions 69 Chapter 3 A Franchise Factor Approach to Modeling P/E Orbits 71 Stanley Kogelman and Martin L. Leibowitz Background 72 Historical Data Observations 75 Formulation of the Basic Model 81 P/E Myopia: The Fallacy of a Stable P/E 85 Two-Phase P/E Orbits 91 Franchise Valuation under Q-Type Competition 96 Franchise Labor 97 Key Points 101 Questions 102 Chapter 4 Relative Valuation Methods for Equity Analysis 105 Glen A. Larsen Jr., Frank J. Fabozzi, and Chris Gowlland Basic Principles of Relative Valuation 106 Hypothetical Example 115 Key Points 123 Questions 124 Chapter 5 Valuation over the Cycle and the Distribution of Returns 125 Anders Ersbak Bang Nielsen and Peter C. Oppenheimer The Link Between Earnings and Returns 126 The Phases Can Be Interpreted in Relationship to the Economy 132 Asset Class Performance Varies across the Phases 137 Incorporating Cyclicality into Valuations 139 Appendix: Dates and Returns of the Phases 142 Key Points 146 Questions 146 Chapter 6 An Architecture for Equity Portfolio Management 147 Bruce I. Jacobs and Kenneth N. Levy Architectural Building Blocks 148 Traditional Active Management 151 Passive Management 156 Engineered Management 157 Expanding Opportunities 160 The Risk-Return Continuum 163 The Ultimate Objective 167 Key Points 168 Questions 169 Chapter 7 Equity Analysis in a Complex Market 171 Bruce I. Jacobs and Kenneth N. Levy An Integrated Approach to a Segmented Market 172 Disentangling 176 Constructing, Trading, and Evaluating Portfolios 184 Profiting from Complexity 186 Key Points 187 Questions 188 Chapter 8 Survey Studies of the Use of Quantitative Equity Management 189 Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas 2003 Intertek European Study 189 2006 Intertek Study 197 2007 Intertek Study 205 Challenges for Quantitative Equity Investing 224 Modeling After the 2007-2009 Global Financial Crisis 226 Key Points 228 Questions 229 Chapter 9 Implementable Quantitative Equity Research 231 Frank J. Fabozzi, Sergio M. Focardi, and K. C. Ma The Rise of Econophysics 233 A General Framework 235 Select a Sample Free from Survivorship Bias 238 Select a Methodology to Estimate the Model 239 Risk Control 246 Key Points 248 Questions 249 Chapter 10 Tracking Error and Common Stock Portfolio Management 251 Raman Vardharaj, Frank J. Fabozzi, and Frank J. Jones Definition of Tracking Error 251 Components of Tracking Error 254 Forward-Looking vs. Backward-Looking Tracking Error 255 Information Ratio 256 Determinants of Tracking Error 257 Marginal Contribution to Tracking Error 261 Key Points 262 Questions 263 Chapter 11 Factor-Based Equity Portfolio Construction and Analysis 265 Petter N. Kolm, Joseph A. Cerniglia, and Frank J. Fabozzi Factor-Based Trading 266 Developing Factor-Based Trading Strategies 269 Risk to Trading Strategies 271 Desirable Properties of Factors 273 Sources for Factors 273 Building Factors from Company Characteristics 274 Working with Data 275 Analysis of Factor Data 283 Key Points 287 Questions 289 Chapter 12 Cross-Sectional Factor-Based Models and Trading Strategies 291 Joseph A. Cerniglia, Petter N. Kolm, and Frank J. Fabozzi Cross-Sectional Methods for Evaluation of Factor Premiums 292 Factor Models 300 Performance Evaluation of Factors 310 Model Construction Methodologies for a Factor-based Trading Strategy 317 Backtesting 328 Backtesting Our Factor Trading Strategy 330 Key Points 331 Appendix: The Compustat Point-in-Time, IBES Consensus Databases and Factor Definitions 333 Questions 337 Chapter 13 Multifactor Equity Risk Models and Their Applications 339 Anthony Lazanas, António Baldaque da Silva, Arne D. Staal, and Cenk Ural Motivation 340 Equity Risk Factor Models 342 Applications of Equity Risk Models 350 Key Points 370 Questions 371 Chapter 14 Dynamic Factor Approaches to Equity Portfolio Management 373 Dorsey D. Farr Methods of Active Management 376 Modeling 385 Implementation 392 Key Points 395 Questions 395 Chapter 15 A Factor Competition Approach to Stock Selection 397 Joseph Mezrich and Junbo Feng The Problem 397 The Solution 403 Which Factors Get Picked? 407 Does the Alpha Repair Process Work? 408 Key Points 411 Questions 412 Chapter 16 Avoiding Unintended Country Bets in Global Equity Portfolios 413 Michele Aghassi, Cliff Asness, Oktay Kurbanov, and Lars N. Nielsen Country Membership and Individual Stock Returns 414 Ways to Build Active Global Portfolios 416 Studying the Naive Portfolio 419 Empirical Results 420 Why Does the Naive Stock Selection Portfolio Make Country Noise Bets? 422 Key Points 423 Questions 424 Chapter 17 Modeling Market Impact Costs 425 Petter N. Kolm and Frank J. Fabozzi Market Impact Costs 426 Liquidity and Transaction Costs 427 Market Impact Measurements and Empirical Findings 430 Forecasting and Modeling Market Impact 433 Key Points 439 Questions 440 Chapter 18 Equity Portfolio Selection in Practice 441 Dessislava A. Pachamanova and Frank J. Fabozzi Portfolio Constraints Commonly Used in Practice 442 Benchmark Exposure and Tracking Error Minimization 450 Incorporating Transaction Costs 454 Incorporating Taxes 460 Multi-Account Optimization 465 Robust Parameter Estimation 469 Portfolio Resampling 471 Robust Portfolio Optimization 474 Key Points 480 Questions 481 Chapter 19 Portfolio Construction and Extreme Risk 483 Jennifer Bender, Jyh-Huei Lee, and Dan Stefek Measures of Extreme Loss 484 Constraining Shortfall 485 Performance 485 Imposing Benchmark Neutrality 487 Analysis 489 Key Points 493 Appendix: Constructing Out-of-Sample Shortfall Betas 494 Questions 495 Chapter 20 Working with High-Frequency Data 497 Irene Aldridge What is High-Frequency Data? 497 How is High-Frequency Data Recorded? 499 Properties of High-Frequency Data 500 High-Frequency Data are Voluminous 501 High-Frequency Data are Subject to Bid-Ask Bounce 503 High-Frequency Data are Irregularly Spaced in Time 509 Equity Correlations Decay at High Frequencies 517 Key Points 519 Questions 520 Chapter 21 Statistical Arbitrage 521 Brian J. Jacobsen Pairs Trading 523 General Models 532 Key Points 534 Questions 534 About the Website 535 Index 537
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