"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...
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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.* 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"--Back cover
Electronic reproduction; Available via World Wide Web
Equity Valuation and Portfolio Management; Contents; Preface; About the Editors; Contributing Authors; Chapter 1: An Introduction to Quantitative Equity Investing; Equity Investing; Fundamental vs. Quantitative Investor; The Quantitative Stock Selection Model; The Overall Quantitative Investment Process; Research; Portfolio Construction; Monitoring; Current Trends; Key Points; Questions; Chapter 2: Equity Analysis Using Traditional and Value-Based Metrics; Overview of Traditional Metrics; Price Multiples; Fundamental Stock Return; Traditional Caveats; Overview of Value-Based Metrics
Key PointsAppendix: Case Study; Questions; Chapter 3: A Franchise Factor Approach to Modeling P/E Orbits; Background; Historical Data Observations; Formulation of the Basic Model; P/E Myopia: The Fallacy of a Stable P/E; Two-Phase P/E Orbits; Franchise Valuation under Q-Type Competition; Franchise Labor; Key Points; Questions; Chapter 4: Relative Valuation Methods for Equity Analysis; Basic Principles of Relative Valuation; Hypothetical Example; Key Points; Questions; Chapter 5: Valuation over the Cycle and the Distribution of Returns; The Link Between Earnings and Returns
The Phases Can Be Interpreted in Relationship to the EconomyAsset Class Performance Varies across the Phases; Incorporating Cyclicality into Valuations; Appendix: Dates and Returns of the Phases; Key Points; Questions; Chapter 6: An Architecture for Equity Portfolio Management; Architectural Building Blocks; Traditional Active Management; Passive Management; Engineered Management; Expanding Opportunities; The Risk-Return Continuum; The Ultimate Objective; Key Points; Questions; Chapter 7: Equity Analysis in a Complex Market; An Integrated Approach to a Segmented Market; Disentangling
Constructing, Trading, and Evaluating PortfoliosProfiting from Complexity; Key Points; Questions; Chapter 8: Survey Studies of the Use of Quantitative Equity Management; 2003 Intertek European Study; 2006 Intertek Study; 2007 Intertek Study; Challenges for Quantitative Equity Investing; Modeling After the 2007-2009 Global Financial Crisis; Key Points; Questions; Chapter 9: Implementable Quantitative Equity Research; The Rise of Econophysics; A General Framework; Select a Sample Free from Survivorship Bias; Select a Methodology to Estimate the Model; Risk Control; Key Points; Questions
Chapter 10: Tracking Error and Common Stock Portfolio ManagementDefinition of Tracking Error; Components of Tracking Error; Forward-Looking vs. Backward-Looking Tracking Error; Information Ratio; Determinants of Tracking Error; Marginal Contribution to Tracking Error; Key Points; Questions; Chapter 11: Factor-Based Equity Portfolio Construction and Analysis; Factor-Based Trading; Developing Factor-Based Trading Strategies; Risk to Trading Strategies; Desirable Properties of Factors; Sources for Factors; Building Factors from Company Characteristics; Working with Data; Analysis of Factor Data
