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.
Autorentext
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.
Zusammenfassung
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.
Inhalt
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 20072009 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. Jon...