Equity Valuation and Portfolio Management 1st Edition by Frank J Fabozzi,Harry M Markowitz ISBN 047092991X 978-0470929919

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Product details: 

ISBN 10: 047092991X 

ISBN 13: 978-0470929919

Author: Frank J. Fabozzi,Harry M. Markowitz

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.

Table of contents: 

Chapter 1 An Introduction to Quantitative Equity Investing
Paul Bukowski

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
James L. Grant and Frank J. Fabozzi

Overview of Traditional Metrics
Price Multiples
Fundamental Stock Return
Traditional Caveats
Overview of Value-Based Metrics
Key Points
Appendix: Case Study
Questions

Chapter 3 A Franchise Factor Approach to Modeling P/E Orbits
Stanley Kogelman and Martin L. Leibowitz

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
Glen A. Larsen Jr., Frank J. Fabozzi, and Chris Gowlland

Basic Principles of Relative Valuation
Hypothetical Example
Key Points
Questions

Chapter 5 Valuation over the Cycle and the Distribution of Returns
Anders Ersbak Bang Nielsen and Peter C. Oppenheimer

The Link Between Earnings and Returns
The Phases Can Be Interpreted in Relationship to the Economy
Asset 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
Bruce I. Jacobs and Kenneth N. Levy

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
Bruce I. Jacobs and Kenneth N. Levy

An Integrated Approach to a Segmented Market
Disentangling
Constructing, Trading, and Evaluating Portfolios
Profiting from Complexity
Key Points
Questions

Chapter 8 Survey Studies of the Use of Quantitative Equity Management
Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas

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
Frank J. Fabozzi, Sergio M. Focardi, and K. C. Ma

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 Management
Raman Vardharaj, Frank J. Fabozzi, and Frank J. Jones

Definition 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
Petter N. Kolm, Joseph A. Cerniglia, and Frank J. Fabozzi

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
Key Points
Questions

Chapter 12 Cross-Sectional Factor-Based Models and Trading Strategies
Joseph A. Cerniglia, Petter N. Kolm, and Frank J. Fabozzi

Cross-Sectional Methods for Evaluation of Factor Premiums
Factor Models
Performance Evaluation of Factors
Model Construction Methodologies for a Factor-based Trading Strategy
Backtesting
Backtesting Our Factor Trading Strategy
Key Points
Appendix: The Compustat Point-in-Time, IBES Consensus Databases and Factor Definitions
Questions

Chapter 13 Multifactor Equity Risk Models and Their Applications
Anthony Lazanas, António Baldaque da Silva, Arne D. Staal, and Cenk Ural

Motivation
Equity Risk Factor Models
Applications of Equity Risk Models
Key Points
Questions

Chapter 14 Dynamic Factor Approaches to Equity Portfolio Management
Dorsey D. Farr

Methods of Active Management
Modeling
Implementation
Key Points
Questions

Chapter 15 A Factor Competition Approach to Stock Selection
Joseph Mezrich and Junbo Feng

The Problem
The Solution
Which Factors Get Picked?
Does the Alpha Repair Process Work?
Key Points
Questions

Chapter 16 Avoiding Unintended Country Bets in Global Equity Portfolios
Michele Aghassi, Cliff Asness, Oktay Kurbanov, and Lars N. Nielsen

Country Membership and Individual Stock Returns
Ways to Build Active Global Portfolios
Studying the Naive Portfolio
Empirical Results
Why Does the Naive Stock Selection Portfolio Make Country Noise Bets?
Key Points
Questions

Chapter 17 Modeling Market Impact Costs
Petter N. Kolm and Frank J. Fabozzi

Market Impact Costs
Liquidity and Transaction Costs
Market Impact Measurements and Empirical Findings
Forecasting and Modeling Market Impact
Key Points
Questions

Chapter 18 Equity Portfolio Selection in Practice
Dessislava A. Pachamanova and Frank J. Fabozzi

Portfolio Constraints Commonly Used in Practice
Benchmark Exposure and Tracking Error Minimization
Incorporating Transaction Costs
Incorporating Taxes
Multi-Account Optimization
Robust Parameter Estimation
Portfolio Resampling
Robust Portfolio Optimization
Key Points
Questions

Chapter 19 Portfolio Construction and Extreme Risk
Jennifer Bender, Jyh-Huei Lee, and Dan Stefek

Measures of Extreme Loss
Constraining Shortfall
Performance
Imposing Benchmark Neutrality
Analysis
Key Points
Appendix: Constructing Out-of-Sample Shortfall Betas
Questions

Chapter 20 Working with High-Frequency Data
Irene Aldridge

What is High-Frequency Data?
How is High-Frequency Data Recorded?
Properties of High-Frequency Data
High-Frequency Data are Voluminous
High-Frequency Data are Subject to Bid-Ask Bounce
High-Frequency Data are Irregularly Spaced in Time
Equity Correlations Decay at High Frequencies
Key Points
Questions

Chapter 21 Statistical Arbitrage
Brian J. Jacobsen

Pairs Trading
General Models
Key Points
Questions

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