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 Points -- Appendix: 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 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 -- 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 Portfolios -- Profiting 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 Management -- 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 -- 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 -- 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 -- 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 -- 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 -- 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 -- 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 -- 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 -- 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 -- 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 -- Pairs Trading -- General Models -- Key Points -- Questions -- About the Website -- Index.