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Equity style management is one of today's fastest growing investment techniques. Pioneered by Nobel Laureate William Sharpe,equity style categories,such as value,growth,small cap,medium cap,and foreign stocks. The Handbook of Equity Style Management explains the rationale behind style management,the various style management approaches,and how style management can be used to manage risk and improve returns. Featuring contributions from top people in the field,The Handbook of Equity Style Management covers all aspects of this innovative investment approach. Specific topics include: an overview of equity style indices; return-based style analysis; implications of style in foreign stock investing; tactical style management.
About the Author
T. DANIEL COGGIN, PhD, is a nationally recognized investment management consultant with over twenty-five years of experience in investment management and consulting. Dr. Coggin is a frequent speaker at investment industry conferences, and has co-edited three books and written numerous articles and book chapters on quantitative investment management. He earned his PhD in political science from Michigan State University in 1977 with an emphasis on econometrics and quantitative methods.
FRANK J. FABOZZI, PhD, CFA, is Editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University's School of Management. Dr. Fabozzi is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He is an Advisory Analyst for Global Asset Management (GAM) with responsibilities as Consulting Director for portfolio construction, risk control, and evaluation.
Table of ContentsAbout the Editors.
Overview of the Book.
1. Equity Style: What It Is and Why It Matters (J. Christopherson and C. Williams).
2. Understanding the Differences and Similarities of Equity Style Indexes (M. Brown and C. Mott).
3. Returned-Based Style Analysis (S. Hardy).
4. Fundamental Factors in Equity Style Classification (D. Borger).
5. Style Return Differentials: Illusions, Risk Premiums, or Investment Opportunities (R. Roll).
6. Style Betas: An Approach to Measuring Style at the Security Level (K. Quinton).
7. Value-Based Equity Strategies (G. Schlarbaum).
8. Investment Styles, Stock Market Cycles, Investor Expectations, and Portfolio Performance (W. Bauman and R. Miller).
9. Analyzing the Performance of Equity Managers: A Note on Value versus Growth (T. Coggin and C. Trzcinka).
10. The Effects of Imprecision and Bias on the Abilities of Growth and Value Managers to Out-Perform their Respective Benchmarks (R. Haugen).
11. The Many Sides of Equity Style: Quantitative Management of Core, Value, and Growth Portfolios (D. Leinweber, et al.).
12. Structuring Returns from Global Market Neutral Strategies (D. Leinweber, et al.).
13. Comparing International Style Indexes: Independence International Associates versus Parametric Portfolio Associates (D. Umstead).
14. The Role of Completion Funds in Equity Style Management (C. Campisano and M. Nederlof).
15. Equity Style Benchmarks for Fund Analysis (M. Compton).
16. Style Management: The Greatest Opportunity in Investments (G. Allen).
17. The Persistence of Equity Style Performance: Evidence from Mutual Fund Data (R. Kahn and A.Rudd).
18. Global Performance Evaluation and Equity Style: Introducing Portfolio Opportunity Distributions (R. Surz).
19. Value and Growth Index Derivatives (J. Hill and M. Tsu).
20. Is Equity Style Management Worth the Effort?: Some Critical Issues for Plan Sponsors (C. Trzcinka).