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Common Stock Alpha Strategies

In: Fundamentals of Institutional Asset Management

Author

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  • Frank J. Fabozzi
  • Francesco A. Fabozzi

Abstract

As explained in Chapter 12, strategies employed by equity portfolio managers are either indexing-type strategies or active strategies. The selection of the type of strategy to pursue depends on a client’s view of the pricing efficiency of the stock market. Indexing-type strategies, referred to as beta strategies and the subject of Chapter 12, should be pursued when clients believe that asset managers cannot outperform the stock market after adjusting for risk, transactions costs, and management fees. When a client holds the view that there are equity portfolio managers capable of outperforming the market, then they will seek to retain a manager who pursues an active strategy. Active strategies are called alpha strategies and are the subject of this chapter.

Suggested Citation

  • Frank J. Fabozzi & Francesco A. Fabozzi, 2020. "Common Stock Alpha Strategies," World Scientific Book Chapters, in: Fundamentals of Institutional Asset Management, chapter 13, pages 361-394, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811221590_0013
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    Keywords

    Investment Risks; Investment Vehicles; Portfolio Theory; Asset Pricing Theory; Mean-Variance Analysis; Measuring Return; Measuring Risk; Company Equity Analysis; Equity Valuation Models; Common Stock Alpha Strategies; Common Stock Beta Strategies; Smart Beta Strategies; Factor Investing; Equity Indexing; Equity Derivatives; Bond Analytics; Bond Pricing; Interest Rate Risk; Duration; Interest Rate Derivatives; Credit Derivatives; Multi-Asset Portfolio Strategies; Collective Investment Vehicles; Alternative Assets;
    All these keywords.

    JEL classification:

    • G3 - Financial Economics - - Corporate Finance and Governance
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G1 - Financial Economics - - General Financial Markets

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