Valuations and Portfolio Construction

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  • 02 hr 39 mins 01 secs

Dr. Ron Kahn provides his insights on Valuations

  • Framework Useful for Return Forecasting
  • Return Decomposition
  • The horizon effects
  • Constant Growth DDM
  • Dealing with Unrealistic Growth
  • Using DDM’s for Active Management
  • Net Present Value
  • Returns to Value Investing
  • Implementing Comparative Valuation
  • Forecasting Alpha Directly
  • APT Theory and Implementing APT

Portfolio Construction

  • Typical Equity Return-forecasting Signals
  • Optimization and Data Errors
  • Muller’s Portfolio Construction Test
  • Bias in Optimization
  • Back to Quadratic Optimization
  • Controlling Alphas
  • Neutralization and Insights into Neutralization
  • Understanding Neutralization
  • Portfolio Construction
  • Observations on Constraints and Costs
  • Simple Model of Long-Only Constraint

Channel

CFA Society South Africa