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Handbook of Equity Style Management, 3rd Edition


Beginning with the introduction of "value" and "growth" stocks in the late 1930s, expanding to add the concept of "small cap" stocks in the early 1980s, and progressing to the mathematical formalization of Nobel Laureate William Sharpe in the late 1980s, the methodology of equity style is now an integral part of U.S. and non-U.S. equity analysis and portfolio management.

Continuing the tradition of the first and second editions, T. Daniel Coggin and Frank J. Fabozzi have brought together thirty-five leading experts from academia and the investment profession to give you the most comprehensive and up-to-date coverage of the key issues in this rapidly growing field. In one concise volume, you will learn the basics of equity style management and its latest developments.

This updated edition presents the rationale behind equity style management, and reveals strategies that can be used to manage risk and improve returns. The Handbook of Equity Style Management, Third Edition includes new chapters on:

  • The major approaches to defining, managing, and assessing equity style
  • U.S. and non-U.S. equity style indexes
  • The behavioral aspects of equity style
  • Tactical equity style management
  • The impact of the "technology bubble" on equity style investing
  • International value investing
  • Equity style ETFs
  • The mathematical basis of equity style analysis

Filled with in-depth analysis and insight from recognized experts in the field, The Handbook of Equity Style Management, Third Edition is "must reading" for analysts, portfolio managers, consultants, and individual investors who want to stay informed about this important topic.

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.

About the Editors.


Overview of the Book.

Contributing Authors.

CHAPTER 1. Style Analysis: Asset Allocation and Performance Evaluation (Arik Ben Dor and Ravi Jagannathan).

CHAPTER 2. The Many Elements of Equity Style: Quantitative Management of Core, Growth, and Value Strategies  (Robert D. Arnott and Christopher G. Luck).

CHAPTER 3. Models of Equity Style Information (Robert C. Radcliffe).

CHAPTER 4. Style Analysis: A Ten-Year Retrospective and Commentary (R. Stephen Hardy).

CHAPTER 5. More Depth and Breadth than the Style Box: The Morningstar Lens (Paul D. Kaplan, James A. Knowles, and Don Phillips).

CHAPTER 6. Using Portfolio Holdings to Improve the Search for Skill (Ronald J. Surz).

CHAPTER 7. Are Growth and Value Dead?: A New Framework for Equity Investment Styles (Lawrence S. Speidell and John Graves).

CHAPTER 8. The Style of Investor Expectations (Hersh Shefrin and Meir Statman).

CHAPTER 9. The Effects of Imprecision and Bias on the Abilities of Growth and Value Managers to Outperform their Respective Benchmarks (Robert A. Haugen).

CHAPTER 10. Style Return Differentials: Illusions, Risk Premiums, or Investment Opportunities (Richard Roll).

CHAPTER 11. The Persistence of Equity Style Performance: Evidence from Mutual Fund Data (Ronald N. Kahn and Andrew Rudd).

CHAPTER 12. How the Technology Bubble of 1999–2000 Disrupted Equity Style Investing (Kari Bayer Pinkernell and Richard Bernstein).

CHAPTER 13. Multistyle Equity Investment Models (Parvez Ahmed, John G. Gallo, Larry J. Lockwood, and Sudhir Nanda).

CHAPTER 14. A Comparison of Fixed versus Flexible Market Capitalization Style Allocations: Don’t Be Boxed in by Size (Marc R Reinganum).

CHAPTER 15. A Plan Sponsor Perspective on Equity Style Management (Keith Cardoza).

CHAPTER 16 An Analysis of U.S. and Non-U.S. Equity Style Index Methodologies (H. David Shea).

CHAPTER 17. Country-Level Equity Style Timing (Clifford Asness, Robert Krail, and John Liew).

CHAPTER 18. Value Investing and the January Effect: Some More International Evidence (Bala Arshanapalli, T. Daniel Coggin, and William Nelson).

CHAPTER 19. Exploring the Mathematical Basis of Returns-Based Style Analysis (Thomas Becker).

CHAPTER 20. Trading (and Investing) in "Style" Using Futures and Exchange-Traded Funds (Joanne M. Hill).