Portfolio-oriented share analysis

In portfolio-oriented share analysis, the price movements of shares and other investment vehicles are studied. Price developments are not viewed in isolation; instead, they are applied to the portfolio as a whole.

Quantitative analysis

Quantitative analysis is concerned with the risk and yield ratios of securities and is based on modern capital market theory. Statistical measures such as standard deviation, v ariance, covariance and correlation are used to analyse securities. An optimal portfolio structure results from combining different securities in a portfolio that takes account of their correlations to each other.

Single-factor models

Single-factor market models describe the market portfolio as the key variable determining expected future equity yields. Because of their ease of use, they are very widespread. The aim is to find shares with a positive alpha factor, i.e. a return component that is uncorrelated with the general market development.

The capital asset pricing model (CAPM) is also very common. It attempts to explain what risk is relevant for shares if they are part of a portfolio, the goal being to identify undervalued shares. Undervaluation is determined by means of a comparison with the expected risk-adjusted share price.

Multi-factor model

Multi-factor models distinguish between systematic (market) risk and unsystematic (company-specific) risk. Systematic risk is comprised of several components. This method is used by professional consultants who attempt to structure portfolios in such a way that they are neutral with regard to certain risk factors and only permit exposure to specific factors.