The Valuation Handbook: Valuation Techniques from Today's Top Practitioners

CHAPTER 14

GRAPES

A Theory of Stock Prices

 

Max Zavanelli

President, ZPR Investment Research, Inc.

 

 

Max Zavanelli developed the Growth Rate Arbitrage Price Equilibrium System (GRAPES) theory of stock prices in 1986. ZPR Investment Management, Inc. has since recorded what may be the best performance of any diversified U.S. equity manager from 1988 to 2007 with an 1897 percent return net of fees measured according to the Global Investment Performance Standards (GIPS^®). From 2001, the audited returns are shown in Exhibit 14.1.

Since 2001, ZPR also has had a global investment product (see Exhibit 14.2), which is also audited, net of fees, and according to GIPS. (Full details of the composites can be found on the company’s web site www.zprim.com.)

Both investment products set a record for the most consecutive times (12) on Morningstar’s top 10 managers list for the categories of World Stock and U.S. Value for the trailing five years.

ZPR Investment Research, Inc. provides quantitative research to mutual fund families and institutional investors. Over $21 billion invested in U.S. equities uses its databases and models.

A NEW THEORY OF ASSET PRICES

The field of microeconomics has established the theory for a price of a good. It is the intersection of supply and demand. This is further overlaid with utility preference theory related to consumption. In the field of investments, we use risk and expected returns instead of demand and supply. Utility preference is based on our ...