A guide to the popular and fast growing investment opportunities of smart beta Equity Smart Beta and Factor Investing for Practitioners offers a hands-on guide to the popular investment opportunities of smart beta, which is one of the fastest growing areas within the global equity asset class. This well-balanced book is written in accessible and understandable terms and contains an in-depth manual filled with analytical information and new ideas. The authors--noted experts in the field--include a definition of smart beta investing and detail its history. They also explore the…mehr
A guide to the popular and fast growing investment opportunities of smart beta
Equity Smart Beta and Factor Investing for Practitioners offers a hands-on guide to the popular investment opportunities of smart beta, which is one of the fastest growing areas within the global equity asset class. This well-balanced book is written in accessible and understandable terms and contains an in-depth manual filled with analytical information and new ideas.
The authors--noted experts in the field--include a definition of smart beta investing and detail its history. They also explore the distinguishing characteristics of smart beta strategies, offer an overview of factor investing, and reveal the implementation of smart beta approaches. Comprehensive in scope, the book contains helpful examples of applications, real-life illustrative case studies, and contributions from leading and respected practitioners that explain how they approach smart beta investing. This important book: _ Contains an in-depth exploration of smart beta investing _ Includes the information written in clear and accessible language _ Presents helpful case studies, illustrative examples, and contributions from leading and respected experts _ Offers a must have resource coauthored by the Head of Goldman Sachs' equity smart beta business
Written for investors who want to tap into the opportunities that smart beta offers, Equity Smart Beta and Factor Investing for Practitioners is the comprehensive resource for learning how to create more efficient overall equity portfolios.
KHALID (Kal) GHAYUR, CFA, FSIP, is Managing Director, Head of ActiveBeta Equity Strategies, Goldman Sachs Asset Management. He oversees his team's customized, factor-based equity portfolios. Prior to joining GSAM, Kal was the Managing Partner and Chief Investment Officer for Westpeak Global Advisors, a pioneer in the smart beta space. RONAN G. HEANEY is Vice President, Head of ActiveBeta Equity Research, Goldman Sachs Asset Management. He leads investment research activities, including improving quantitative investment models and portfolio construction methodologies and identifying and testing new model components and implementation techniques. STEPHEN C. PLATT, CFA, is Vice President, Head of ActiveBeta Equity Portfolio Management, Goldman Sachs Asset Management. He is responsible for portfolio management, including portfolio construction and risk management of global developed and emerging market equity portfolios and custom indexes.
Inhaltsangabe
Acknowledgments xiii
Disclaimer xv
Introduction 1
Part I Overview of Equity Smart Beta Space
Chapter 1 Evolution and Composition of the Equity Smart Beta Space 11
I. Introduction 12
II. Evolution of Equity Smart Beta 13
III. Desired Characteristics of Smart Beta Strategies 19
IV. Composition and Definition of Equity Smart Beta 21
V. Typical Investor Questions 21
VI. Conclusion 30
Part II Equity Common Factors and Factor Investing
Chapter 2 An Overview of Equity Common Factors and Factor Investing 35
I. Introduction: What Are Equity Common Factors? 36
II. Weighting Schemes Used to Capture Factor Returns 73
III. Assessing the Investment Performance and Efficiency of Weighting Schemes Used to Capture Factor Returns 82
IV. Typical Investor Questions 96
V. Conclusion 101
Chapter 5 Factor Specifications 109
I. Introduction 110
II. Value 111
III. Momentum 114
IV. Low Volatility 115
V. Quality 116
VI. Typical Investor Questions 119
VII. Conclusion 122
Chapter 6 Active Risk and Return Decomposition of Smart Beta and Active Strategies 125
I. Introduction 127
II. Risk Decomposition of Smart Beta Strategies 127
III. Risk Decomposition of Active Strategies 134
IV. Typical Investor Questions 142
V. Conclusion 148
Part IV Performance Characteristics of Smart Beta Factor Strategies
Chapter 7 Performance Characteristics of Individual Smart Beta Factors 151
I. Introduction 152
II. After-Cost Performance: Accounting for Implementation Costs 154
III. After-Cost Performance Characteristics 158
IV. Typical Investor Questions 168
V. Conclusion 171
Chapter 8 Performance Characteristics of Factor Diversification Strategies 173
I. Introduction 175
II. Active Return Correlations 175
III. Performance Characteristics of Factor Diversification Strategies 179
IV. Constructing Diversification Strategies: The Portfolio Blending versus Signal Blending Debate 197
V. Typical Investor Questions 202
VI. Conclusion 209
Chapter 9 The Low-Volatility Anomaly 211 Roger G. Clarke, Research Consultant, Analytic Investors Harindra de Silva, Portfolio Manager, Analytic Investors/Wells Fargo Asset Management Steven Thorley, H. Taylor Peery Professor of Finance, Marriott School of Business, Brigham, Young University
I. Introduction 211
II. Historical Manifestation of the Low-Volatility Factor 212
II. Weighting Schemes Used to Capture Factor Returns 73
III. Assessing the Investment Performance and Efficiency of Weighting Schemes Used to Capture Factor Returns 82
IV. Typical Investor Questions 96
V. Conclusion 101
Chapter 5 Factor Specifications 109
I. Introduction 110
II. Value 111
III. Momentum 114
IV. Low Volatility 115
V. Quality 116
VI. Typical Investor Questions 119
VII. Conclusion 122
Chapter 6 Active Risk and Return Decomposition of Smart Beta and Active Strategies 125
I. Introduction 127
II. Risk Decomposition of Smart Beta Strategies 127
III. Risk Decomposition of Active Strategies 134
IV. Typical Investor Questions 142
V. Conclusion 148
Part IV Performance Characteristics of Smart Beta Factor Strategies
Chapter 7 Performance Characteristics of Individual Smart Beta Factors 151
I. Introduction 152
II. After-Cost Performance: Accounting for Implementation Costs 154
III. After-Cost Performance Characteristics 158
IV. Typical Investor Questions 168
V. Conclusion 171
Chapter 8 Performance Characteristics of Factor Diversification Strategies 173
I. Introduction 175
II. Active Return Correlations 175
III. Performance Characteristics of Factor Diversification Strategies 179
IV. Constructing Diversification Strategies: The Portfolio Blending versus Signal Blending Debate 197
V. Typical Investor Questions 202
VI. Conclusion 209
Chapter 9 The Low-Volatility Anomaly 211 Roger G. Clarke, Research Consultant, Analytic Investors Harindra de Silva, Portfolio Manager, Analytic Investors/Wells Fargo Asset Management Steven Thorley, H. Taylor Peery Professor of Finance, Marriott School of Business, Brigham, Young University
I. Introduction 211
II. Historical Manifestation of the Low-Volatility Factor 212