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An informative guide offering new and innovative ways to think about active management and investing ActiveBeta Indexes presents exciting new research that shows how above-market returns can be achieved in a low-cost, transparent, and efficient fashion. Active Betas reflect fundamental investment principles that have long been the foundation of active equity returns, but are commonly masqueraded as investment skill, or alpha. This groundbreaking book lifts the veil to uncover the common sources of active returns and reveals their beta-like properties. Developed by leading investment…mehr
An informative guide offering new and innovative ways to think about active management and investing
ActiveBeta Indexes presents exciting new research that shows how above-market returns can be achieved in a low-cost, transparent, and efficient fashion. Active Betas reflect fundamental investment principles that have long been the foundation of active equity returns, but are commonly masqueraded as investment skill, or alpha. This groundbreaking book lifts the veil to uncover the common sources of active returns and reveals their beta-like properties.
Developed by leading investment practitioners at Westpeak Global Advisors, ActiveBeta Indexes introduces Active Beta sources and explains how the behavior of short- and long-term earnings growth gives rise to systematic sources of active equity returns.
Details a new index framework and research findings that could change the face of active portfolio management
Presents patent-pending innovations for constructing style indexes and informationally-efficient active portfolios
Explores the historical performance of ActiveBeta Indexes
Wealth advisers, consultants, pensions and endowments, and other institutional investors will find the intellectual honesty of ActiveBeta Indexes a refreshing perspective on the active management industry. They will also find it a useful guide to a more strategic allocation of their risk and management fee budgets - a growing necessity in these challenging times.
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Autorenporträt
Khalid Ghayur is the CEO and CIO of Westpeak Global Advisors, LP. He was director of research policy, a member of the Global Executive Committee, and chairman of the Index Policy Committee at Morgan Stanley Capital International (MSCI) Barra. Prior to this, he was global head of quantitative research and strategy for HSBC Global Asset Management. He is a CFA charterholder, has served on the Board of Governors of the CFA Institute, and is a former trustee of the CFA Institute Research Foundation. He received an MBA in finance and international business from the Ecole Nationale des Ponts et Chaussees and an MA and BA in economics from the University of Karachi.
Ronan G. Heaney is Director of Research at Westpeak. Before joining Westpeak, he was a software architect with Multum Information Services and a senior software developer at Swiss Bank Corp. He holds an MS in computer science from Purdue University and a BS in applied physics from Dublin City University, Ireland.
Stephen A. Komon is a Senior Portfolio Manager at Westpeak. Prior to this, he was vice president of foreign exchange and commodities at J.P. Morgan & Co., and he also held positions with UBS AG/Swiss Bank and Dean Witter Reynolds. He holds an MBA in finance and accounting from the University of Chicago Booth School of Business and a BS in commerce from the University of Virginia. He is also a CFA charterholder.
Stephen C. Platt is Director of Portfolio Management at Westpeak. Before joining Westpeak, he cofounded and was a senior vice president of Cordillera Asset Management. He holds a BS in finance from the University of Colorado Leeds School of Business and is a CFA charterholder.
Inhaltsangabe
Foreword by Andrew W. Lo xi Preface xiii SECTION ONE Background CHAPTER 1 The Evolution of Market Indexes and Index Funds 3 The Early Days of Indexing 3 The Inception of the Mutual Fund Industry 5 Enter Academia 6 The Advent of Index/Passive Mutual Funds 7 Index Mutual Funds for the Public 8 Conclusion 9 CHAPTER 2 The Evolution of Equity Style Indexes 11 Empirical Challenges to Financial Theories 11 Theoretical Explanations of Anomalies 13 Establishing Equity Styles 14 Equity Style Index Methodology 16 Pitfalls of Current Equity Style Indexes 17 Conclusion 17 SECTION TWO ActiveBeta Conceptual Framework CHAPTER 3 Introducing Active Betas 21 Defining Active Betas 21 Identifying the Drivers of Equity Returns 24 Verification 26 Exploring the Behavior of Return Drivers 28 CHAPTER 4 Behavior of Short-Term Earnings Expectation and the Link with Price Momentum 29 Analysis Methodology 29 Relationships Studied 31 Decomposing Momentum Returns 48 Conclusion 51 Appendix: Regression Analysis and Correlation Coefficient 51 CHAPTER 5 Behavior of Long-Term Earnings Expectation and the Link with Value 53 Relationships Studied 53 Investment Horizon of Value Strategies 70 Implications for Stock Risk Premium 74 Decomposing Value Returns 76 Conclusion 79 CHAPTER 6 Pricing and Persistence of Systematic Sources of Active Equity Returns 81 Pricing of the Systematic Sources of Active Equity Returns 81 Persistence of the Systematic Sources of Active Equity Returns 89 Momentum, Value, and Risk Aversion 94 ActiveBeta Framework: A Summary of Relationships 99 SECTION THREE ActiveBeta Indexes CHAPTER 7 ActiveBeta Index Construction Methodology 103 Investment Process Indexes 104 Objectives of Investment Process Indexes 105 Conflicting Objectives 108 Transparency, Understanding, and Rationale of the ActiveBeta Momentum Index 110 ActiveBeta Index Construction Process 110 Differences in Construction between ActiveBeta Indexes and Other Public Style Indexes 112 Achieving Objectives 114 Conclusion 120 Appendix: ActiveBeta Index Construction Process Example 120 CHAPTER 8 Historical Performance of ActiveBeta Indexes 123 ActiveBeta Index Construction Process Overview 123 ActiveBeta Index Performance: Highlights 126 ActiveBeta Index Performance: Detailed Analysis 127 ActiveBeta Index Exposures 149 Conclusion 153 CHAPTER 9 ActiveBeta Index Applications 155 Style Investing: A New Framework 155 Performance Attribution: Decomposing Active Manager Returns 160 Portfolio Structuring: Revisiting the Alpha-Beta Return Separation 164 Performance Benchmarking 169 Research and Analysis 172 Investment Vehicles 174 SECTION FOUR ActiveBeta Customizable Solutions CHAPTER 10 Alternative Solutions for Capturing Active Betas 179 ActiveBeta Custom Indexes 179 ActiveBeta Custom Solutions 183 A Word on Traditional Active Management 194 Conclusion 197 CHAPTER 11 Concluding Remarks 199 Disclosures 201 Bibliography 203 About the Authors 207 Index 209
Foreword by Andrew W. Lo xi Preface xiii SECTION ONE Background CHAPTER 1 The Evolution of Market Indexes and Index Funds 3 The Early Days of Indexing 3 The Inception of the Mutual Fund Industry 5 Enter Academia 6 The Advent of Index/Passive Mutual Funds 7 Index Mutual Funds for the Public 8 Conclusion 9 CHAPTER 2 The Evolution of Equity Style Indexes 11 Empirical Challenges to Financial Theories 11 Theoretical Explanations of Anomalies 13 Establishing Equity Styles 14 Equity Style Index Methodology 16 Pitfalls of Current Equity Style Indexes 17 Conclusion 17 SECTION TWO ActiveBeta Conceptual Framework CHAPTER 3 Introducing Active Betas 21 Defining Active Betas 21 Identifying the Drivers of Equity Returns 24 Verification 26 Exploring the Behavior of Return Drivers 28 CHAPTER 4 Behavior of Short-Term Earnings Expectation and the Link with Price Momentum 29 Analysis Methodology 29 Relationships Studied 31 Decomposing Momentum Returns 48 Conclusion 51 Appendix: Regression Analysis and Correlation Coefficient 51 CHAPTER 5 Behavior of Long-Term Earnings Expectation and the Link with Value 53 Relationships Studied 53 Investment Horizon of Value Strategies 70 Implications for Stock Risk Premium 74 Decomposing Value Returns 76 Conclusion 79 CHAPTER 6 Pricing and Persistence of Systematic Sources of Active Equity Returns 81 Pricing of the Systematic Sources of Active Equity Returns 81 Persistence of the Systematic Sources of Active Equity Returns 89 Momentum, Value, and Risk Aversion 94 ActiveBeta Framework: A Summary of Relationships 99 SECTION THREE ActiveBeta Indexes CHAPTER 7 ActiveBeta Index Construction Methodology 103 Investment Process Indexes 104 Objectives of Investment Process Indexes 105 Conflicting Objectives 108 Transparency, Understanding, and Rationale of the ActiveBeta Momentum Index 110 ActiveBeta Index Construction Process 110 Differences in Construction between ActiveBeta Indexes and Other Public Style Indexes 112 Achieving Objectives 114 Conclusion 120 Appendix: ActiveBeta Index Construction Process Example 120 CHAPTER 8 Historical Performance of ActiveBeta Indexes 123 ActiveBeta Index Construction Process Overview 123 ActiveBeta Index Performance: Highlights 126 ActiveBeta Index Performance: Detailed Analysis 127 ActiveBeta Index Exposures 149 Conclusion 153 CHAPTER 9 ActiveBeta Index Applications 155 Style Investing: A New Framework 155 Performance Attribution: Decomposing Active Manager Returns 160 Portfolio Structuring: Revisiting the Alpha-Beta Return Separation 164 Performance Benchmarking 169 Research and Analysis 172 Investment Vehicles 174 SECTION FOUR ActiveBeta Customizable Solutions CHAPTER 10 Alternative Solutions for Capturing Active Betas 179 ActiveBeta Custom Indexes 179 ActiveBeta Custom Solutions 183 A Word on Traditional Active Management 194 Conclusion 197 CHAPTER 11 Concluding Remarks 199 Disclosures 201 Bibliography 203 About the Authors 207 Index 209
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