Equity Smart Beta and Factor Investing for Practitioners (inbunden)
Format
Inbunden (Hardback)
Språk
Engelska
Antal sidor
496
Utgivningsdatum
2019-05-24
Förlag
John Wiley & Sons Inc
Dimensioner
231 x 152 x 30 mm
Vikt
908 g
Antal komponenter
1
ISBN
9781119583226
Equity Smart Beta and Factor Investing for Practitioners (inbunden)

Equity Smart Beta and Factor Investing for Practitioners

Inbunden Engelska, 2019-05-24
249
Skickas inom 7-10 vardagar.
Fri frakt inom Sverige för privatpersoner.
Finns även som
Visa alla 2 format & utgåvor
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.
Visa hela texten

Passar bra ihop

  1. Equity Smart Beta and Factor Investing for Practitioners
  2. +
  3. Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk

De som köpt den här boken har ofta också köpt Dual Momentum Investing: An Innovative Strategy... av Gary Antonacci (inbunden).

Köp båda 2 för 618 kr

Kundrecensioner

Har du läst boken? Sätt ditt betyg »

Fler böcker av författarna

Bloggat om Equity Smart Beta and Factor Investing fo...

Övrig information

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.

Innehållsförteckning

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. Evolution of Equity Common Factors and Factor Investing 37 III. Typical Investor Questions 49 IV. Conclusion 53 Chapter 3 Explaining Smart Beta Factor Return Premia 55 I. Introduction 56 II. Data Mining 57 III. Risk-Based Explanations 58 IV. Behavioral Explanations 59 V. Structural Explanations 62 VI. Typical Investor Questions 63 VII. Conclusion 68 Part III Capturing Smart Beta Factors Chapter 4 Weighting Schemes 71 I. Introduction 73 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 III. How Is "Low Volatility" Defined? 214 IV. Secondary Factors of Low-Beta Portfolios 218 V. Building a Low-Volatility Portfolio 224 VI. Publicly Available Low-Volatility ETFs 226 VII. Summary and Conclusion 226 Part V Smart Beta Implementation Chapter 10 Structuring Better Equity Portfolios: Combining Smart Beta with Smart Alpha 231 I. Introduction 232 II. Current Portfolio Structuring Practices 233 III. Portfolio Structuring: A Suggested Framework 235 IV. Typical Investor Questions 246 V. Conclusion 258 Chapter 11 Incorporating ESG with Smart Beta 261 I. Introduction 262 II. ESG Data 263 III. Incorporating ESG Strategies 264 IV. Incorporating ESG with Smart Beta 273 V. Typical Investor Questions 277 VI. Conclusion 281 Chapter 12 An Alternative to Hedge Fund Investing: A Risk-Based Approach 283 I. Introduction 283 II. Benefits of a Diversified Portfolio of Hedge Funds 286 III. Systematic Drivers of Hedge Fund Performance 296 IV. Liquid Tracking Portfolio Simulated Performance 301 V. Developments in the Hedge Fund Industry 309 VI. Conclusion 314 Part VI Asset