ActiveBeta Indexes: Capturing Systematic Sources of Active Equity Returns

Front Cover
John Wiley & Sons, Feb 19, 2010 - Business & Economics - 215 pages
0 Reviews
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.

 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

PERSISTENCE OF THE SYSTEMATIC SOURCES OF ACTIVE EQUITY RETURNS
MOMENTUM VALUE AND RISK AVERSION
A SUMMARY OF RELATIONSHIPS
INVESTMENT PROCESS INDEXES
OBJECTIVES OF INVESTMENT PROCESS INDEXES
CONFLICTING OBJECTIVES
TRANSPARENCY UNDERSTANDING AND RATIONALE OF THE ACTIVEBETA MOMENTUM INDEX
ACTIVEBETA INDEX CONSTRUCTION PROCESS

THE ADVENT OF INDEXPASSIVE MUTUAL FUNDS
INDEX MUTUAL FUNDS FOR THE PUBLIC
CONCLUSION
EMPIRICAL CHALLENGES TO FINANCIAL THEORIES
THEORETICAL EXPLANATIONS OF ANOMALIES
ESTABLISHING EQUITY STYLES
EQUITY STYLE INDEX METHODOLOGY
PITFALLS OF CURRENT EQUITY STYLE INDEXES
CONCLUSION
DEFINING ACTIVE BETAS
IDENTIFYING THE DRIVERS OF EQUITY RETURNS
VERIFICATION
EXPLORING THE BEHAVIOR OF RETURN DRIVERS
ANALYSIS METHODOLOGY
RELATIONSHIPS STUDIED
DECOMPOSING MOMENTUM RETURNS
CONCLUSION
RELATIONSHIPS STUDIED
INVESTMENT HORIZON OF VALUE STRATEGIES
IMPLICATIONS FOR STOCK RISK PREMIUM
DECOMPOSING VALUE RETURNS
CONCLUSION
PRICING OF THE SYSTEMATIC SOURCES OF ACTIVE EQUITY RETURNS
DIFFERENCES IN CONSTRUCTION BETWEEN ACTIVEBETA INDEXES AND OTHER PUBLIC STYLE INDEXES
ACHIEVING OBJECTIVES
CONCLUSION
ACTIVEBETA INDEX CONSTRUCTION PROCESS EXAMPLE
ACTIVEBETA INDEX CONSTRUCTION PROCESS OVERVIEW
HIGHLIGHTS
DETAILED ANALYSIS
ACTIVEBETA INDEX EXPOSURES
CONCLUSION
A NEW FRAMEWORK
DECOMPOSING ACTIVE MANAGER RETURNS
REVISITING THE ALPHABETA RETURN SEPARATION
PERFORMANCE BENCHMARKING
RESEARCH AND ANALYSIS
INVESTMENT VEHICLES
ACTIVEBETA CUSTOM INDEXES
ACTIVEBETA CUSTOM SOLUTIONS
A WORD ON TRADITIONAL ACTIVE MANAGEMENT
CONCLUSION
KHALID GHAYUR
RONAN G HEANEY
Copyright

Other editions - View all

Common terms and phrases

About the author (2010)

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.

Bibliographic information