Equity Smart Beta and Factor Investing for Practitioners

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John Wiley & Sons, Jun 12, 2019 - Business & Economics - 496 pages
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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.

 

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Contents

CHAPTER
3
OVERVIEW OF EQUITY SMART BETA SPACE
9
EQUITY COMMON FACTORS
31
Explaining Smart Beta Factor Return Premia
55
Introduction
56
Data Mining
57
RiskBased Explanations
58
Behavioral Explanations
59
CHAPTER 7
151
AfterCost Performance Characteristics
158
Typical Investor Questions
168
Introduction
175
The Portfolio
197
Conclusion
209
SMART BETA IMPLEMENTATION
229
CHAPTER 11
261

Structural Explanations
62
Typical Investor Questions
63
Conclusion
68
CHAPTER 4
71
Introduction
73
Assessing the Investment Performance and Efficiency of Weighting Schemes Used to Capture Factor Returns
82
Typical Investor Questions
96
Conclusion
101
CHAPTER 5
109
Introduction
110
Value
111
Momentum
114
Low Volatility
115
Quality
116
Typical Investor Questions
119
Conclusion
122
CHAPTER 6
125
Introduction
127
CHAPTER 12
283
ASSET OWNER PERSPECTIVES
317
CHAPTER 14
331
Practical Considerations
337
CHAPTER 15
343
CHAPTER 16
351
Asset Owners Face New Challenges When Using Smart
364
Concluding Thoughts
371
An Example
377
A Potential Complement
383
RETAIL PERSPECTIVES
393
Mathematical Sciences New York University
395
CHAPTER 19
411
CONCLUDING REMARKS
423
CHAPTER 21
431
Bibliography
447
Additional Disclaimers
459
Copyright

Other editions - View all

Equity Smart Beta and Factor Investing for Practitioners
Khalid Ghayur,Ronan G. Heaney,Stephen C. Platt
Limited preview - 2019
Equity Smart Beta and Factor Investing for Practitioners
Khalid Ghayur,Ronan G. Heaney,Stephen C. Platt
Limited preview - 2019

Common terms and phrases

active managers active risk active strategies active weights allocation alternative risk premia analyzed approach asset managers asset owners average benchmark capitalization book value-to-price CalPERS capitalization-weighted market CAPM Chapter characteristics Contribution to Active CW factor efficient equal-weighted example excess returns Exhibit factor diversification factor exposures factor investing factor returns factor tilts fundamentally weighted GSAM hedge fund higher historical performance Information Ratio investment process long-only low-volatility market capitalization market indexes market portfolio methodology Momentum Portfolio MSCI MSCI World multifactor strategy outperformance overall passive perspective policy benchmark portfolio blend portfolio construction potential premium Quality Portfolio relative replication retail investors return and risk risk decomposition Russell 1000 Index selection Sharpe ratio small cap smart alpha smart beta factors smart beta investing smart beta offerings smart beta products smart beta strategies Source specific ST factor portfolios statistically significant stocks tracking error traditional turnover underperformance Value Portfolio weighting schemes

About the author (2019)

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.

Bibliographic information

QR code for Equity Smart Beta and Factor Investing for Practitioners
TitleEquity Smart Beta and Factor Investing for Practitioners
AuthorsKhalid Ghayur, Ronan G. Heaney, Stephen C. Platt
PublisherJohn Wiley & Sons, 2019
ISBN1119583225, 9781119583226
Length496 pages
Subjects ›  › 

Business & Economics / General
Business & Economics / Investments & Securities / Stocks
  
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