Equity Smart Beta and Factor Investing for PractitionersA 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:
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 |
447 | |
Additional Disclaimers | 459 |