Equity Smart Beta and Factor Investing for Practitioners Khalid Ghayur 1119583446 9781119583448

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Product details:

• ISBN 10: 1119583446
• ISBN 13: 9781119583448
• Author: Khalid Ghayur

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.

Table of contents:

PART I OVERVIEW OF EQUITY SMART BETA SPACE

Chapter 1 Evolution and Composition of the Equity Smart Beta Space

Chapter Summary

I. Introduction

II. Evolution of Equity Smart Beta

III. Desired Characteristics of Smart Beta Strategies

IV. Composition and Definition of Equity Smart Beta

V. Typical Investor Questions

VI. Conclusion

Notes

PART II EQUITY COMMON FACTORS AND FACTOR INVESTING

Chapter 2 An Overview of Equity Common Factors and Factor Investing

Chapter Summary

I. Introduction: What Are Equity Common Factors?

II. Evolution of Equity Common Factors and Factor Investing

III. Typical Investor Questions

IV. Conclusion

Notes

Chapter 3 Explaining Smart Beta Factor Return Premia

Chapter Summary

I. Introduction

II. Data Mining

III. Risk-Based Explanations

IV. Behavioral Explanations

V. Structural Explanations

VI. Typical Investor Questions

VII. Conclusion

Notes

PART III CAPTURING SMART BETA FACTORS

Chapter 4 Weighting Schemes

Chapter Summary

I. Introduction

II. Weighting Schemes Used to Capture Factor Returns

III. Assessing the Investment Performance and Efficiency of Weighting Schemes Used to Capture Factor Returns

IV. Typical Investor Questions

V. Conclusion

Note

Chapter 5 Factor Specifications

Chapter Summary

I. Introduction

II. Value

III. Momentum

IV. Low Volatility

V. Quality

VI. Typical Investor Questions

VII. Conclusion

Chapter 6 Active Risk and Return Decomposition of Smart Beta and Active Strategies

Chapter Summary

I. Introduction

II. Risk Decomposition of Smart Beta Strategies

III. Risk Decomposition of Active Strategies

IV. Typical Investor Questions

V. Conclusion

PART IV PERFORMANCE CHARACTERISTICS OF SMART BETA FACTOR STRATEGIES

Chapter 7 Performance Characteristics of Individual Smart Beta Factors

Chapter Summary

I. Introduction

II. After-Cost Performance: Accounting for Implementation Costs

III. After-Cost Performance Characteristics

IV. Typical Investor Questions

V. Conclusion

Chapter 8 Performance Characteristics of Factor Diversification Strategies

Chapter Summary

I. Introduction

II. Active Return Correlations

III. Performance Characteristics of Factor Diversification Strategies

IV. Constructing Diversification Strategies: The Portfolio Blending versus Signal Blending Debate

V. Typical Investor Questions

VI. Conclusion

Chapter 9 The Low-Volatility Anomaly

I. Introduction

II. Historical Manifestation of the Low-Volatility Factor

III. How Is “Low Volatility” Defined?

IV. Secondary Factors of Low-Beta Portfolios

V. Building a Low-Volatility Portfolio

VI. Publicly Available Low-Volatility ETFs

VII. Summary and Conclusion

PART V SMART BETA IMPLEMENTATION

Chapter 10 Structuring Better Equity Portfolios: Combining Smart Beta with Smart Alpha

Chapter Summary

I. Introduction

II. Current Portfolio Structuring Practices

III. Portfolio Structuring: A Suggested Framework

IV. Typical Investor Questions

V. Conclusion

Chapter 11 Incorporating ESG with Smart Beta

Chapter Summary

I. Introduction

II. ESG Data

III. Incorporating ESG Strategies

IV. Incorporating ESG with Smart Beta

V. Typical Investor Questions

VI. Conclusion

Chapter 12 An Alternative to Hedge Fund Investing: A Risk-Based Approach

I. Introduction

II. Benefits of a Diversified Portfolio of Hedge Funds

III. Systematic Drivers of Hedge Fund Performance

IV. Liquid Tracking Portfolio Simulated Performance

V. Developments in the Hedge Fund Industry

VI. Conclusion

Notes

PART VI ASSET OWNER PERSPECTIVES

Chapter 13 Implementing Smart Beta at CalPERS, A Conversation with Steve Carden

Chapter 14 A Pension Fund’s Journey to Factor Investing: A Case Study

I. Introduction

II. The Case for Passive Market Cap–Weighted Strategies

III. Are Smart Beta Strategies the Better Alternative?

IV. Practical Considerations

V. Conclusion

Chapter 15 Using Smart Beta for Efficient Portfolio Management

I. Introduction

II. Motivation and Strategy Selection

III. Challenges

IV. Product Selection

V. Smart Beta Allocation

VI. Governance, Monitoring, and Performance Benchmarking

VII. Conclusion

PART VII CONSULTANT PERSPECTIVES

Chapter 16 Smart Beta from an Asset Owner’s Perspective

I. The Smart Beta Revolution or Evolution?

II. Smart Beta from the Asset Owner Perspective

III. Asset Owners Face New Challenges When Using Smart Beta Strategies

IV. Future Developments

V. Concluding Thoughts

Notes

Chapter 17 Smart Beta: The Space Between Alpha and Beta

Chapter Summary

I. Factors: The Building Blocks of Portfolios

II. Alpha or Beta?

III. Equity Factor Investing: An Example

IV. Performance of Key Equity Factors

V. Implementation of Smart Beta

VI. Smart Beta Case Study: A Potential Complement to Traditional Active Management

VII. The Pros and Cons of Smart Beta

VIII. Conclusion

Appendix: Valuation Exhibits

Notes

PART VIII RETAIL PERSPECTIVES

Chapter 18 Smart Beta Investing for the Masses: The Case for a Retail Offering

I. Introduction to Factor Investing and Smart Beta

II. Why Provide a Smart Beta Strategy in Today’s Retail Market?

III. Challenges in Developing a Smart Beta Portfolio Strategy for Retail Investors

IV. Implementing a Smart Beta Portfolio Strategy as a Fiduciary Advisor

V. A Look into the Future

VI. Conclusion

Notes

Chapter 19 Positioning Smart Beta with Retail Investors, a Conversation with

PART IX CONCLUDING REMARKS

Chapter 20 Addressing Potential Skepticism Regarding Smart Beta

I. Skepticism Regarding Factor Existence

II. Skepticism Regarding Implementation

III. Skepticism Regarding Factor Persistence

IV. Conclusion

Chapter 21 Conclusion

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