Equity Smart Beta and Factor Investing for Practitioners

ISBN-13: 9781119583226 / Angielski / Twarda / 2019 / 496 str.

Khalid Ghayur; Ronan G. Heaney; Stephen C. Platt

Spis treści

Acknowledgments xiiiDisclaimer xvIntroduction 1Part I Overview of Equity Smart Beta SpaceChapter 1 Evolution and Composition of the Equity Smart Beta Space 11I. Introduction 12II. Evolution of Equity Smart Beta 13III. Desired Characteristics of Smart Beta Strategies 19IV. Composition and Definition of Equity Smart Beta 21V. Typical Investor Questions 21VI. Conclusion 30Part II Equity Common Factors and Factor InvestingChapter 2 An Overview of Equity Common Factors and Factor Investing 35I. Introduction: What Are Equity Common Factors? 36II. Evolution of Equity Common Factors and FactorInvesting 37III. Typical Investor Questions 49IV. Conclusion 53Chapter 3 Explaining Smart Beta Factor Return Premia 55I. Introduction 56II. Data Mining 57III. Risk-Based Explanations 58IV. Behavioral Explanations 59V. Structural Explanations 62VI. Typical Investor Questions 63VII. Conclusion 68Part III Capturing Smart Beta FactorsChapter 4 Weighting Schemes 71I. Introduction 73II. Weighting Schemes Used to Capture Factor Returns 73III. Assessing the Investment Performance and Efficiency of Weighting Schemes Used to Capture Factor Returns 82IV. Typical Investor Questions 96V. Conclusion 101Chapter 5 Factor Specifications 109I. Introduction 110II. Value 111III. Momentum 114IV. Low Volatility 115V. Quality 116VI. Typical Investor Questions 119VII. Conclusion 122Chapter 6 Active Risk and Return Decomposition of Smart Beta and Active Strategies 125I. Introduction 127II. Risk Decomposition of Smart Beta Strategies 127III. Risk Decomposition of Active Strategies 134IV. Typical Investor Questions 142V. Conclusion 148Part IV Performance Characteristics of Smart Beta Factor StrategiesChapter 7 Performance Characteristics of Individual Smart Beta Factors 151I. Introduction 152II. After-Cost Performance: Accounting for Implementation Costs 154III. After-Cost Performance Characteristics 158IV. Typical Investor Questions 168V. Conclusion 171Chapter 8 Performance Characteristics of Factor Diversification Strategies 173I. Introduction 175II. Active Return Correlations 175III. Performance Characteristics of Factor Diversification Strategies 179IV. Constructing Diversification Strategies: The Portfolio Blending versus Signal Blending Debate 197V. Typical Investor Questions 202VI. Conclusion 209Chapter 9 The Low-Volatility Anomaly 211Roger G. Clarke, Research Consultant, Analytic InvestorsHarindra de Silva, Portfolio Manager, Analytic Investors/Wells Fargo Asset ManagementSteven Thorley, H. Taylor Peery Professor of Finance, Marriott School of Business, Brigham, Young UniversityI. Introduction 211II. Historical Manifestation of the Low-Volatility Factor 212III. How Is "Low Volatility" Defined? 214IV. Secondary Factors of Low-Beta Portfolios 218V. Building a Low-Volatility Portfolio 224VI. Publicly Available Low-Volatility ETFs 226VII. Summary and Conclusion 226Part V Smart Beta ImplementationChapter 10 Structuring Better Equity Portfolios: Combining Smart Beta with Smart Alpha 231I. Introduction 232II. Current Portfolio Structuring Practices 233III. Portfolio Structuring: A Suggested Framework 235IV. Typical Investor Questions 246V. Conclusion 258Chapter 11 Incorporating ESG with Smart Beta 261I. Introduction 262II. ESG Data 263III. Incorporating ESG Strategies 264IV. Incorporating ESG with Smart Beta 273V. Typical Investor Questions 277VI. Conclusion 281Chapter 12 An Alternative to Hedge Fund Investing: A Risk-Based Approach 283I. Introduction 283II. Benefits of a Diversified Portfolio of Hedge Funds 286III. Systematic Drivers of Hedge Fund Performance 296IV. Liquid Tracking Portfolio Simulated Performance 301V. Developments in the Hedge Fund Industry 309VI. Conclusion 314Part VI Asset Owner PerspectivesChapter 13 Implementing Smart Beta at CalPERS, a Conversation with Steve Carden 319Investment Director, Global Equities, California Public Employees Retirement SystemChapter 14 A Pension Fund's Journey to Factor Investing: A Case Study 331Hans de Ruiter, Chief Investment Offi cer, Stichting Pensioenfonds TNO; Associate Professor, Vrije Universiteit AmsterdamI. Introduction 331II. The Case for Passive Market Cap-Weighted Strategies 332III. Are Smart Beta Strategies the Better Alternative? 333IV. Practical Considerations 337V. Conclusion 341Chapter 15 Using Smart Beta for Efficient Portfolio Management 343Ilian Dimitrov, Head of Growth Assets, Oak Pension Asset Management Limited; Vice President, Investments, Barclays Bank UK Retirement FundI. Introduction 343II. Motivation and Strategy Selection 344III. Challenges 344IV. Product Selection 345V. Smart Beta Allocation 347VI. Governance, Monitoring, and Performance Benchmarking 348VII. Conclusion 348Part VII Consultant PerspectivesChapter 16 Smart Beta from an Asset Owner's Perspective 351James Price, Director, Willis Towers WatsonPhil Tindall, Senior Director, Willis Towers WatsonI. The Smart Beta Revolution or Evolution? 351II. Smart Beta from the Asset Owner Perspective 356III. Asset Owners Face New Challenges When Using Smart Beta Strategies 364IV. Future Developments 367V. Concluding Thoughts 371Chapter 17 Smart Beta: The Space Between Alpha and Beta 373Andrew Junkin, President, Wilshire ConsultingSteven Foresti, Chief Investment Offi cer, Wilshire ConsultingMichael Rush, Vice President, Wilshire ConsultingI. Factors: The Building Blocks of Portfolios 375II. Alpha or Beta? 375III. Equity Factor Investing: An Example 377IV. Performance of Key Equity Factors 377V. Implementation of Smart Beta 379VI. Smart Beta Case Study: A Potential Complement to Traditional Active Management 383VII. The Pros and Cons of Smart Beta 385VIII. Conclusion 387Part VIII Retail PerspectivesChapter 18 Smart Beta Investing for the Masses: The Case for a Retail Offering 395Lisa L. Huang, Head of Artifi cial Intelligence Investment Management and Planning, Fidelity InvestmentsPetter N. Kolm, Director of the Mathematics in Finance Master's Program and Clinical Professor, Courant Institute of Mathematical Sciences, New York UniversityI. Introduction to Factor Investing and Smart Beta 396II. Why Provide a Smart Beta Strategy in Today's Retail Market? 399III. Challenges in Developing a Smart Beta Portfolio Strategy for Retail Investors 401IV. Implementing a Smart Beta Portfolio Strategy as a Fiduciary Advisor 402V. A Look into the Future 407VI. Conclusion 409Chapter 19 Positioning Smart Beta with Retail Investors, a Conversation with Jerry Chafkin 411Chief Investment Officer, AssetMarkPart IX Concluding RemarksChapter 20 Addressing Potential Skepticism Regarding Smart Beta 425I. Skepticism Regarding Factor Existence 425II. Skepticism Regarding Implementation 426III. Skepticism Regarding Factor Persistence 429IV. Conclusion 430Chapter 21 Conclusion 431About the Authors 433Bibliography 447Additional Disclaimers 459Index 463

O autorze

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.