1. Edition - March 2010
43.90 Euro
2010. 216 Pages, Hardcover
ISBN-10: 0-470-61002-6
ISBN-13: 978-0-470-61002-2 - John Wiley & Sons






Sample Chapter

Detailed description
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.

From the contents
Foreword (Andrew W. Lo).

Preface.

SECTION ONE Background.

Chapter 1 The Evolution of Market Indexes.

The Early Days of Indexing.

The Inception of the Mutual Fund Industry.

Enter Academia.

The Advent of Index/Passive Mutual Funds.

Index Mutual Funds for the Public.

Conclusion.

Chapter 2 The Evolution of Equity Style Indexes.

Empirical Challenges to Financial Theories.

Theoretical Explanations of Anomalies.

Establishing Equity Styles.

Equity Style Index Methodology.

Pitfalls of Current Equity Style Indexes.

Conclusion.

SECTION TWO ActiveBeta Conceptual Framework.

Chapter 3 Introducing Active Betas.

Defining Active Betas.

Identifying the Drivers of Equity Returns.

Verification.

Exploring the Behavior of Return Drivers.

Chapter 4 Behavior of Short-Term Earnings Expectation and the Link with Price Momentum.

Analysis Methodology.

Relationships Studied.

Decomposing Momentum Returns.

Conclusion.

Appendix: Regression Analysis and Correlation Coefficient.

Chapter 5 Behavior of Long-Term Earnings Expectation and the Link with Value.

Relationships Studied.

Investment Horizon of Value Strategies.

Implications for Stock Risk Premium.

Decomposing Value Returns.

Conclusion.

Chapter 6 Pricing and Persistence of Systematic Sources of Active Equity Returns.

Pricing of the Systematic Sources of Active Equity Returns.

Persistence of the Systematic Sources of Active Equity Returns.

Momentum, Value, and Risk Aversion.

ActiveBeta Framework: A Summary of Relationships.

SECTION THREE ActiveBeta Indexes.

Chapter 7 ActiveBeta Index Construction Methodology.

Investment Process Indexes.

Objectives of Investment Process Indexes.

Conflicting Objectives.

Transparency, Understanding, and Rationale of the ActiveBeta Momentum Index.

ActiveBeta Index Construction Process.

Differences in Construction between ActiveBeta Index and Other Public Style Indexes.

Achieving Objectives.

Conclusion.

Appendix: ActiveBeta Index Construction Process Example.

Chapter 8 Historical Analysis of ActiveBeta Indexes.

ActiveBeta Index Construction Process Overview.

ActiveBeta Index Performance: Highlights.

ActiveBeta Index Performance: Detailed Analysis.

ActiveBeta Index Exposures.

Conclusion.

Chapter 9 ActiveBeta Index Applications.

Style Investing: A New Framework.

Performance Attribution: Decomposing Active Manager Returns.

Portfolio Structuring: Revisiting the Alpha-Beta Return Separation.

Performance Benchmarking.

Research and Analysis.

Investment Vehicles.

SECTION FOUR ActiveBeta Customizable Solutions.

Chapter 10 Alternative Solutions for Capturing Active Betas.

ActiveBeta Custom Indexes.

ActiveBeta Custom Solutions.

A Word on Traditional Active Management.

Conclusion.

Chapter 11 Concluding Remarks.

Disclosures.

Bibliography.

About the Authors.

Index.