Equity Smart Beta and Factor Investing for Practitioners

Informationen zum Autor 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. Klappentext The comprehensive guide to the rapidly growing investment opportunities of smart beta investingSmart beta investing is the fastest growing area within the equity asset class. Changing the way investors structure their overall equity portfolios, smart beta strategies emphasize the use of alternative weighting schemes to traditional market capitalization-based indexes. This important innovation is highly popular within the investments industry and has prompted the launch of numerous smart beta products. Equity Smart Beta and Factor Investing for Practitioners is the first full-length book focused on this exciting array of offerings.This practical, hands-on guide shares the practitioner's perspective on smart beta investing, combining straightforward readability with in-depth content and cutting-edge ideas. Drawing from their experiences leading the Goldman Sachs ActiveBeta team, the authors share real-life case studies, explain factor investing, define and detail the history of smart beta, and examine smart beta characteristics, strategies, and implementation methods. Equity Smart Beta and Factor Investing for Practitioners also features contributions from leading industry experts, including a variety of asset owners, asset managers, and consultants. Covering everything from explaining return premia to structuring better equity portfolios, this book will prove to be a valuable resource for anyone engaged in smart beta and factor investing. Zusammenfassung A guide to the popular and fast growing investment opportunities of smart betaEquity 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 businessWritten for investors who want to tap into the opportunities that smart beta offers, Equity Smart Beta and Factor Investing for Practitioners is the comprehensive re...

Autorentext

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.

Klappentext

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.

Inhalt

Acknowledgments xiii

Disclaimer xv

Introduction 1

Part I Overview of Equity Smart Beta Space

Chapter 1 Evolution and Composition of the Equity Smart Beta Space 11

I. Introduction 12

II. Evolution of Equity Smart Beta 13

III. Desired Characteristics of Smart Beta Strategies 19

IV. Composition and Definition of Equity Smart Beta 21

V. Typical Investor Questions 21

VI. Conclusion 30

Part II Equity Common Factors and Factor Investing

Chapter 2 An Overview of Equity Common Factors and Factor Investing 35

I. Introduction: What Are Equity Common Factors? 36

II. Evolution of Equity Common Factors and Factor

Investing 37

III. Typical Investor Questions 49

IV. Conclusion 53

Chapter 3 Explaining Smart Beta Factor Return Premia 55

I. Introduction 56

II. Data Mining 57

III. Risk-Based Explanations 58

IV. Behavioral Explanations 59

V. Structural Explanations 62

VI. Typical Investor Questions 63

VII. Conclusion 68

Part III Capturing Smart Beta Factors

Chapter 4 Weighting Schemes 71

I. Introduction 73

II. Weighting Schemes Used to Capture Factor Returns 73

III. Assessing the Investment Performance and Efficiency of Weighting Schemes Used to Capture Factor Returns 82

IV. Typical Investor Questions 96

V. Conclusion 101

Chapter 5 Factor Specifications 109

I. Introduction 110

II. Value 111

III. Momentum 114

IV. Low Volatility …