Index Fund Management: A Practical Guide to Smart Beta, Factor Investing, and Risk Premia
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cham
Palgrave Macmillan
[2019]
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xxiii, 248 Seiten |
| ISBN: | 9783030193997 |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Contents 1 Introduction: What We Talk About in Factor Investing Parti 2 3 Evolution of Factor Investing and Index Fund Management Stepping Up to Factor Investing 2.1 History of Significant Advances in Indices and Indexed Funds 2.2 Growth and Adaptation of Factor Strategies 2.3 The Taxonomy of Risks and Returns 2.4 Factor Investing Versus Traditional Index and Active Fund Management 2.5 The Misconception of Factor Investing in the Press 2.6 Consideration When Looking at Factor Investing 2.7 Concluding Remarks Architecture and Art of Indexation 3.1 Why Index Architecture Matters 3.2 Representativeness of the Index Strategy 3.3 Modularity of an Index 3.4 Availability: The Amount of Stocks and Bonds Outstanding 3.5 Stock and Bond Weightings 3.5.1 Market Value Weighting 3.5.2 Equal Weighting 1 7 9 12 14 16 18 19 20 21 23 24 26 27 29 30 32 33 ix
x Contents 3.5.3 3.5.4 3.6 3.7 3.8 3.9 3.10 Part II Price Weighting Outcome-Oriented Weighting: Tilting and Optimisation Index Maintenance and Operations Replication and Management of Index Funds 3.7.1 Trading Strategies 3.7.2 Securities Lending 3.7.3 Cash Management Crowding Risk of Index Funds The Capacity of Index Funds Concluding Remarks Equity Factor Investing 34 34 35 37 38 39 40 40 42 43 45 4 Equity Factor Investing: Value Stocks 4.1 Schools of Value Investing 4.2 The Value and Growth Debate 4.3 Intrinsic Value 4.4 Systematic Screening Approaches 4.4.1 Benjamin Graham Screen 4.4.2 Price-to-Book (P/В) Screen 4.4.3 Price-to-Earnings (P/E) Screen 4.4.4 Price-to-Sales (P/S) Ratio 4.4.5 Comparison and Combination of Screens 4.4.6 What Constitutes Good Screen Criteria? 4.5 Behavioural Drivers of Value Factor 4.6 Market Structure and Reward for Risk 4.7 Considerations for Value Investing 4.8 Concluding Remarks 47 49 51 54 56 58 60 62 64 65 68 69 71 72 74 5 Equity Factor Investing: Quality 5.1 Investment Horizon for Quality 5.2 Quality Factor Screens 5.2.1 Profitability Screen 5.2.2 Asset Growth and Investment Screen 5.2.3 Leverage Screen 5.2.4 Earning Accruals Screen 5.2.5 Corporate Governance Screen 5.2.6 Combined Quality Screens Among Practitioners 77 79 80 81 83 85 87 88 90
Contents 5.3 5.4 5.5 5.6 6 Drivers of the Quality Premium Quality and Valuation of Stocks Consideration for Quality Strategies Concluding Remarks xi 93 95 96 98 Equity Factor Investing: Low Risk 6.1 Why Considering Low Volatility Factor Investing? 6.2 Low Risk Factor Approaches and Construction 6.3 Common Low Volatility Factor Indices 6.4 Behavioural Drivers of the Factor Premium 6.5 Market Structures Driving the Factor Premium 6.6 Considerations When Implementing Low Volatility Strategies 6.7 Low Volatility in Asset Allocation 6.8 Concluding Remarks 99 101 102 105 107 109 7 Equity Factor Investing: Momentum 7.1 Evolution of Momentum Investing 7.2 Rules-Based Momentum Index Strategies 7.2.1 Cross-sectional Momentum Strategies 7.2.2 Time Series Momentum Strategies 7.3 Market-Based Index Strategies 7.4 Behavioural Drivers of Momentum Premium 7.4.1 Herding Behaviour 7.4.2 Representativeness and Confirmation Bias 7.5 The Reward for Risk and Market Structures 7.6 Consideration for Momentum Strategies 7.7 Concluding Remarks 117 118 121 121 123 125 127 127 129 130 132 133 8 Equity Factor Investing: Size 8.1 Defining the Size Factor 8.2 Construction of Size-Based Index Strategy 8.3 The Existence of the Size Premium 8.4 Risk-Based Explanation of the Size Premium 8.5 Non-Risk Based Explanation 8.5.1 The January Effect 8.5.2 Inefficient Pricing 8.5.3 Attention, Coverage and Transparency 8.5.4 Behavioural Drivers of the Size Factor 135 137 138 139 141 142 143 143 144 145 110 114 115
xii Contents 8.6 8.7 8.8 Criticism of the Size Premium Considerations When Investing in Small Size Concluding Remarks Equity Multi-Factor Investing Factor Cyclicality and Diversification 9.1 Blending the Factors into Multi-Factor Strategy 9.2 9.2.1 The Top-Down Approach 9.2.2 The Bottom-Up Approach So Which Approach Is Best? 9.3 Multi-Factor Indices in the Market 9.4 Timing the Factors 9.5 9.5.1 Factor Sensitivities and Factor Dynamics Considerations When Timing the Factors 9.6 Multi-Factor Portfolio Analysis 9.7 9.7.1 Portfolio Return-Based Style Analysis 9.7.2 Security-Based Style Analysis Concluding Remarks 9.8 Partiil 10 Fixed Income and Multi-Asset Factor Investing Fixed Income Factor Investing 10.1 Why Factor Investing in Fixed Income? 10.2 Drivers of Bond Risk and Return 10.3 Misconception When Thinking of Bond Factors 10.4 What Are the Factors in Bonds? 10.5 Government Bond Style Factors 10.5.1 Size Factor for Government Bonds 10.5.2 Quality Factor for Government Bonds 10.5.3 Value Factor for Government Bonds 10.5.4 Momentum Factor for Government Bonds 10.5.5 Low Volatility Factor for Government Bonds 10.6 Corporate Bond Style Factors 10.6.1 Quality Factor for Corporate Bonds 10.6.2 Value Factor for Corporate Bonds 10.6.3 Momentum Factor for Corporate Bonds 10.6.4 Size Factor in Corporate Bonds 10.6.5 Low Volatility Factor for Corporate Bonds 10.7 Multi-Factors Strategies For Bonds 146 147 149 151 153 155 155 157 159 160 160 162 164 165 166 168 168 171 173 174 175 178 180 181 182 185 188 189 190 191 192 196 199 200 201 202
Contents 10.8 10.9 11 Considerations When Building Bond Factors Concluding Remarks Multi-Asset: Alternative Risk Premia 11.1 Why Are We Thinking of ARP? 11.2 Fund Manager Types in ARP 11.3 Taxonomy of ARP Strategies 11.4 Carry Premia Across Assets 11.4.1 Currency Carry Premium 11.4.2 The Commodity Carry Premium 11.4.3 The Bond Carry Premium 11.4.4 Other Carry Premia 11.5 Value ARP Strategies 11.5.1 Currency Value Premium 11.5.2 Commodities Value Premium 11.5.3 Fixed Income and Equities ARP Value Premia 11.6 Momentum and Trend-Following Strategies 11.7 Portfolio Construction of ARP Strategies 11.8 Access to ARP Strategies 11.9 A Consideration When Selecting ARP 11.10 Concluding Remarks xiii 202 203 205 207 209 210 213 213 216 219 221 222 222 224 226 227 229 231 232 233 Bibliography 235 Index 241
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| author | Zaher, Fadi |
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| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| isbn | 9783030193997 |
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| spellingShingle | Zaher, Fadi Index Fund Management A Practical Guide to Smart Beta, Factor Investing, and Risk Premia Investments and Securities Risk Management Investment banking Securities Risk management Management (DE-588)4037278-9 gnd Portfolio Selection (DE-588)4046834-3 gnd Indexfonds (DE-588)4597125-0 gnd Investmentfonds (DE-588)4114047-3 gnd |
| subject_GND | (DE-588)4037278-9 (DE-588)4046834-3 (DE-588)4597125-0 (DE-588)4114047-3 |
| title | Index Fund Management A Practical Guide to Smart Beta, Factor Investing, and Risk Premia |
| title_auth | Index Fund Management A Practical Guide to Smart Beta, Factor Investing, and Risk Premia |
| title_exact_search | Index Fund Management A Practical Guide to Smart Beta, Factor Investing, and Risk Premia |
| title_full | Index Fund Management A Practical Guide to Smart Beta, Factor Investing, and Risk Premia Fadi Zaher |
| title_fullStr | Index Fund Management A Practical Guide to Smart Beta, Factor Investing, and Risk Premia Fadi Zaher |
| title_full_unstemmed | Index Fund Management A Practical Guide to Smart Beta, Factor Investing, and Risk Premia Fadi Zaher |
| title_short | Index Fund Management |
| title_sort | index fund management a practical guide to smart beta factor investing and risk premia |
| title_sub | A Practical Guide to Smart Beta, Factor Investing, and Risk Premia |
| topic | Investments and Securities Risk Management Investment banking Securities Risk management Management (DE-588)4037278-9 gnd Portfolio Selection (DE-588)4046834-3 gnd Indexfonds (DE-588)4597125-0 gnd Investmentfonds (DE-588)4114047-3 gnd |
| topic_facet | Investments and Securities Risk Management Investment banking Securities Risk management Management Portfolio Selection Indexfonds Investmentfonds |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=031633343&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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