{"product_id":"activebeta-indexes-isbn-9780470610022","title":"ActiveBeta Indexes","description":"\u003cb\u003eAn informative guide offering new and innovative ways to think about active management and investing\u003c\/b\u003e  \u003cp\u003e\u003ci\u003eActiveBeta Indexes\u003c\/i\u003e 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.\u003c\/p\u003e \u003cp\u003eDeveloped by leading investment practitioners at Westpeak Global Advisors, \u003ci\u003eActiveBeta Indexes\u003c\/i\u003e 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.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eDetails a new index framework and research findings that could change the face of active portfolio management\u003c\/li\u003e \u003cli\u003ePresents patent-pending innovations for constructing style indexes and informationally-efficient active portfolios\u003c\/li\u003e \u003cli\u003eExplores the historical performance of ActiveBeta Indexes\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eWealth advisers, consultants, pensions and endowments, and other institutional investors will find the intellectual honesty of \u003ci\u003eActiveBeta Indexes\u003c\/i\u003e 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.\u003c\/p\u003e  Foreword by Andrew W. Lo xi  \u003cp\u003ePreface xiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eSECTION ONE\u003c\/b\u003e \u003cb\u003eBackground\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 1 The Evolution of Market Indexes and Index Funds 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Early Days of Indexing 3\u003c\/p\u003e \u003cp\u003eThe Inception of the Mutual Fund Industry 5\u003c\/p\u003e \u003cp\u003eEnter Academia 6\u003c\/p\u003e \u003cp\u003eThe Advent of Index\/Passive Mutual Funds 7\u003c\/p\u003e \u003cp\u003eIndex Mutual Funds for the Public 8\u003c\/p\u003e \u003cp\u003eConclusion 9\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 2 The Evolution of Equity Style Indexes 11\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEmpirical Challenges to Financial Theories 11\u003c\/p\u003e \u003cp\u003eTheoretical Explanations of Anomalies 13\u003c\/p\u003e \u003cp\u003eEstablishing Equity Styles 14\u003c\/p\u003e \u003cp\u003eEquity Style Index Methodology 16\u003c\/p\u003e \u003cp\u003ePitfalls of Current Equity Style Indexes 17\u003c\/p\u003e \u003cp\u003eConclusion 17\u003c\/p\u003e \u003cp\u003e\u003cb\u003eSECTION TWO\u003c\/b\u003e \u003cb\u003eActiveBeta Conceptual Framework\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 3 Introducing Active Betas 21\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDefining Active Betas 21\u003c\/p\u003e \u003cp\u003eIdentifying the Drivers of Equity Returns 24\u003c\/p\u003e \u003cp\u003eVerification 26\u003c\/p\u003e \u003cp\u003eExploring the Behavior of Return Drivers 28\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 4 Behavior of Short-Term Earnings Expectation and the Link with Price Momentum 29\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAnalysis Methodology 29\u003c\/p\u003e \u003cp\u003eRelationships Studied 31\u003c\/p\u003e \u003cp\u003eDecomposing Momentum Returns 48\u003c\/p\u003e \u003cp\u003eConclusion 51\u003c\/p\u003e \u003cp\u003eAppendix: Regression Analysis and Correlation Coefficient 51\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 5 Behavior of Long-Term Earnings Expectation and the Link with Value 53\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eRelationships Studied 53\u003c\/p\u003e \u003cp\u003eInvestment Horizon of Value Strategies 70\u003c\/p\u003e \u003cp\u003eImplications for Stock Risk Premium 74\u003c\/p\u003e \u003cp\u003eDecomposing Value Returns 76\u003c\/p\u003e \u003cp\u003eConclusion 79\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 6 Pricing and Persistence of Systematic Sources of Active Equity Returns 81\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePricing of the Systematic Sources of Active Equity Returns 81\u003c\/p\u003e \u003cp\u003ePersistence of the Systematic Sources of Active Equity Returns 89\u003c\/p\u003e \u003cp\u003eMomentum, Value, and Risk Aversion 94\u003c\/p\u003e \u003cp\u003eActiveBeta Framework: A Summary of Relationships 99\u003c\/p\u003e \u003cp\u003e\u003cb\u003eSECTION THREE\u003c\/b\u003e \u003cb\u003eActiveBeta Indexes\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 7 ActiveBeta Index Construction Methodology 103\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eInvestment Process Indexes 104\u003c\/p\u003e \u003cp\u003eObjectives of Investment Process Indexes 105\u003c\/p\u003e \u003cp\u003eConflicting Objectives 108\u003c\/p\u003e \u003cp\u003eTransparency, Understanding, and Rationale of the ActiveBeta Momentum Index 110\u003cbr\u003e \u003c\/p\u003e \u003cp\u003eActiveBeta Index Construction Process 110\u003c\/p\u003e \u003cp\u003eDifferences in Construction between ActiveBeta Indexes and Other Public Style Indexes 112\u003c\/p\u003e \u003cp\u003eAchieving Objectives 114\u003c\/p\u003e \u003cp\u003eConclusion 120\u003c\/p\u003e \u003cp\u003eAppendix: ActiveBeta Index Construction Process Example 120\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 8 Historical Performance of ActiveBeta Indexes 123\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eActiveBeta Index Construction Process Overview 123\u003c\/p\u003e \u003cp\u003eActiveBeta Index Performance: Highlights 126\u003c\/p\u003e \u003cp\u003eActiveBeta Index Performance: Detailed Analysis 127\u003c\/p\u003e \u003cp\u003eActiveBeta Index Exposures 149\u003c\/p\u003e \u003cp\u003eConclusion 153\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 9 ActiveBeta Index Applications 155\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStyle Investing: A New Framework 155\u003c\/p\u003e \u003cp\u003ePerformance Attribution: Decomposing Active Manager Returns 160\u003c\/p\u003e \u003cp\u003ePortfolio Structuring: Revisiting the Alpha-Beta Return Separation 164\u003c\/p\u003e \u003cp\u003ePerformance Benchmarking 169\u003c\/p\u003e \u003cp\u003eResearch and Analysis 172\u003c\/p\u003e \u003cp\u003eInvestment Vehicles 174\u003c\/p\u003e \u003cp\u003e\u003cb\u003eSECTION FOUR\u003c\/b\u003e \u003cb\u003eActiveBeta Customizable Solutions\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 10 Alternative Solutions for Capturing Active Betas 179\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eActiveBeta Custom Indexes 179\u003c\/p\u003e \u003cp\u003eActiveBeta Custom Solutions 183\u003c\/p\u003e \u003cp\u003eA Word on Traditional Active Management 194\u003c\/p\u003e \u003cp\u003eConclusion 197\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 11 Concluding Remarks 199\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDisclosures 201\u003c\/p\u003e \u003cp\u003eBibliography 203\u003c\/p\u003e \u003cp\u003eAbout the Authors 207\u003c\/p\u003e \u003cp\u003eIndex 209\u003c\/p\u003e \u003cp\u003e\u003cb\u003eKhalid Ghayur\u003c\/b\u003e is the CEO and CIO of Westpeak Global Advisors, LP. He was director of research policy, a member of the Global Executive Committee, and chairman of the Index Policy Committee at Morgan Stanley Capital International (MSCI) Barra. Prior to this, he was global head of quantitative research and strategy for HSBC Global Asset Management. He is a CFA charterholder, has served on the Board of Governors of the CFA Institute, and is a former trustee of the CFA Institute Research Foundation. He received an MBA in finance and international business from the Ecole Nationale des Ponts et Chaussees and an MA and BA in economics from the University of Karachi.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eRonan G. Heaney\u003c\/b\u003e is Director of Research at Westpeak. Before joining Westpeak, he was a software architect with Multum Information Services and a senior software developer at Swiss Bank Corp. He holds an MS in computer science from Purdue University and a BS in applied physics from Dublin City University, Ireland.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eStephen A. Komon\u003c\/b\u003e is a Senior Portfolio Manager at Westpeak. Prior to this, he was vice president of foreign exchange and commodities at J.P. Morgan \u0026amp; Co., and he also held positions with UBS AG\/Swiss Bank and Dean Witter Reynolds. He holds an MBA in finance and accounting from the University of Chicago Booth School of Business and a BS in commerce from the University of Virginia. He is also a CFA charterholder.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eStephen C. Platt\u003c\/b\u003e is Director of Portfolio Management at Westpeak. Before joining Westpeak, he cofounded and was a senior vice president of Cordillera Asset Management. He holds a BS in finance from the University of Colorado Leeds School of Business and is a CFA charterholder.\u003c\/p\u003e  What is the nature of active equity management returns? Do active equity managers truly add value? Do they have idiosyncratic skill or are they providing only beta-like systematic sources of active return? In this groundbreaking book, the authors provide new answers to some of the oldest questions about investing.  \u003cp\u003eWhat if, they suggest, a significant portion of active management returns were driven by systematic sources of active equity returns? And what if these systematic active return sources could be captured more efficiently, transparently, and cost-effectively in a passive index structure? The result would be an innovative framework—ActiveBeta® Indexes.\u003c\/p\u003e \u003cp\u003e\u003ci\u003eActiveBeta Indexes\u003c\/i\u003e presents an investment solution that better defines the investment styles of active managers (i.e., common sources of active returns) and provides an efficient, transparent, and cost-effective passive capture of a significant portion of traditional active management returns. The authors first describe the basis for and evolution of market and style indexes, exploring their development and their limitations. They then detail the theoretical framework and supporting research behind the ActiveBeta Indexes. After introducing the concept of Active Betas, they present their research into the nature and relationships, as well as the pricing and persistence, of the systematic sources of active equity returns. They proceed to illustrate the methodology employed to create the ActiveBeta Indexes and offer a detailed analysis of their performance. The authors then demonstrate the various applications of the ActiveBeta Indexes, including their uses in style investing, performance attribution, portfolio structuring, and asset allocation. They conclude by offering a variety of customizable, alternative solutions for capturing the systematic sources of active equity returns.\u003c\/p\u003e \u003cp\u003eThe investment industry needs to take a critical look at the current state of traditional active management and style investing. The ActiveBeta Framework offers explanations to solve many of the puzzles in the current investment literature and practice. Portfolio managers, asset managers, wealth advisors, pensions and endowments, and other institutional investors seeking to improve returns while reducing costs will find ActiveBeta Indexes a solution to their performance needs in these challenging times.\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eA Groundbreaking New Index Framework\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\"By providing new answers to some of the oldest questions about investing, this innovative framework offers the investment community a chance to reinvent itself.\u003c\/p\u003e \u003cp\u003e—From the Foreword by Andrew W. Lo\u003c\/p\u003e \u003cp\u003eHow did we end up with growth and value as the standard dichotomy of investing? Are there better ways of defining investment styles? ActiveBeta Indexes presents a more relevant classification of investment approaches than the traditional classifications in a groundbreaking new index that captures systematic active return sources.\u003c\/p\u003e \u003cp\u003eThe authors outline the research and strategies for capturing systematic sources of active equity returns usually attributed to active management via a passively managed index—in a transparent manner with lower risk and greater diversification, at a lower cost, than active management. Their new indexes more accurately reflect the investment processes and investable universes of active growth, value, and core managers—and thus represent more appropriate performance benchmarks for active style managers.\u003c\/p\u003e \u003cp\u003eThese exciting new findings could change the face of active portfolio management. The bottom line: why pay high fees for active management performance when you can get a significant portion of this performance at a fraction of the cost?\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988658110693,"sku":"NP9780470610022","price":55.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470610022.jpg?v=1761781148","url":"https:\/\/k12savings.com\/es\/products\/activebeta-indexes-isbn-9780470610022","provider":"K12savings","version":"1.0","type":"link"}