{"product_id":"activebeta-indexes-capturing-systematic-sources-of-active-equity-returns-hardback-9780470610022","title":"ActiveBeta Indexes; Capturing Systematic Sources of Active Equity Returns (Hardback) 9780470610022","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eActiveBeta Indexes\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eCapturing Systematic Sources of Active Equity Returns\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eKhalid Ghayur (Author), Ronan G. Heaney (Author), Stephen A. Komon (Author), Stephen C. Platt (Author), Andrew W. Lo (Foreword by)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780470610022, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 26 March 2010\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e240 pages, Drawings: 85 B\u0026amp;W, 0 Color; Tables: 23 B\u0026amp;W, 0 Color\u003cbr\u003e23.6 x 16 x 2 cm, 0.413 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003e\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\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eForeword 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\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" 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