Foreword | |
Preface | |
Background | |
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 | |
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 | |
ActiveBeta Conceptual Framework | |
Introducing Active Betas | |
Defining Active Betas | |
Identifying the Drivers of Equity Returns | |
Verification | |
Exploring the Behavior of Return Drivers | |
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 | |
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 | |
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 | |
ActiveBeta Indexes | |
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 | |
Historical Analysis of ActiveBeta Indexes | |
ActiveBeta Index Construction Process Overview | |
ActiveBeta Index Performance: Highlights | |
ActiveBeta Index Performance: Detailed Analysis | |
ActiveBeta Index Exposures | |
Conclusion | |
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 | |
ActiveBeta Customizable Solutions | |
Alternative Solutions for Capturing Active Betas | |
ActiveBeta Custom Indexes | |
ActiveBeta Custom Solutions | |
A Word on Traditional Active Management | |
Conclusion | |
Concluding Remarks | |
Disclosures | |
Bibliography | |
About the Authors | |
Index | |
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