Zaher Index Fund Management

A Practical Guide to Smart Beta, Factor Investing, and Risk Premia
1. Auflage 2019
ISBN: 978-3-030-19400-0
Verlag: Springer International Publishing
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 248 Seiten

Reihe: Economics and Finance (R0)

This book brings simplicity to passive investing, smart beta, and factor investing, which is the fastest growing type of investment in the asset management industry. The subject has a strong academic foundation but often taught and presented in a quite complex and unorganized way.

In recent years, index and factor investing solutions have been bestsellers. But factor investing success is not a foregone conclusion, and there are plenty of quirks and misprints in the literature. Do investors need a novel approach? The book provides answers to some of these questions in an open and objective fashion.

Index fund management is increasingly taught in finance courses at universities. For market practitioners including trustees and investors, this book facilitates an increased understanding of how to invest in index and smart beta strategies, how to implement them, and what to be aware of with concrete and practical real-world examples.

Autoren/Hrsg.

Zaher, Fadi

Inhaltsverzeichnis

1;Acknowledgements;6
2;Contents;8
3;List of Figures;13
4;List of Tables;20
5;1: Introduction: What We Talk About in Factor Investing;21
6;Part I;27
6.1;2: Stepping Up to Factor Investing;28
6.1.1;2.1 History of Significant Advances in Indices and Indexed Funds;31
6.1.2;2.2 Growth and Adaptation of Factor Strategies;33
6.1.3;2.3 The Taxonomy of Risks and Returns;35
6.1.4;2.4 Factor Investing Versus Traditional Index and Active Fund Management;37
6.1.5;2.5 The Misconception of Factor Investing in the Press;38
6.1.6;2.6 Consideration When Looking at Factor Investing;39
6.1.7;2.7 Concluding Remarks;40
6.2;3: Architecture and Art of Indexation;42
6.2.1;3.1 Why Index Architecture Matters;43
6.2.2;3.2 Representativeness of the Index Strategy;45
6.2.3;3.3 Modularity of an Index;46
6.2.4;3.4 Availability: The Amount of Stocks and Bonds Outstanding;48
6.2.5;3.5 Stock and Bond Weightings;49
6.2.5.1;3.5.1 Market Value Weighting;51
6.2.5.2;3.5.2 Equal Weighting;52
6.2.5.3;3.5.3 Price Weighting;53
6.2.5.4;3.5.4 Outcome-Oriented Weighting: Tilting and Optimisation;53
6.2.6;3.6 Index Maintenance and Operations;54
6.2.7;3.7 Replication and Management of Index Funds;56
6.2.7.1;3.7.1 Trading Strategies;57
6.2.7.2;3.7.2 Securities Lending;58
6.2.7.3;3.7.3 Cash Management;59
6.2.8;3.8 Crowding Risk of Index Funds;59
6.2.9;3.9 The Capacity of Index Funds;61
6.2.10;3.10 Concluding Remarks;62
7;Part II;63
7.1;4: Equity Factor Investing: Value Stocks;64
7.1.1;4.1 Schools of Value Investing;66
7.1.2;4.2 The Value and Growth Debate;68
7.1.3;4.3 Intrinsic Value;71
7.1.4;4.4 Systematic Screening Approaches;73
7.1.4.1;4.4.1 Benjamin Graham Screen;75
7.1.4.2;4.4.2 Price-to-Book (P/B) Screen;77
7.1.4.3;4.4.3 Price-to-Earnings (P/E) Screen;79
7.1.4.4;4.4.4 Price-to-Sales (P/S) Ratio;81
7.1.4.5;4.4.5 Comparison and Combination of Screens;82
7.1.4.6;4.4.6 What Constitutes Good Screen Criteria?;85
7.1.5;4.5 Behavioural Drivers of Value Factor;86
7.1.6;4.6 Market Structure and Reward for Risk;88
7.1.7;4.7 Considerations for Value Investing;89
7.1.8;4.8 Concluding Remarks;91
7.2;5: Equity Factor Investing: Quality;93
7.2.1;5.1 Investment Horizon for Quality;95
7.2.2;5.2 Quality Factor Screens;96
7.2.2.1;5.2.1 Profitability Screen;97
7.2.2.2;5.2.2 Asset Growth and Investment Screen;99
7.2.2.3;5.2.3 Leverage Screen;101
7.2.2.4;5.2.4 Earning Accruals Screen;103
7.2.2.5;5.2.5 Corporate Governance Screen;104
7.2.2.6;5.2.6 Combined Quality Screens Among Practitioners;106
7.2.3;5.3 Drivers of the Quality Premium;109
7.2.4;5.4 Quality and Valuation of Stocks;111
7.2.5;5.5 Consideration for Quality Strategies;112
7.2.6;5.6 Concluding Remarks;114
7.3;6: Equity Factor Investing: Low Risk;115
7.3.1;6.1 Why Considering Low Volatility Factor Investing?;117
7.3.2;6.2 Low Risk Factor Approaches and Construction;118
7.3.3;6.3 Common Low Volatility Factor Indices;121
7.3.4;6.4 Behavioural Drivers of the Factor Premium;123
7.3.5;6.5 Market Structures Driving the Factor Premium;125
7.3.6;6.6 Considerations When Implementing Low Volatility Strategies;126
7.3.7;6.7 Low Volatility in Asset Allocation;130
7.3.8;6.8 Concluding Remarks;131
7.4;7: Equity Factor Investing: Momentum;132
7.4.1;7.1 Evolution of Momentum Investing;133
7.4.2;7.2 Rules-Based Momentum Index Strategies;136
7.4.2.1;7.2.1 Cross-sectional Momentum Strategies;136
7.4.2.2;7.2.2 Time Series Momentum Strategies;138
7.4.3;7.3 Market-Based Index Strategies;140
7.4.4;7.4 Behavioural Drivers of Momentum Premium;142
7.4.4.1;7.4.1 Herding Behaviour;142
7.4.4.2;7.4.2 Representativeness and Confirmation Bias;144
7.4.5;7.5 The Reward for Risk and Market Structures;145
7.4.6;7.6 Consideration for Momentum Strategies;147
7.4.7;7.7 Concluding Remarks;148
7.5;8: Equity Factor Investing: Size;149
7.5.1;8.1 Defining the Size Factor;151
7.5.2;8.2 Construction of Size-Based Index Strategy;152
7.5.3;8.3 The Existence of the Size Premium;153
7.5.4;8.4 Risk-Based Explanation of the Size Premium;155
7.5.5;8.5 Non-Risk Based Explanation;156
7.5.5.1;8.5.1 The January Effect;157
7.5.5.2;8.5.2 Inefficient Pricing;157
7.5.5.3;8.5.3 Attention, Coverage and Transparency;158
7.5.5.4;8.5.4 Behavioural Drivers of the Size Factor;159
7.5.6;8.6 Criticism of the Size Premium;160
7.5.7;8.7 Considerations When Investing in Small Size;161
7.5.8;8.8 Concluding Remarks;163
7.6;9: Equity Multi-Factor Investing;164
7.6.1;9.1 Factor Cyclicality and Diversification;166
7.6.2;9.2 Blending the Factors into Multi-Factor Strategy;168
7.6.2.1;9.2.1 The Top-Down Approach;168
7.6.2.2;9.2.2 The Bottom-Up Approach;170
7.6.3;9.3 So Which Approach Is Best?;172
7.6.4;9.4 Multi-Factor Indices in the Market;173
7.6.5;9.5 Timing the Factors;173
7.6.5.1;9.5.1 Factor Sensitivities and Factor Dynamics;175
7.6.6;9.6 Considerations When Timing the Factors;177
7.6.7;9.7 Multi-Factor Portfolio Analysis;178
7.6.7.1;9.7.1 Portfolio Return-Based Style Analysis;179
7.6.7.2;9.7.2 Security-Based Style Analysis;181
7.6.8;9.8 Concluding Remarks;181
8;Part III;183
8.1;10: Fixed Income Factor Investing;184
8.1.1;10.1 Why Factor Investing in Fixed Income?;185
8.1.2;10.2 Drivers of Bond Risk and Return;186
8.1.3;10.3 Misconception When Thinking of Bond Factors;189
8.1.4;10.4 What Are the Factors in Bonds?;191
8.1.5;10.5 Government Bond Style Factors;192
8.1.5.1;10.5.1 Size Factor for Government Bonds;193
8.1.5.2;10.5.2 Quality Factor for Government Bonds;196
8.1.5.3;10.5.3 Value Factor for Government Bonds;199
8.1.5.4;10.5.4 Momentum Factor for Government Bonds;200
8.1.5.5;10.5.5 Low Volatility Factor for Government Bonds;201
8.1.6;10.6 Corporate Bond Style Factors;202
8.1.6.1;10.6.1 Quality Factor for Corporate Bonds;203
8.1.6.2;10.6.2 Value Factor for Corporate Bonds;207
8.1.6.3;10.6.3 Momentum Factor for Corporate Bonds;210
8.1.6.4;10.6.4 Size Factor in Corporate Bonds;211
8.1.6.5;10.6.5 Low Volatility Factor for Corporate Bonds;212
8.1.7;10.7 Multi-Factors Strategies For Bonds;213
8.1.8;10.8 Considerations When Building Bond Factors;213
8.1.9;10.9 Concluding Remarks;214
8.2;11: Multi-Asset: Alternative Risk Premia;216
8.2.1;11.1 Why Are We Thinking of ARP?;218
8.2.2;11.2 Fund Manager Types in ARP;220
8.2.3;11.3 Taxonomy of ARP Strategies;221
8.2.4;11.4 Carry Premia Across Assets;224
8.2.4.1;11.4.1 Currency Carry Premium;224
8.2.4.2;11.4.2 The Commodity Carry Premium;227
8.2.4.3;11.4.3 The Bond Carry Premium;230
8.2.4.4;11.4.4 Other Carry Premia;232
8.2.5;11.5 Value ARP Strategies;233
8.2.5.1;11.5.1 Currency Value Premium;233
8.2.5.2;11.5.2 Commodities Value Premium;235
8.2.5.3;11.5.3 Fixed Income and Equities ARP Value Premia;237
8.2.6;11.6 Momentum and Trend-Following Strategies;238
8.2.7;11.7 Portfolio Construction of ARP Strategies;240
8.2.8;11.8 Access to ARP Strategies;242
8.2.9;11.9 A Consideration When Selecting ARP;243
8.2.10;11.10 Concluding Remarks;244
9;Bibliography;246
10;Index;251