Index Fund Management (eBook, PDF) - Zaher, Fadi
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1Introduction: What we talk about in factor investingPART I2.Stepping up to factor investing2.1.History of significant advances in indices and indexed funds2.2.Growth and adaptation of factor strategies2.3.The taxonomy of risks and returns2.4.Factor investing versus traditional index and active2.5.The misconception of factor investing in the press2.6.Consideration when looking at factor investing2.7.Concluding remarks3.Architecture and art of indexation3.1.Why index architecture matters3.2.Representativeness of the index strategy3.3.Modularity of an index3.4.Availability: the amount of stocks and bonds outstanding3.5.Stock and bond weightings3.5.1.Market value weighting3.5.2.Equal weighting3.5.3.Price weighting3.5.4.Outcome-oriented weighting: Tilting and optimisation3.6.Index maintenance and operations3.7.Replication and management of index funds3.7.1.Trading strategies3.7.2.Securities lending3.7.3.Cash management3.8.Crowding risk of index funds3.9.The capacity of index funds3.10.Concluding remarks4Equity Factor Investing: Value Stocks4.1Schools of value investing4.2The value and growth debate4.3Intrinsic value4.4Systematic screening approaches4.4.1Benjamin Graham screen4.4.2Price-to-book screen4.4.3Price-to-Earning screen4.4.4Price-to-sales ratio4.4.5Comparison and combination of screens4.4.6What constitutes good screen criteria?4.5Behavioural drivers of value factor4.6Market structure and reward for risk4.7Considerations for value investing4.8Concluding remarks5Equity Factor Investing: High Quality5.1Investment horizon for quality5.2Quality factor screens5.2.1Profitability screen5.2.2Asset growth and investment screen5.2.3Leverage screen5.2.4Earning accruals screen5.2.5Corporate governance screen5.2.6Combined quality screens among practitioners5.3Drivers of the quality premium5.4Quality and valuation of stocks5.5Consideration for quality strategies5.6Concluding remarks6Equity Factor Investing: Low Risk6.1Why considering low volatility factor investing?6.2Low-risk factor approaches and construction6.3Common low volatility factor indices6.4Behavioural drivers of the factor premium6.5Market structures driving the factor premium6.6Considerations when implementing low volatility strategies6.7Low volatility in asset allocation6.8Concluding remarks7Equity Factor Investing: Momentum7.1Evolution of momentum investing7.2Rules-based momentum index strategies7.2.1Cross-sectional momentum strategies7.2.2Time series momentum strategies7.3Market-based index strategies7.4Behavioural drivers of momentum premium7.4.1Herding behaviour7.4.2Representativeness and Confirmation bias7.5The reward for risk and market structures7.6Consideration for momentum strategies7.7Concluding remarks8Equity Factor Investing: Size8.1Defining the size factor8.2Construction of size-based index strategy8.3The existence of the size premium8.4Risk-based explanation of the size premium8.5Non-risk based explanation8.5.1The January effect8.5.2Inefficient pricing8.5.3Attention, coverage and transparency8.5.4Behavioural drivers of the size factor8.6Criticism of the size premium8.7Considerations when investing in small size8.8Concluding remarks9Equity Multi-Factor Investing9.1Factor cyclicality and diversification9.2Blending the factors into multi-factor strategy9.2.1The top-down approach9.2.2The bottom-up approach9.3So which approach is best?9.4Multi-factor indices in the market9.5Timing the factors9.5.1Factor sensitivities and factor dynamics9.6Considerations when timing the factors9.7Multi-factor portfolio analysis9.7.1Portfolio return-based style analysis9.7.2Security-based style analysisConcluding remarks10Fixed Income Factor Investing10.1Why factor investing in fixed income?10.2Drivers of bond risk and return10.3Misconception when thinking of bond factors10.4What are the factors in bonds?10.5Government bond style factors10.5.1Size factor for government bonds10.5.2Quality factor for government bonds10.5.3Value factor for government bonds10.5.4Momentum factor for government bonds10.5.5Low volatility factor for government bonds10.6Corporate bond style factors10.6.1Quality factor for corporate bonds10.6.2Value factor for corporate bonds10.6.3Momentum factor for corporate bonds10.6.4Size factor in corporate bonds10.6.5Low volatility factor for corporate bonds10.7Multi-factors strategies in corporate bonds10.8Considerations when building bond factors10.9Concluding remarks11Multi-Asset Alternative Risk Premia11.1Why are we thinking of ARP?11.2Fund manager types in ARP11.3Taxonomy of ARP strategies11.4Carry premia across assets11.4.1Currency carry premium11.4.2The commodity carry premium11.4.3The bond carry premium11.4.4Other carry premia11.5Value ARP strategies11.5.1Currency value premium11.5.2Commodities value premium11.5.3Fixed income and equities ARP value premia11.6Momentum and trend-following strategies11.7Portfolio construction of ARP strategies11.8Access to ARP strategies11.9A consideration when selecting ARP11.10Concluding remarks