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Active Index Investing: Maximizing Portfolio Performance and Minimizing Risk through Global Index Strategies
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  • Wiley

More About This Title Active Index Investing: Maximizing Portfolio Performance and Minimizing Risk through Global Index Strategies

  • English

English

For over three decades, indexing has become increasingly accepted by both institutional and individual investors.  Index benchmarks and investment products that track them have been a driving force in the transformation of investment strategy from art to science. Yet investors’ understanding of the sophistication of this burgeoning field has lagged the growing use of index products.

Active Index Investing is the definitive guide to how indexes are constructed, how index-based portfolios are managed, and how the world’s most sophisticated investors use index-based strategies to enhance performance, reduce costs and minimize the risks of investing.

Active Index Investing provides a comprehensive overview of (1) the investment theories that are the foundation of index based investing, (2) best practices in benchmark construction, (3) the growing world of index-based investment vehicles, (4) cutting-edge index portfolio management techniq ues and (5) the myriad ways investors can and do capture the benefits of indexing.

Active Index Investing has a unique format that captures the views and perspectives of over 40 of the investment industry’s leading experts and practitioners, while maintaining a holistic view of this complex subject matter. In addition to the Appendix and Glossary within the book, it features an E-ppendix, available at www.IndexUniverse.com

  • English

English

Steven A. Schoenfeld is the Chief Investment Strategist for the Quantitative Management area of Northern Trust Global Investments (NTGI), which encompasses more than $200 billion in index and enhanced index strategies committed to the world’s equity and fixed income markets. He is also a Senior Research Fellow with Duke University’s Global Capital Markets Center.  He was the founder of IndexUniverse.com,  and was a Managing Partner of Global Index Strategies LLC, a specialized consulting firm.  Steven previously served as Chief Investment Officer of Active Index Advisors and as a Managing Director of Barclays Global Investors, responsible for $65 billion in global index funds and ETFs,  He developed some of the first emerging market index products while at the International Finance Corporation/World Bank, and traded Japanese stock index futures as a member of the Singapore Exchange. Steven serves on key governance committees for most major benchmark indexes.  He was a Fulbright Scholar in economics in Singapore and coauthored The Pacific Rim Futures and Options Markets.
  • English

English

FOREWORD: THE ROLE OF INDEXING AND BENCHMARKS IN DEVELOPING SOUND INVESTMENT APPROACHES xi
Don Phillips

PREFACE xv

ACKNOWLEDGMENTS xxi

CONTRIBUTORS xxvii

ABOUT THE EDITOR xxxi

CHAPTER 1 Indexing Is Active: The Meaning of Active Indexing and the Interconnected Themes of the Book 1
Steven A. Schoenfeld

PART ONE The Indexing Revolution: Theory and Practice 11
Steven A. Schoenfeld

CHAPTER 2 The Foundations of Indexing: Theoretical and Practical Underpinnings of a Heretical Concept 13
Binu George, Steven A. Schoenfeld, and Jim Wiandt

CHAPTER 3 The Ever-Evolving Uses of Indexing: Why the Active versus Index Debate Is Over 31
Matthew Scanlan, Binu George, Francis Enderle, and Steven A. Schoenfeld

CHAPTER 4 Market Uncertainty and the Role of Indexing 49
Adele Kohler

PART TWO Benchmarks: The Foundation for Indexing 59
Steven A. Schoenfeld

CHAPTER 5 The Vital Importance and Fundamental Uses of Benchmarks 63
Pamela Cloyd, Larry Siegel, and Steven A. Schoenfeld

CHAPTER 6 Perfection Impossible: Best Practices for Index Construction 81
Steven A. Schoenfeld

CHAPTER 7 The Ideal Index Construction 101
Gus Sauter

CHAPTER 8 U.S. Equity Benchmarks—Broad-Cap, Size, and Style Indexes: Slicing and Dicing the U.S. Equity Market 119
Gardner Platt, Brad Pope, and Chad Rakvin

CHAPTER 9 International/Global Equity Benchmarks for North American Investors 139
Steven A. Schoenfeld and Robert Ginis

CHAPTER 10 Fixed-Income Benchmarks 163
Vache Mahseredjian and Mark Friebel

CHAPTER 11 Hedge Fund Benchmarks and Asset Allocation 179
Mark Anson

CHAPTER 12 Using Indexes as Analytical Tools: Viewing Changes in the World’s Stock Markets through the Benchmarks 209
Mark Sladkus

CHAPTER 13 Socially Responsible Investment and Index Benchmarks 229
Peter Wall

PART THREE The Ever-Expanding Variety and Flexibility of Index Products 245
Steven A. Schoenfeld

CHAPTER 14 The Wide World of Index Products: Building Blocks for an Efficient Portfolio 249
Steven A. Schoenfeld and Joy Yang

CHAPTER 15 Enhanced Indexing: Adding Index Alpha in a Disciplined, Risk-Controlled Manner 277
Steven A. Schoenfeld and Joy Yang

CHAPTER 16 Exchange-Traded Funds: A Flexible and Efficient Investment Tool 297
Yigal Jhirad, Omer Ozkul, and David Qian

CHAPTER 17 Indexing Real Estate 325
James S. Keagy

CHAPTER 18 Active Indexing: Sophisticated Strategies with Index Vehicles 339
Steven A. Schoenfeld, Robert Ginis, and Niklas Nordenfelt

PART FOUR Managing Index Funds: It’s Anything but Passive! 361
Steven A. Schoenfeld

CHAPTER 19 Fundamental Index Portfolio Management Techniques 365
Steven A. Schoenfeld and Kevin Maeda

CHAPTER 20 The Unique Challenges of U.S. Equity Index Management 389
Amy Schioldager, Will Hahn, Ed Hoyt, and Jane Leung

CHAPTER 21 Delivering Performance in International Equity Indexing 405
Eleanor de Freitas, Robert Ginis, Creighton Jue, Tom McCutchen, Steven A. Schoenfeld, and Amy Whitelaw

CHAPTER 22 Managing Fixed-Income Index Funds 433
Elizabeth Para and Partha Dasgupta

CHAPTER 23 Managing Exchange-Traded Funds 455
Lisa Chen and Patrick O’Connor

CHAPTER 24 Index-Based Separately Managed Accounts: Delivering on the Performance Promise 479
Mark Adams, Kevin Maeda, and Steven A. Schoenfeld

PART FIVE Pulling It All Together: How to Use Index Products to Build an Efficient, Risk-Controlled Investment Strategy 497
Steven A. Schoenfeld

CHAPTER 25 Choosing among Index Vehicles: How Does an Institutional Investor Select an Investment Product? 503
Joanne Hill and Barbara Mueller

CHAPTER 26 How and Why Large Pension Plans Use Index-Based Strategies as Their Core Investments 535
Nancy Calkins

CHAPTER 27 Tax-Efficient Indexation 559
Mark A. Zurack

CHAPTER 28 Indexing for Advisors: A Sophisticated Strategy for Professional Investment Advisors and Their Clients 569
Michael J. Chasnoff

CHAPTER 29 Indexing for Individual Investors 585
Greg Baer and Gary Gensler

CHAPTER 30 Indexing at the Core: The Four Key Axioms for Long-Term Investment Success 607
Steven A. Schoenfeld

CHAPTER 31 The Future of Indexing: The Revolution Has Just Begun! 625
Steven A. Schoenfeld

GUIDE TO THE E-PPENDIX: www.ActiveIndexInvesting.com, Partnered with IndexUniverse.com 649

ABRIDGED GLOSSARY OF INDEXATION AND QUANTITATIVE INVESTMENT TERMINOLOGY 657

ABRIDGED BIBLIOGRAPHY AND RESEARCH RESOURCES 665

INDEX 671

  • English

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"[Active Index Investing, which] contains the contributions of some 50 pension fund officials shows there is nothing passive or apathetic about indexers in terms of investment innovation . . . Schoenfeld, a leader in expanding the use and understanding of indexing, has an intellectual's grasp of its concepts and a practitioner's ability to apply them . . . The 688-page book is an essential guide for anyone involved in portfolio management, active as well as passive." — Barry Burr, Editorial Page Editor, Pensions & Investments (January 10, 2005)
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