ActiveBeta indexes : capturing systematic sources of active equity returns - Ghayur, Khalid (Hoboken, N.J. : John Wiley & Sons, 2010)
The evolution of market indexes and index funds -- The evolution of equity style indexes -- Introducing active betas -- Behavior of short-term earnings expectation and the link with price momentum -- Behavior of long-term earnings expectation and the link with value -- Pricing and persistence of systematic sources of active equity returns -- ActiveBeta index construction methodology -- Historical performance of ActiveBeta indexes -- ActiveBeta index applications -- Alternative solutions for capturing active betas.
Includes bibliographical references and index.
Keywords: Stock price indexes; Investments