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Asset ManagementA Systematic Approach to Factor Investing$
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Andrew Ang

Print publication date: 2014

Print ISBN-13: 9780199959327

Published to Oxford Scholarship Online: August 2014

DOI: 10.1093/acprof:oso/9780199959327.001.0001

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Factor Investing

Factor Investing

Chapter:
(p.442) Chapter 14 Factor Investing
Source:
Asset Management
Author(s):

Andrew Ang

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199959327.003.0014

There are many factor strategies—value-growth investing, momentum, and short volatility strategies, to name but a few—that beat the market. To determine which factors that we should choose, factor investing asks: how well can a particular investor weather hard times relative to the average investor? Answering this question helps an investor reap long-run factor premiums by embracing risks that lose money during bad times but make up for it the rest of the time with attractive rewards. When factor investing can be done cheaply, it raises the bar for active management.

Keywords:   decomposition, factor attribution, bad times, risk premium, factor allocation, smart beta, alternative beta, exotic beta, dynamic strategy, passive vs. active, macro factors, safe assets

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