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Financial Markets and Portfolio Management

, Volume 29, Issue 4, pp 429–430 | Cite as

Andrew Ang: Asset management: a systematic approach to factor investing

Oxford University Press, 2014, 704 pages, approx. $95
  • Jan-Philip SchadeEmail author
Book review
  • 749 Downloads

The idea of investing into systematic risk factors such as the widely known value, size and momentum factors has gained a high degree of popularity within the last years. From an academic perspective, researchers have not only analyzed the performance consistency of countless factors in nearly all markets, but also developed new techniques of effectively gaining factor exposure in equity portfolios. In the financial industry, large and small asset managers have started to offer a multitude of ETFs and other products aiming at systematic risk-factor exposure for their investors. In his book, Andrew Ang encounters the age-old problem of how and where to invest by showing in which way risk factors fit to the investor’s individual risk preferences. Instead of focusing on the classical elements of mean-variance optimization based on different asset classes, the author defines the investor’s bad timesas the starting point of every asset allocation. ‘Bad times’ are defined as those in which...

Copyright information

© Swiss Society for Financial Market Research 2015

Authors and Affiliations

  1. 1.St. GallenSwitzerland

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