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Asset management: a systematic approach to factor investing

By: Ang, Andrew.
Material type: materialTypeLabelBookSeries: Financial Management Association Survey and Synthesis Series.Publisher: Oxford Oxford University Press 2014Description: xii, 704 p.ISBN: 9780199959327; 9780199382323.Subject(s): Asset-backed financing | Capital assets pricing model | InvestmentsDDC classification: ER403 Online resources: E-book Summary: This book upends the conventional wisdom about asset allocation by showing that what matters aren't asset class labels but the bundles of overlapping risks they represent. The key, the book argues, is bad times, and the fact that every investor's bad times are somewhat different. The notion that bad times are paramount is the guiding principle of the book, which offers a new approach to the age-old problem of where an investor should put their money. This book argues that the traditional approach, with its focus on asset classes, is too crude and ultimately too costly to serve investors adequately. Instead it focuses instead on "factor risks," the peculiar sets of hard times that cut across asset classes, and that must be the focus of investors’ attention if they are to weather market turmoil and receive the rewards that come with doing so. Optimally harvesting factor premiums for an investor requires identifying personal hard times, and exploiting the difference between them and those of the average investor. (http://www.oxfordscholarship.com/view/10.1093/acprof:oso/9780199959327.001.0001/acprof-9780199959327)
List(s) this item appears in: OUP e-Books | VR_VSL e-Book collection
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Item type Current location Collection Call number Status Date due Barcode
Electronic Resources Vikram Sarabhai Library
Electronic Resources
Reference ER403 (Browse shelf) Available ER000403

This book upends the conventional wisdom about asset allocation by showing that what matters aren't asset class labels but the bundles of overlapping risks they represent. The key, the book argues, is bad times, and the fact that every investor's bad times are somewhat different. The notion that bad times are paramount is the guiding principle of the book, which offers a new approach to the age-old problem of where an investor should put their money. This book argues that the traditional approach, with its focus on asset classes, is too crude and ultimately too costly to serve investors adequately. Instead it focuses instead on "factor risks," the peculiar sets of hard times that cut across asset classes, and that must be the focus of investors’ attention if they are to weather market turmoil and receive the rewards that come with doing so. Optimally harvesting factor premiums for an investor requires identifying personal hard times, and exploiting the difference between them and those of the average investor.
(http://www.oxfordscholarship.com/view/10.1093/acprof:oso/9780199959327.001.0001/acprof-9780199959327)

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