Factor Investing

Andrew Ang

Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

June 10, 2013

Columbia Business School Research Paper No. 13-42

Factor investing asks: how well can a particular investor weather hard times relative to the average investor? Answering helps her 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.

Number of Pages in PDF File: 72

Keywords: risk premium, bad times, factor allocation, alternative beta, smart beta, exotic beta, dynamic portfolio choice, fixed income weights, GDP-weights

JEL Classification: G11, G12, G15

Open PDF in Browser Download This Paper

Date posted: June 11, 2013  

Suggested Citation

Ang, Andrew, Factor Investing (June 10, 2013). Columbia Business School Research Paper No. 13-42. Available at SSRN: http://ssrn.com/abstract=2277397 or http://dx.doi.org/10.2139/ssrn.2277397

Contact Information

Andrew Ang (Contact Author)
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Feedback to SSRN

Paper statistics
Abstract Views: 47,117
Downloads: 10,087
Download Rank: 268

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 0.188 seconds