Factor Investing

Andrew Ang

BlackRock, Inc

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: https://ssrn.com/abstract=2277397 or http://dx.doi.org/10.2139/ssrn.2277397

Contact Information

Andrew Ang (Contact Author)
BlackRock, Inc ( email )
55 East 52nd Street
New York City, NY 10055
United States
Feedback to SSRN

Paper statistics
Abstract Views: 50,298
Downloads: 10,993
Download Rank: 237