Asset Management: A Systematic Approach to Factor Investing. Andrew Ang. Abstract. This book upends the conventional wisdom about asset allocation by. Investing, by Andrew Ang, Financial Management Associ- ation Survey and asset owners share common issues in investing: meeting their liabilities. Download This Paper Open PDF in Browser. Add Paper Andrew Ang. BlackRock Ang, Andrew, Factor Investing (June 10, ). Columbia curated by: Victor Ricciardi at Goucher College - Department of Business Management Mutual Funds, Hedge Funds, & Investment Industry eJournal · Follow.
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Asset management: a systematic approach to factor investing / Andrew Ang. p. cm. 18 See ayofoto.info 19 This. Asset Management by Andrew Ang - Ebook download as PDF File .pdf), Text File .txt) or read book online. Andrew Ang. Download PDF · Financial Markets and Portfolio Management Andrew Ang: Asset management: a systematic approach to factor investing.
Factor risks must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Clearly written yet full of the latest research and data, Asset Management is indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, to harvest them efficiently in their portfolios, and to embark on the search for true alpha.
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Jan 19, Kati rated it liked it. Solid examples and explanations of concepts. I skipped the math though. Feb 22, Sean rated it really liked it. Andrew Ang combines readability, sincerity, and rigor in this excellent book on factor investing. I found many of the themes familiar though refreshing all the same to see expanded and explained so clearly.
Focus on bad times, avoid mistakes such as neglecting survivorship bias, and don't assume asset classes such as hedge funds or private equity exist just because they are given names -- factors matter; focus on them as you focus on ingredients in food rather than labels on boxes.
All in all, a Andrew Ang combines readability, sincerity, and rigor in this excellent book on factor investing. All in all, an excellent book worth reading. Aug 20, InvestingByTheBooks.
This is something as scarce as a readable textbook. The subtitle is A Systematic Approach to Factor Investing but the bulk of the book is really a broad, comprehensive and accessible primer on asset management that combines the basics of financial academic theory with the latest academic findings and a fair amount of real life examples and practical applications.
The author Andrew Ang, currently at BlackRock and previously a celebrated finance Professor at Columbia, advises the reader to view th This is something as scarce as a readable textbook. The author Andrew Ang, currently at BlackRock and previously a celebrated finance Professor at Columbia, advises the reader to view the field through the lens of underlying factors but with the book being so broad this almost becomes a side story. First and foremost Ang wants to see better practices in institutional asset management over all.
Asset Management provides an introduction into the character of asset classes, investment strategies and factor premias. The book provides a step-by-step guide in traditional portfolio theory without expanding too much into the underlying math.
Then Ang goes further and discusses new findings, extensions and critique of the established models in a good-tempered and easy-going style. Each chapter starts with an illuminating story from real world asset management, then the academic theory is presented and in the end Ang takes the — now more knowledgeable — reader back to the introductory story to discuss it in a new light.
The book largely substitutes equations for well thought out illustrations which will make the subject more comprehensible for a larger audience. It is quite an impressive trait of the author to be able to make discussions on, for example, the use of utility functions in mean-variance optimization models this understandable and interesting. It is also symptomatic that the author during his career has been able to switch back and forth between consulting for various asset managers and having a successful career in academia.
Where academia often make too many unrealistic assumptions and almost have a fetish for explaining market movements with information, practical asset management can on the other hand at times be dominated by a lazy continuation of old obsolete practices and self interests.
The last quarter of the book called Delegated Portfolio Management is essentially concentrated on agency problems and discusses mutual funds, hedge funds and private equity. Ang is extremely critical towards hedge funds and private equity specifically, showing that they generally underperform risk-adjusted benchmarks composed of the factors that build up their return streams.
Still, this categorical statement saves Ang from engaging in a discussion that is vitally important for most portfolios; how to best construct a portfolio that combines liquid and illiquid assets, where the latter renders most of the standard risk and reward measures useless.
Often it is too hard for the author apparently! All factor returns give compensation for enduring various types of bad times. Asset Management will be a cornerstone of the reading list for asset management classes for years to come. For anyone wanting to gain a thorough understanding of the current best practice in institutional multi-asset, portfolio management this is the place to start.
Jul 11, Jake Losh rated it really liked it Shelves: A very good, comprehensive reference text. I felt like I was getting a personal tour through the past couple decades of finance and asset management theory and I find the factor story to be very plausible. There is a quirky sense of humor throughout and a fresh, honest take on many issues in asset management such as whether managers and we as an industry really add value.
He has plenty of opprobrium for CalPERS, hedge funds and private equity — all of which is grounded fairly well in facts rat A very good, comprehensive reference text.
He has plenty of opprobrium for CalPERS, hedge funds and private equity — all of which is grounded fairly well in facts rather than pure mud-slinging. My main criticism might be that this really is more of a reference than a book to read cover-to-cover to learn about asset management.
I "know about" factor investing now, but I'm dubious that I'd be able to actually implement a factor strategy or decomposition for my own investing. I think I'll come back to this book in the future more for its bibliography than for the content itself. Returns are even harder to estimate, and only those who can forecast all three datasets should deploy the full mean—variance engine.
The author neglects to add that if you can accurately forecast returns, you have no need for an optimizer in the first place.
You can almost hear Ang chortling when he writes that a manager is more likely to play shortstop for the Red Sox than successfully estimate most of the Markowitz inputs. He is more explicit in his opinion that nearly all money managers would be better off simply holding equal asset weights if they can rebalance or the market portfolio if they cannot. Risk premiums are primarily earned by shouldering bad returns in bad times BRBT. A risk factor related to BRBT is volatility; because a long position has a negative long-term expected return, investors can reap a premium by selling it i.
The world of finance divides between those who need liquidity and must pay for it and those who can profit by selling it. The problem is that just as the overwhelming majority of drivers believe that they are above average, so too do a majority of managers believe that when crisis arrives, they will be the ones doing the buying.
Financial history shows that many of them will be mistaken. Further, the investor in illiquid assets should require an additional risk premium of 0. In a related vein, Ang is a fan of rebalancing and provides new insights even to those who have thought long and hard about this process.
For example, most observant practitioners realize that rebalancing provides excess returns when asset class returns are similar as with US stocks and bonds over the past decade and that rebalancing loses money when asset class returns vary widely as with US and Japanese equities since Rebalancers, Ang reminds us, are providers of liquidity and, more subtly, are short volatility, earning a premium when risky asset classes behave as expected and paying out insurance when outcomes are extreme, on the upside as well as the downside.
A Wall Street Revolt W. There is more—much more—in the book that will reward institutional investors and, rare in an academic finance tome, individual ones as well. The section on municipal bonds is so well written and so devoid of jargon that it should be read by anyone who has ever bought or contemplated buying an individual tax-free bond from a financial institution. It will benefit individual muni purchasers handsomely, perhaps thousands of times over, if they fall into the high-net-worth category.
When sorted by trading interval, the median municipal bond issue transacts once or twice a year.
I question only a few minor omissions. Although the author accurately describes the pitfalls of using overlapping time series to estimate correlations and regressions, he fails to mention the primary tool for dealing with these pitfalls: More substantively, although Ang correctly points out the short-term detrimental effects of unexpected inflation on equities, he does not seriously consider the issue from a longer-term, consumption-based perspective, which yields a more nuanced conclusion.
Yes, long-term high inflation does lower long-term returns, but equities generally provide more-than-adequate long-term inflation protection, which nominal bonds most certainly do not. The Jorion—Goetzmann and Dimson—Marsh—Staunton international databases show that in most inflationary environments, equities are a store of real value.
But these are quibbles. Asset Management will be warmly received by a wide audience. It belongs on the front shelves of pension and endowment managers, who should read and reread the chapters on hedge funds, real estate, commodities, and private equity until they realize that unless their name is David Swensen, they are the patsies at ludicrously expensive poker tables.
And I invested in.
Were the publisher to post at least some of these chapters online, it would do well by doing good. As has Professor Ang, in spades. Hearing on S.