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Asset Management: A Systematic Approach to Factor Investing
Andrew Ang
- 07 Jul 2014
292
TL;DR: In this paper, the authors discuss the role of the asset owner in the long-term performance of a portfolio, and propose a strategy for the long run of the portfolio management process.
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Abstract: Preface: Asset Management Part I: The Asset Owner Chapter 1: Asset Owners Chapter 2: Preferences Chapter 3: Mean-Variance Investing Chapter 4: Investing for the Long Run Chapter 5: Investing Over the Life Cycle Part II: Factor Risk Premiums Chapter 6: Factor Theory Chapter 7: Factors Chapter 8: Equities Chapter 9: Bonds Chapter 10: Alpha (and the Low Risk Anomaly) Chapter 11: " Assets Chapter 12: Tax-Efficient Investing Chapter 13: Illiquid Assets Chapter 14: Factor Investing Part III: Delegated Portfolio Management Chapter 15: Delegated Investing Chapter 16: Mutual Funds and Other 40-Act Funds Chapter 17: Hedge Funds Chapter 18: Private Equity Afterword: Factor Management Appendix: Returns Acknowledgements Bibliography Index
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References
Optimal fiscal and monetary policy in an economy without capital
Robert E. Lucas,Nancy L. Stokey +1 more
TL;DR: In this paper, the structure and time-consistency of optimal fiscal and monetary policy in an economy without capital are investigated. And the main finding is that with debt commitments of sufficiently rich maturity structure, an optimal policy, if one exists, is time-Consistent.
2.2K
Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses
TL;DR: In this paper, the authors use a new database to perform a comprehensive analysis of the mutual fund industry and find that funds hold stocks that outperform the market by 1.3 percent per year, but their net returns underperform by one percent.
Size, Value, and Momentum in International Stock Returns §
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this paper, empirical asset pricing models capture the value and momentum patterns in international average returns and whether asset pricing seems to be integrated across the four regions (North America, Europe, Japan, and Asia Pacific).
2K