Andrew Ang: Asset management: a systematic approach to factor investing: Oxford University Press, 2014, 704 pages, approx. $95

http://crossmark.crossref.org/dialog/?doi=10.1007/s11408-015-0259-z&domain=pdf

Web End = http://crossmark.crossref.org/dialog/?doi=10.1007/s11408-015-0259-z&domain=pdf

Web End = http://crossmark.crossref.org/dialog/?doi=10.1007/s11408-015-0259-z&domain=pdf

Web End = http://crossmark.crossref.org/dialog/?doi=10.1007/s11408-015-0259-z&domain=pdf

Web End = http://crossmark.crossref.org/dialog/?doi=10.1007/s11408-015-0259-z&domain=pdf

Web End = Financ Mark Portf Manag (2015) 29:429430 DOI 10.1007/s11408-015-0259-z

BOOK REVIEW

http://crossmark.crossref.org/dialog/?doi=10.1007/s11408-015-0259-z&domain=pdf

Web End = http://crossmark.crossref.org/dialog/?doi=10.1007/s11408-015-0259-z&domain=pdf

Web End = http://crossmark.crossref.org/dialog/?doi=10.1007/s11408-015-0259-z&domain=pdf

Web End = http://crossmark.crossref.org/dialog/?doi=10.1007/s11408-015-0259-z&domain=pdf

Web End = Andrew Ang: Asset management: a systematic approach to factor investing

Oxford University Press, 2014, 704 pages, approx. $95

Jan-Philip Schade1

Published online: 7 October 2015 Swiss Society for Financial Market Research 2015

The idea of investing into systematic risk factors such as the widely known value, size and momentum factors has gained a high degree of popularity within the last years. From an academic perspective, researchers have not only analyzed the performance consistency of countless factors in nearly all markets, but also developed new techniques of effectively gaining factor exposure in equity portfolios. In the nancial industry, large and small asset managers have started to offer a multitude of ETFs and other products aiming at systematic risk-factor exposure for their investors. In his book, Andrew Ang encounters the age-old problem of how and where to invest by showing in which way risk factors t to the investors individual risk preferences. Instead of focusing on the classical elements of mean-variance optimization based on different asset classes, the author denes the investors bad times as the starting point of every asset allocation....