Investing for the Long Run

Ang, Andrew; Kjaer, Knut N.

doi:10.2139/ssrn.1958258

Cited by 24 publications

(14 citation statements)

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“…Any asset can be viewed as a bundle of factors that ref lect deeper risks and rewards, just as any food is a bundle of nutrients that sustain us; see Ang and Kjaer [2011]. Several large institutions have in recent years begun to explore an alternative perspective of factor allocation, asking: What are the most important factors driving our portfolio returns?…”

mentioning

confidence: 99%

The Death of Diversification Has Been GreatlyExaggerated

Ilmanen¹,

Kizer²

2012

JPM

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mentioning

confidence: 99%

The Death of Diversification Has Been GreatlyExaggerated

Ilmanen¹,

Kizer²

2012

JPM

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“…In that case, inflation and economic growth in particular are taken as the two key 'drivers', or factor premiums. Ang and Kjaer (2011) for instance identify inflation and economic growth, but also political risk as so-called 'fundamental factors'. The aim is then to put together a portfolio that performs well under as many scenarios as possible, so under diverse combinations of inflation and economic growth (Ilmanen et al, 2014).…”

Section: Alternative Approachmentioning

confidence: 99%

Investing in Systematic Factor Premiums

Koedijk

Slager

Stork

2016

Euro Fin Management

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In this paper we investigate and evaluate factor investing in the US and Europe for equities and bonds. We show that factor-based portfolios generally produce comparable or better portfolios than market indices. We expand the analysis to other asset classes and factors, work with other optimisation methods and add a basic liability structure. The results do not depend on adding other asset classes or on the removal of a specific factor. Finally, we study the results for a worldwide investor who invests beyond the US and Europe. Over the longer term and with consistently applied factor diversification, factor investing appears to be advantageous.

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“…Tolerance for illiquidity often comes up as a key point of focus whenever investment horizon is discussed, e.g. see Ang and Kjaer (2011); Croce et al 2011; Jones (2012). An overview of the theory and empirical evidence on the determinants of illiquidity is provided by Vayanos and Wang (2013).…”

Section: (Ii) Trade Discretion and Tolerance For Illiquiditymentioning

confidence: 99%

“…. Ang and Kjaer (2011) point to the need for buy-in from both owners and managers in order to adopt long-term strategies and tolerate short-term losses, seeing misalignment as a source of missed opportunity. Gray (2006) also considers principal-agent frictions as a major driver of short-termism.…”

Section: Alignmentmentioning

confidence: 99%

Long-Term Investing: What Determines Investment Horizon?

Warren

2014

SSRN Journal

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The literature on investment horizon is reviewed in order to enhance the understanding of potential influences on long-term investing by institutional investors. Investment horizon reflects an interconnected web of influences related to an investor's circumstances, the design of the investing environment, and the choices that are made by key decision makers. Twelve such influences are identified and discussed. A characterization of investment horizon is offered based around two indicators: discretion over trading and how investment decisions are made, specifically the extent to which they are based on expected near-term price changes versus drivers of long-term value and returns. An overview of the debate over short-term versus long-term investing is also presented. The contents of this paper reflect the views of the author and do not represent the official views or policies of the Centre for International Finance and Regulation or any of its Consortium members. Information may be incomplete and should not be relied upon without seeking prior professional advice. The Centre for International Finance and Regulation and its Consortium members exclude all liability arising directly or indirectly from use or reliance on the information contained in this publication. The Future Fund's involvement in this first paper of the research project is limited to providing guidance and feedback on the text. The contents of this paper in no way represent the official views or policies of the Future Fund. Acknowledgements: The author would like to thank Stephen Gilmore, Will Hetherton and Nigel Wilkin-Smith who provided guidance and feedback on behalf of the Future Fund. Appreciation is also extended to David Gallagher from CIFR, Damian Lillicrap from QSuper as well as Joe Chung, David Iverson and Neil Williams from the New Zealand Superannuation Fund for providing a sanity check through volunteering their feedback.

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Investing for the Long Run

Cited by 24 publications

References 0 publications

The Death of Diversification Has Been GreatlyExaggerated

The Death of Diversification Has Been GreatlyExaggerated

Investing in Systematic Factor Premiums

Long-Term Investing: What Determines Investment Horizon?

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