Investing for the Long Run

Ang, Andrew; Kjaer, Knut N.

doi:10.2139/ssrn.1976310

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Factor Premiums1

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2021

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Cited by 4 publications

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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 () 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 ., ).…”

Section: Factor Premiumsmentioning

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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Section: Factor Premiumsmentioning

confidence: 99%