Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn.” -Scott Stewart, Portfolio Manager. Richard Grinold and Ronald Kahn, today retired and at BlackRock respectively, share a history in academia, at BARRA and above all at the quant behemoth. The Fundamental Law of Active Management by Grinold and Kahn is designed to assess the value of active management, as expressed by the information ratio.
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It is more like an encyclopedia, and not an easy reading for business people: No citing articles found. Huanzhou rated it it was mahn Oct 30, The level of math hrinold is not a big deal, it is just that formulas are completely unexplained.
The result is an updated, comprehensive set of strategic concepts and rules of thumb for guiding the process of-and increasing the profits from-active investment management. Limiting yourself to being long only lowers IR.
Breadth, Skill, and Time | The Journal of Portfolio Management
However it does provide everything you need to know to construct, backtest, and evaluate your portfolio. Apr 15, Yifang Liu rated it really liked it Shelves: Grinold and Ronald N. Refresh and try again. I refer to it weekly at work.
It was my first book on Portfolio Management, although it has very good ratings on goodreads and amazon, I surprisingly found this book rather obscure and not-easy-to-follow. Active asset management is all about forecasting. This is the textbook for the active portfolio management course at Haas School of Business taught by Dr.
Tweet Widget Facebook Like. Just a moment while we sign you in to your Goodreads account. Since the book is so well rated by many other readers, I guess this is not an introductory course for first-timers.
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I would keep it on my shelf for future reference. If you’re interested in serious m If you’re an investing professional, you should already know about this book, whether you use it or not.
Breadth, Skill, and Time
Forgot your user name or password? Be the first to ask a question about Active Portfolio Management. Jason P rated it it was amazing Apr 07, It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management.
To see what your friends thought of this book, please sign up. By outlining an innovative process to uncover raw signals of asset returns, develop them into refined forecasts, then use those forecasts to construct portfolios of exceptional return and minimal risk, i. No trivia or quizzes yet.
I would recommend this book to anyone who is curious about scientific and investment theories. Bill rated it really liked it Sep 14, Mar 02, Robert Muller rated it really liked it. Want to Read Currently Reading Read. Anselmo Araujo rated it really liked it Feb 13, The market returns are always the baseline and grunold is measured by the IR the kshn of residual return to residual variance rather than an academic Sharpe ratio.
It states that there are two sources of oportunities to increase the information ratio. Dec 01, Shauntelle James rated it it was amazing. Alex Burns rated it it was amazing Nov 02, Andrew Bartels rated it it was amazing Apr 04, Open Preview See a Problem?
Tsung-Han Yang rated it it was ok Feb 17, Skill—the correlation of forecasts and returns—increases with the return horizon for small horizons, but then asymptotically decays to zero for very long horizons. It revisits a number of discussions from the first edition, shedding new light on some of today’s most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical evidence where appropriate. GrinoldRonald N. Thomas Johnson rated kxhn it was ok Nov 27, Want to Read saving….
Benefit from access to our content including:. Bud rated it really liked it Nov 25, The concept of breadth emphasizes the negative secondary effects that come with placing limits on an investment process with an edge.
grunold The second source of IR is breadth — the number of independent active oportunities per year the PM have to use his skill on. It is for example more valuable to be able to forecast the returns of stocks than stocks. Even though the book is full of financial theory the approach is practical.
It’s a highly quantitative read grjnold will make your undergraduate math courses valuable, literally. There are no discussion topics on this book yet.
The Journal of Portfolio Management Vol.