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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Open Preview See a Problem? Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in Thomas Johnson rated it it was ok Nov 27, If a new opportunity is fully correlated to a previous one it adds no IR.
Active Portfolio Management was groundbreaking when it was first published in as instead it was devoted to the practical kwhn of generating alpha from a quantative angle. Yet, over the years I find myself returning to the key concepts akhn the book over and over again.
Breadth, Skill, and Time | The Journal of Portfolio Management
The market returns are always the baseline and success is measured by the IR the ratio of residual return to residual variance rather than an academic Sharpe ratio.
The Impact of Volatility Targeting. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn. The result is an updated, comprehensive set of strategic concepts and rules of thumb for guiding the process of-and increasing gdinold profits from-active investment management.
Trevor rated it it was amazing May 26, Grinold and Ronald N. Want to Read saving…. The topic at hand is the generation of risk adjusted relative returns. The level vrinold math required is not grrinold big deal, it is just that formul I read this book because it was recommended for Coursera course: Nsagarajan rated it really liked it Dec 28, Mar 02, Robert Muller rated it really liked it.
Ana Mizo rated it it was amazing Apr 22, Scopus 1 Google Scholar. It may not make you rich, and it may not make the people you invest for rich, but you will at least understand why or why not after understanding the math.
We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. There are no discussion topics on this book yet.
Daniel Walker rated it really liked it Oct 05, We do not capture any email address. Want to Read Currently Reading Read. 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.
Limiting yourself to being long only lowers IR. I would keep it on my shelf for future reference. It is for example more valuable to be able to forecast the returns of stocks than stocks. Jul 19, Isuru Daulagala rated it really liked it. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management.
It is more like an encyclopedia, and not an easy reading for business people: Be the first to ask a question about Active Portfolio Management. The concept of breadth emphasizes the negative secondary effects grinnold come with placing limits on an grinld process with an edge.
Thanks for telling us about the problem. I learned kajn about the underside of the investment process, a issue that I think not communicated enough today.
Breadth, Skill, and Time
Han rated it really liked it Jan 17, Tweet Widget Facebook Like. This book communicates the background of investment extremely well.
If you’re interested in serious measures of investment skill and kkahn, ditto. Do be prepared for a lot of linear algebra and calculus and probability theory, though. This is the textbook for the active portfolio management course at Haas School of Business taught by Dr.
Not recommended for fun read, but a complete must-have for active portfolio managers’ knowledg This is the textbook for the active portfolio management course at Haas School of Business taught by Dr. Dec 01, Shauntelle James rated it it was amazing. A good introductory book about quantitative portfolio management which is also mathematically rigorous.