Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk
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Introduction. Part I: Foundations. Consensus Expected Returns: The Capital Asset Pricing Model. Risk. Exceptional Return, Benchmarks, and Value Added. Residual Risk and Return: The Information Ratio. The Fundamental Law of Active Management. Part II: Expected Returns and Valuation. Expected Returns and the Arbitrage Pricing Theory. Valuation in Theory. Valuation in Practice. Part III: Information Processing. Forecasting Basics. Advanced Forecasting. Information Analysis. The Information Horizon. Part IV: Implementation. Portfolio Construction. Long/Short Investing. Transaction Costs, Turnover, and Trading. Performance Analysis. Asset Allocation. Benchmark Timing. The Historical Record for Active Management. Open Questions. Summary. Appendice A: Standard Notation. B: Glossary. C: Return and Statistics Basics.
Consensus Expected Returns: The Capital Asset Pricing Model. Risk. Exceptional Return, Benchmarks, and Value Added. Residual Risk and Return: The Information Ratio. The Fundamental Law of Active Management. Part II: Expected Returns and Valuation. Expected Returns and the Arbitrage Pricing Theory. Valuation in Theory. Valuation in Practice. Part III: Information Processing. Forecasting Basics. Advanced Forecasting. Information Analysis. The Information Horizon. Part IV: Implementation. Portfolio Construction. Long/Short Investing. Transaction Costs, Turnover, and Trading. Performance Analysis. Asset Allocation. Benchmark Timing. The Historical Record for Active Management. Open Questions. Summary. Appendice A: Standard Notation. B: Glossary. C: Return and Statistics Basics.
Exceptional Return, Benchmarks, and Value Added. Residual Risk and Return: The Information Ratio. The Fundamental Law of Active Management. Part II: Expected Returns and Valuation. Expected Returns and the Arbitrage Pricing Theory. Valuation in Theory. Valuation in Practice. Part III: Information Processing. Forecasting Basics. Advanced Forecasting. Information Analysis. The Information Horizon. Part IV: Implementation. Portfolio Construction. Long/Short Investing. Transaction Costs, Turnover, and Trading. Performance Analysis. Asset Allocation. Benchmark Timing. The Historical Record for Active Management. Open Questions. Summary. Appendice A: Standard Notation. B: Glossary. C: Return and Statistics Basics.
The Fundamental Law of Active Management. Part II: Expected Returns and Valuation. Expected Returns and the Arbitrage Pricing Theory. Valuation in Theory. Valuation in Practice. Part III: Information Processing. Forecasting Basics. Advanced Forecasting. Information Analysis. The Information Horizon. Part IV: Implementation. Portfolio Construction. Long/Short Investing. Transaction Costs, Turnover, and Trading. Performance Analysis. Asset Allocation. Benchmark Timing. The Historical Record for Active Management. Open Questions. Summary. Appendice A: Standard Notation. B: Glossary. C: Return and Statistics Basics.
Expected Returns and the Arbitrage Pricing Theory. Valuation in Theory. Valuation in Practice. Part III: Information Processing. Forecasting Basics. Advanced Forecasting. Information Analysis. The Information Horizon. Part IV: Implementation. Portfolio Construction. Long/Short Investing. Transaction Costs, Turnover, and Trading. Performance Analysis. Asset Allocation. Benchmark Timing. The Historical Record for Active Management. Open Questions. Summary. Appendice A: Standard Notation. B: Glossary. C: Return and Statistics Basics.
Valuation in Practice. Part III: Information Processing. Forecasting Basics. Advanced Forecasting. Information Analysis. The Information Horizon. Part IV: Implementation. Portfolio Construction. Long/Short Investing. Transaction Costs, Turnover, and Trading. Performance Analysis. Asset Allocation. Benchmark Timing. The Historical Record for Active Management. Open Questions. Summary. Appendice A: Standard Notation. B: Glossary. C: Return and Statistics Basics.
Forecasting Basics. Advanced Forecasting. Information Analysis. The Information Horizon. Part IV: Implementation. Portfolio Construction. Long/Short Investing. Transaction Costs, Turnover, and Trading. Performance Analysis. Asset Allocation. Benchmark Timing. The Historical Record for Active Management. Open Questions. Summary. Appendice A: Standard Notation. B: Glossary. C: Return and Statistics Basics.
Information Analysis. The Information Horizon. Part IV: Implementation. Portfolio Construction. Long/Short Investing. Transaction Costs, Turnover, and Trading. Performance Analysis. Asset Allocation. Benchmark Timing. The Historical Record for Active Management. Open Questions. Summary. Appendice A: Standard Notation. B: Glossary. C: Return and Statistics Basics.
Part IV: Implementation. Portfolio Construction. Long/Short Investing. Transaction Costs, Turnover, and Trading. Performance Analysis. Asset Allocation. Benchmark Timing. The Historical Record for Active Management. Open Questions. Summary. Appendice A: Standard Notation. B: Glossary. C: Return and Statistics Basics.
Long/Short Investing. Transaction Costs, Turnover, and Trading. Performance Analysis. Asset Allocation. Benchmark Timing. The Historical Record for Active Management. Open Questions. Summary. Appendice A: Standard Notation. B: Glossary. C: Return and Statistics Basics.
Performance Analysis. Asset Allocation. Benchmark Timing. The Historical Record for Active Management. Open Questions. Summary. Appendice A: Standard Notation. B: Glossary. C: Return and Statistics Basics.
Benchmark Timing. The Historical Record for Active Management. Open Questions. Summary. Appendice A: Standard Notation. B: Glossary. C: Return and Statistics Basics.
Open Questions. Summary. Appendice A: Standard Notation. B: Glossary. C: Return and Statistics Basics.
Appendice A: Standard Notation. B: Glossary. C: Return and Statistics Basics.
C: Return and Statistics Basics.
"This new edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals."
-William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management.
"Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn."
-Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline
Co-Manager, Fidelity Freedom ® Funds.
"This Second edition will not remain on the shelf, but will be continually referenced by both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management."
-Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management.
Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in 1994. 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.e., portfolios that consistently beat the market, this hallmark book helped thousands of investment managers. Active Portfolio Management, Second Edition, now sets the bar even higher. Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities. It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark. Beyond the comprehensive treatment of the active management process covered previously, this new edition expands to cover asset allocation, long/short investing, information horizons, and other topics relevant today. 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. 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.