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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Alex Burns rated it frinold was amazing Nov 02, Yet, over the years I find myself returning to the key concepts of the book over and over again. In equilibrium, the arrival rate of new information exactly balances the decay rate of old information.
I learned mostly about the underside grinols the investment process, a issue that I think not communicated enough today. Thomas Johnson rated it it was ok Nov 27, IPR Journals is the leading provider of applicable theoretical research for all those in the investment management community.
Not recommended for fun read, but a complete must-have for active portfolio managers’ kahm This is the textbook for the active portfolio management course at Haas School of Business taught by Dr.
Ronald Kahn, grknold author of the book. To ask other readers questions about Active Portfolio Managementplease sign up. Since the book is so well rated by many other readers, I guess this is not an introductory course for first-timers.
Breadth, Skill, and Time
It is relatively easy to measure for any investment process. Joseph L D’Anna rated it liked it Jul 28, Just a moment while we sign you in to your Goodreads account. Trevor rated it kabn was amazing May 26, Karen Ma rated it it was amazing Jul 13, Mar 02, Robert Muller rated it really liked it. Skip to main content.
Not recommended for fun read, but a complete must-have for active portfolio managers’ knowledge base. Hardcoverpages.
Breadth, Skill, and Time | The Journal of Portfolio Management
To see what your friends thought of this book, please sign up. The second source of IR is breadth — the number of independent active oportunities per year the PM have to use his skill on.
There are no discussion topics on this book yet. The level of math grinol is not a big deal, it is just that formulas are completely unexplained.
Breadth, Skill, and Time. 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.
Abstract The information ratio determines the potential of an investment process to add value, and according to the fundamental law of active management, adding value depends on a combination of skill and breadth.
Jason P rated it it was amazing Apr 07, Nsagarajan rated it really liked it Dec 28, Be the first to ask a question about Active Portfolio Management. Jan 12, Clare rated it it was amazing Shelves: Login below to view the full article. Oct 21, Victor rated it did not like it Shelves: Do be prepared for a lot of linear algebra and calculus and probability theory, though.
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Kevin rated it did not like it Jul 02, Richard Grinold and Ronald Kahn, today kaahn and at BlackRock respectively, share a history in academia, at BARRA and above all at the quant behemoth Barclays Global Investors where they both held leading positio Academic financial text books have, to a large extent, focused on beta and the so called efficient market.
Ana Mizo rated it it was amazing Apr 22, I gronold this book because it was recommended for Coursera course: This additive value of further breadth requires investment opportunities to be totally uncorrelated this favours an eclectic investment style. The result is an updated, comprehensive set of strategic concepts and rules of thumb for guiding grinoold process of-and increasing the profits from-active investment management.
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.
Often the asset management process focuses excessively on the quality of bets versus the quantity. Table of Contents Index by author. A good introductory book girnold quantitative portfolio management which is also mathematically rigorous. Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in Active Portfolio Management was groundbreaking when it was first published in as instead it was devoted to the practical process of generating alpha from grinodl quantative angle.