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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Breadth, Skill, and Time. Refresh and try again. 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. Anselmo Araujo rated it really liked it Feb 13, It is more like an encyclopedia, and not an easy reading for business people: Fact, Fiction, and the Size Effect.
Scopus 1 Google Scholar. Nsagarajan rated it really liked it Dec 28, Table of Contents Index by author. It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark. You are going to email the following Breadth, Skill, and Time.
A reference classic, and surprisingly well written. I refer to it weekly at work. I learned mostly about the underside of the investment process, a issue that I think not communicated enough today.
Be the first to ask a question about Active Portfolio Management. Placing restrictions on the amount of cash in the portfolio lowers IR, so does demanding sector neutrality in an equity portfolio etc. 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.
Academic financial text books have, to a large extent, akhn on beta and the so called efficient market.
Breadth, Skill, and Time | The Journal of Portfolio Management
Often the asset management process focuses excessively on the quality of bets versus the quantity. Joseph L D’Anna rated it liked it Jul 28, I read this book because it was recommended for Coursera course: Jul 19, Isuru Daulagala rated it really liked it. Lists with This Book. Kevin rated it did not like it Jul 02, Karen Ma rated it it was amazing Jul 13, Ana Mizo rated it it was amazing Apr 22, A good introductory book about quantitative portfolio management which is also mathematically rigorous.
Daniel Walker rated it really liked it Oct 05, 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 Barclays Global Investors where they both held leading positions while writing this book.
Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn. Ronald Kahn, the author of the book. Thank you for your interest in spreading the word on The Journal of Portfolio Management. Grinold and Kahn use an equilibrium dynamic model to provide insight into the concept of breadth, as well as a refined notion of skill.
Even though the book is full of hrinold theory the approach is practical. Bernhard rated it it was amazing Jun 06, Limiting yourself to being long only lowers IR.
Just a moment while we sign you in to your Goodreads account. If you’re interested in serious measures of investment skill and performance, ditto. 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.
Breadth, Skill, and Time
Huanzhou rated it it was grinld Oct 30, 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. It is relatively easy to measure for any investment process.
There is a substantial expansion in both depth and breadth on the original. Benefit from access to our content including:. Bud rated it really liked it Nov 25, 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. Active Portfolio Management was groundbreaking when it was first published in as instead it was devoted to the practical process of generating alpha from a quantative angle.
Skip to main content. Active asset management is all about forecasting. The level of math required is not a big deal, it is just that formulas are completely unexplained.
Richard Grinold and Ronald Kahn, today retired and at Oahn 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.
Dec 01, Iahn James rated it it was amazing. To see what your friends thought of this book, please sign up. Return to Book Page.