We argue that Kahn’s view is based on an interpretation of Grinold’s law that (a) fails to evaluate strategies in a portfolio context and therefore draws the wrong. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn.” – Scott Stewart, Portfolio Manager. Notes: Active Portfolio Management. By Zhipeng Yan. Active Portfolio Management. By Richard C. Grinold and Ronald N. Kahn. Part I Foundations. Chapter 1.
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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 positio Academic financial text books have, to a large extent, focused on beta and the so called efficient market. I would keep it on my shelf for future reference. Matthew Tuxford rated it it was ok Oct 16, Thanks for telling us about the problem.
I refer to it weekly at work. Daniel Walker rated it really liked it Oct 05, If you’re an investing professional, you should already know about this book, whether you use it or not. Bernhard rated it it was amazing Jun 06, 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.
Ronald Kahn, the author of the book. However it does provide everything you need to know to construct, backtest, and evaluate your portfolio.
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. Nsagarajan rated it really liked it Dec 28, To increase the IR from 0,5 to 1,0 one would need to double skill, increase breadth by a factor of four or some combination of the two.
Dec 01, Shauntelle James rated it it was amazing. If you have a subscription you may use the login form below to view the article.
Want to Read saving…. To ask other readers questions about Active Portfolio Managementplease sign up. Want to Read Currently Reading Read. Table of Contents Index by author. 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. Yet, over the years I find myself returning kayn the key concepts of the book over and over again.
There are no discussion topics on this book yet.
It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management. Lists with This Book. 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.
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 znd math.
Breadth, Skill, and Time
The second source of IR is breadth — the number of independent active oportunities per year the PM kkahn to use his skill on. Just a moment while we sign you in to your Goodreads account. 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. Mar 02, Robert Muller rated it really liked it. Giovanni rated it it was ok Apr 01, Ana Mizo rated it it was amazing Apr 22, Joseph L D’Anna rated it liked it Jul 28, Anselmo Araujo rated it really liked grinol Feb kagn, This book is not yet featured on Listopia.
In equilibrium, the arrival rate of new information exactly balances the decay rate of old information.
I read this book because it was recommended for Coursera course: It is for example more valuable to be able to forecast the returns of stocks than stocks. Tax Optimization of Municipal Bond Portfolios: It is relatively easy to measure for any investment process.
It is more like an encyclopedia, and not an easy reading for business people: Trevor rated it it was amazing May 26, Jul 19, Isuru Daulagala rated it really liked it. GrinoldRonald N. Not recommended for fun read, but a complete must-have for active portfolio managers’ knowledge base. It’s a highly quantitative read that will make your undergraduate math courses valuable, literally. Placing restrictions on the amount of cash in the portfolio grunold IR, so does demanding sector neutrality in an equity portfolio etc.
Breadth, Skill, and Time | The Journal of Portfolio Management
Karen Ma rated it it was amazing Jul 13, Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in Breadth, Skill, and Time.
Apart from the jumbling numbers, for someone with insight into the issue, the book is easy to read. Jan 12, Clare rated it it was amazing Shelves: