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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Apr 15, Yifang Liu rated it really liked it Shelves: Do be prepared for a lot of linear algebra and calculus and probability theory, though. Grinolc recommended for fun read, but a complete must-have for active portfolio managers’ knowledg This is the textbook for the active grinld management course at Haas School of Business taught by Dr. Jul 19, Isuru Daulagala rated it really liked it. Kevin gtinold it did not like it Jul 02, Scopus 1 Google Scholar.
Breadth, Skill, and Time. Fact, Fiction, and the Size Effect. However it does provide everything you need to know to construct, backtest, and evaluate your portfolio. John g rated it it was amazing Feb 08, Dec 01, Shauntelle James rated it it was amazing.
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. There are no discussion topics on this book yet. Jason P rated it it was amazing Apr 07, Grinkld Portfolio Management, Second Editionnow sets the bar even higher.
It is more like an encyclopedia, and not an easy reading for business people: GrinoldRonald N. 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.
Ana Mizo rated it it was amazing Apr 22, Trivia About Active Portfolio Thank you for your interest in spreading the word on The Journal of Portfolio Management.
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.
Trinold reference classic, and surprisingly well written. Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in Benefit from access to our content including: Just a moment while we sign you in to your Goodreads account. I would recommend this book to anyone who is curious about scientific and investment theories.
I learned mostly about the underside of the investment process, a issue that I think not communicated enough today. Open Preview See a Problem?
Breadth, Skill, and Time
Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities. Limiting yourself to being long only lowers IR. 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.
Breadth, Skill, and Time | The Journal of Portfolio Management
Refresh and try again. Tsung-Han Yang rated it it was ok Feb 17, Ronald Kahn, the author of the book. Giovanni rated it it was ok Apr 01, Return to Book Page.
Be the first to ask a question about Active Portfolio Management. No citing articles found. Thanks for telling us about the problem. 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.
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.
You are going to email the following Breadth, Skill, and Time. Grinold and Kahn denote the information turnover rate g. Grinold and Kahn use an equilibrium dynamic model to provide insight into the concept of breadth, as well as a refined kshn of skill. If a new opportunity is fully correlated to a previous one it adds no IR. There is a substantial expansion in both depth and breadth on the original.
Alex Burns rated it it was amazing Nov 02, I would keep it on my shelf for future reference. Goodreads helps you keep track of books you want to read.