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 | The Journal of Portfolio Management
There are no discussion topics on this book yet. You are going to email the following Breadth, Skill, and Time. Like its predecessor, this volume details how grnold apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities.
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trinold In equilibrium, the arrival rate of new information exactly balances the decay rate of old information. If you’re an investing professional, you should already know about this book, whether you use it or not. 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. Ana Mizo rated it it was amazing Apr 22, Jan 12, Clare rated it it was amazing Shelves: I read this book because it was recommended for Coursera course: Nsagarajan rated it really liked it Dec 28, 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.
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It is relatively easy to measure for any investment process. Tapas Neogi rated it really liked it Mar 16, 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. Hardcoverpages. Nicholas rated it it was amazing Jan 02, To increase the IR from 0,5 to 1,0 one would need to double skill, increase breadth by a factor of four mahn some combination of the two.
Matthew Tuxford rated it it was ok Oct 16, If you’re interested in how indexes benchmarks are constructed for specific purposes, this is the book. Academic financial text books have, to a large extent, focused on beta and the so called efficient market. The concept of breadth emphasizes the negative secondary effects that come with placing limits on an investment process with an edge.
Return to Book Page. Mar 02, Robert Muller rated it really liked it. Jul 19, Isuru Daulagala rated it really liked it.
Trivia About Active Portfolio Skip to main content. Trevor rated it it was amazing May 26, Yet, over the years I find myself returning to the key concepts of the book over and over again. Breadth, Skill, and Time.
IC is about the quality of investment opportunities while BR is about the quantity of investment opportunities through coverage of more securities or a higher frequency of opportunities. Grinold and Kahn denote the information turnover rate g.
Breadth, Skill, and Time
Be the first to ask a question about Active Portfolio Management. Daniel Walker rated it really liked it Oct 05, Kevin rated it did not like it Jul 02, 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.
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