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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Thomas Johnson rated it it was ok Nov 27, Mar 02, Robert Muller rated it really liked it. Thank you for your interest in spreading the word on The Journal of Portfolio Management.
Benefit from access to our content including: The level of math required is not a big deal, it is just that formul I read this book because it was recommended for Coursera course: Thanks for telling us about the problem. Grinold and Kahn use an equilibrium dynamic model to provide insight into the concept of breadth, as well as a refined notion of skill.
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.
If you’re interested in serious m If you’re an investing professional, you should already know about this book, whether you use it or not. Richard Grinold and Ronald Kahn, today retired and at BlackRock gronold, share a history in academia, at BARRA and above khn 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. It states that there are two sources of oportunities to increase the information ratio.
This is the textbook for the active portfolio management course at Haas Gronold of Business iahn by Dr. Books by Richard C. GrinoldRonald N. Grinol rated it really liked it Sep 14, Do be prepared for a lot of linear algebra and calculus and probability theory, though. Scopus 1 Google Scholar. Apr 15, Yifang Liu rated it really liked it Shelves: Trevor rated it it was amazing May 26, Hardcoverpages.
The topic at hand is the generation of risk adjusted relative returns. To see what your friends thought of this book, please sign up. Oct 21, Victor rated it did not like it Shelves: A reference classic, and surprisingly well written.
It is relatively easy to measure for any investment process. Want to Read saving…. Tapas Neogi rated it really liked it Mar 16, Like its predecessor, this volume details how to apply economics, econometrics, and operations research to rginold practical investment problems, and uncovering superior profit opportunities.
Breadth, Skill, and Time
Jul 19, Isuru Daulagala rated it really liked it. This book is not yet featured on Listopia. Not recommended for fun read, but a complete must-have for active portfolio managers’ knowledge base. I read this book because it was recommended for Coursera course: It’s a highly quantitative read that will make your undergraduate math courses valuable, literally.
Breadth, Skill, and Time | The Journal of Portfolio Management
You are going to email the following Breadth, Skill, and Time. Tweet Widget Facebook Like. Abstract The information ggrinold determines the potential of an investment process to add value, and according to the gdinold law of active management, adding value depends on a combination of skill and breadth. Matthew Tuxford rated it it was ok Oct 16, 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.
Grinold and Kahn denote the information turnover rate g. Apart from the jumbling numbers, for someone with insight into the issue, the book is easy to read.
Open Preview See a Problem? No trivia or quizzes yet. 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 the math. Academic financial text books have, to a large extent, focused on beta and the so called efficient market. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management.
The book tries to do a mathematical approach to portfolio management, but mathematical formulas come out of the blue, with no previous explanation or justification. In equilibrium, the arrival rate of new information exactly balances the decay rate of old information.
Even though the book is full of financial theory the approach is practical. I learned mostly about the underside of the investment process, a issue that I think not communicated enough today. Just a moment while we sign you in to your Goodreads account.