Advances in Active Portfolio Management: New Developments in Quantitative Invest

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From the leading authorities in their field—the newest, most effective tools for avoiding common pitfalls while maximizing profits through active portfolio managementWhether you're a portfolio manager, financial adviser, or investing novice, this important follow-up to the classic guide to active portfolio management delivers everything you need to beat the market at every turn.  Advances in Active Portfolio Management gets you fully up to date on the issues, trends, and challenges in the world of active management—and shows how to apply advances in the Grinold and Kahn's legendary approach to meet current challenges. Composed of articles published in today's leading management publications—including several that won Journal of Portfolio Management's prestigious Bernstein Fabozzi/Jacobs Levy Award—this comprehensive guide is filled with new insights into:• Dynamic Portfolio Management• Signal Weighting• Implementation Efficiency • Holdings-based attribution• Expected returns• Risk management• Portfolio construction• Fees     Providing everything you need to master active portfolio management in today's investing landscape, the book is organized into three sections: the fundamentals of successful active management, advancing the authors' framework, and applying the framework in today's investing landscape. The culmination of many decades of investing experience and research, Advances in Active Portfolio Management makes complex issues easy to understand and put into practice. It's the one-stop resource you need to succeed in the world of investing today.

FORMATHardcover LANGUAGEEnglish CONDITIONBrand New Back Cover

Grinold & Kahn have been true pioneers in both the development and appli- cation of science and quantitative techniques in investing, and their work has been foundational to the tremendous success of many of the investment strat- egies at Barclays Global Investors and, later, BlackRock. Advances in Active Portfolio Management is an outstanding resource of insights and advances that can greatly benefit any investor in today''s complex and increasingly "efficient" markets. --Blake Grossman, former CEO of Barclays Global Investors and Vice Chairman of BlackRock. Richard Grinold and Ronald Kahn''s Active Portfolio Management has become a bible for active quant managers since its publication in 1995. Now, Advances in Active Portfolio Management brings readers up to date on critical issues--the estimation of expected return and risk in a dynamic envi- ronment, the effective implementation of insights, and accurate assessment of portfolio performance. Along the way, it addresses contemporary devel- opments, including the role of active management in a world of smart beta and factor investing, the increased use of leverage and its effects on portfolio risk, and the importance of assessing crowding. Grinold and Kahn continue to advance the theory and practice of quantitative investing. --Bruce I. Jacobs, Co-chief Investment Officer and Co-director of Research, Jacobs Levy Equity Management Successful portfolio management requires a framework for understanding the elements that matter the most, how they interact, and how to best make the requisite trade-offs. In this book, the authors build on their prior ground- breaking work to advance our intuition about (1) the dynamic aspects of active portfolio management--where signals, opportunities, and risks evolve over time; (2) the use and misuse of diversification and leverage in portfolio construction--and especially the implications for the management of tail risks; (3) the importance of placing one''s own approach in the context of what other market participants are doing; and (4) understanding the nuances of how fees impact portfolio performance. This is an important book for anyone concerned with alpha generation, risk assessment, and portfo- lio management at a time when practitioner sophistication is considerably advanced, much of it because of the work of Grinold and Kahn. --Andr

Author Biography

McGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwideMcGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwide

Table of Contents

Acknowledgments Preface 1 Introduction: Advances in Active Portfolio Management SECTION 1Recap of Active Portfolio Management2 Introduction to the Recap ofActive Portfolio Management Section 3 Seven Insights into Active Management 4 A Retrospective Look at theFundamental Law of Active Management 5 Breadth, Skill, and Time SECTION 2Advances in Active Portfolio ManagementSECTION 2.1 Dynamic Portfolio Management6 Introduction to the Dynamic Portfolio Management Section 7 Implementation Efficiency 8 Dynamic Portfolio Analysis 9 Signal Weighting 10 Linear Trading Rules for Portfolio Management 11 Nonlinear Trading Rules for Portfolio Management SECTION 2.2 Portfolio Analysis and Attribution12 Introduction to the Portfolio Analysis and Attribution Section 13 Attribution 14 The Description of Portfolios SECTION 3Applications of Active Portfolio ManagementSECTION 3.1 Expected Return: The Equity Risk Premiumand Market Efficiency15 Introduction to "A Supply Model of the Equity Premium" 16 A Supply Model of the Equity Premium 17 Introduction to "Is Beta Dead Again?" 18 Is Beta Dead Again? 19 Introduction to "Are Benchmark Portfolios Efficient?" 20 Are Benchmark Portfolios Efficient? SECTION 3.2 Expected Return: Smart Beta21 Introduction to the Smart Beta Section 22 Who Should Buy Smart Beta? 23 Smart Beta: The Owner's Manual 24 Smart Beta Illustrated 25 The Asset Manager's Dilemma SECTION 3.3 Risk26 Introduction to the Risk Section 27 Heat, Light, and Downside Risk SECTION 3.4 Portfolio Construction28 Introduction to the Portfolio Construction Section 29 Optimal Gearing 30 The Dangers of Diversification 31 The Surprisingly Small Impact of Asset Growthon Expected Alpha 32 Mean-Variance and Scenario-Based Approachesto Portfolio Selection 33 Five Myths About Fees SECTION 4Extras34 Introduction to the Extras Section 35 Presentations upon Receiving the James R. Vertin Award 36 What Investors Can Learn from a Very Alternative Market 37 UCLA Master of Financial EngineeringCommencement Address SECTION 5Conclusion38 Advances in Active Portfolio Management Conclusions Index

Details ISBN1260453715 Author Ronald Kahn ISBN-10 1260453715 ISBN-13 9781260453713 Format Hardcover Pages 656 Year 2020 Publication Date 2020-01-13 Language English UK Release Date 2020-01-13 Imprint McGraw-Hill Education Place of Publication OH Country of Publication United States AU Release Date 2020-01-13 NZ Release Date 2020-01-13 US Release Date 2020-01-13 Publisher McGraw-Hill Education DEWEY 332.6 Audience Professional & Vocational We've got this

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