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

It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management. Yet, over the years I find myself returning to the key concepts of the book over and over again.

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. Grinold and Kahn denote the information turnover rate g. To ask other readers questions about Active Portfolio Managementplease sign up. You are going to email the following Breadth, Skill, and Time. 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.

No trivia or quizzes yet. 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. There is a substantial expansion in both depth and breadth on the original.

Grinold and Kahn use an equilibrium dynamic model to provide insight into the concept of breadth, as well as a refined notion of skill. Apart from the jumbling numbers, for someone with insight into the issue, the book is easy to read. Bernhard rated it it was amazing Jun 06, Kevin rated it did not like it Jul 02, Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn.


I would keep it on my shelf for future reference.

The second source of IR is breadth — the number of independent active oportunities per year the PM have to use his skill on. Want to Read Currently Reading Read. Oct 21, Victor rated it did not like it Shelves: I would recommend this book to anyone who is curious about scientific and investment theories. Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities.

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. No citing articles found. In equilibrium, the arrival rate of new information exactly balances the decay rate of old information.

We do not capture any email address. Table of Contents Index by author. However it does provide everything you need to know to construct, backtest, and evaluate your portfolio.

If you’re an investing professional, you should already know about this book, whether you use it or not. Apr 15, Yifang Liu rated it really liked it Shelves: Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in Matthew Tuxford rated it it was ok Oct 16, Forgot your user name or password?

If you’re interested in serious measures of investment skill and performance, ditto.


It is relatively easy to measure for any investment process. Huanzhou rated it it was ok Oct 30, The market returns are always the baseline and success is measured by the IR the ratio of residual return to residual variance rather than an academic Sharpe ratio.

I learned mostly about the underside of the investment process, a issue that I think not communicated enough today. Login below to view the full article.

Breadth, Skill, and Time

Jul 19, Isuru Daulagala rated it really liked it. Karen Ma rated it it was amazing Jul 13, Benefit from access to our content including: Be the first to ask a question about Active Portfolio Management. Grinold and Ronald N. Gtinold is the textbook for the active portfolio management course at Haas School of Business taught by Dr.

I read this book because it was recommended for Coursera course: This book communicates the background of investment extremely well. Bill rated it really liked it Sep 14, Mar 02, Robert Muller rated it really liked it. Even though the book is full of financial theory the approach is practical. Thanks for telling us about kan problem. Benefit from access to our content including:.

Joseph L D’Anna rated it liked it Jul 28, Not recommended for fun read, but a complete must-have for active portfolio managers’ knowledg This is the textbook for the active portfolio management course at Haas School of Business taught by Dr.

If a new opportunity is fully correlated to a previous one it adds no IR.