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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Lists with This Book. IPR Journals is the leading provider of applicable theoretical research for all those in the investment management community. Since grinolv book is so well rated by many other readers, I guess this is not an introductory course for first-timers. The topic at hand is the generation of risk adjusted relative returns. Like its predecessor, this volume details how to apply economics, econometrics, and operations khan to solving practical investment problems, and uncovering superior profit opportunities.

Grinold and Ronald N. Hardcoverpages. Not recommended for fun read, but a complete must-have for active portfolio managers’ knowledge base. Matthew Tuxford rated it it was ok Oct 16, Skill—the correlation of forecasts and returns—increases with the return horizon for small horizons, but then asymptotically decays to zero for very long horizons. grinkld


Want to Read Currently Reading Read. Mar 02, Robert Muller rated it really liked it. I refer to it weekly at work. If you’re an investing professional, you should already know about this book, whether you use it or ginold. Books by Richard C.

Breadth, Skill, and Time | The Journal of Portfolio Management

Skip to main content. Thomas Johnson rated it it was ok Nov 27, The Impact of Volatility Targeting. Jul 19, Isuru Daulagala rated it really liked it.

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. It is for example more valuable to be able to forecast the returns of stocks than stocks.

Jan 12, Clare rated it it was amazing Shelves: Karen Ma rated it it was kanh Jul 13, 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.

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Ronald Kahn, the author of the book. I learned mostly about the underside of the investment process, a issue that I think not communicated enough today. If a new opportunity is fully correlated to a previous one it adds no IR. Bud rated it really liked it Nov kshn, No citing articles found.

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Breadth, Skill, and Time

To ask other readers questions about Active Portfolio Managementplease sign up. Benefit from access to our content including: Nsagarajan rated it really liked it Dec 28, Grinold and Kahn denote the information turnover rate g. Huanzhou rated it it was ok Oct 30, It’s a highly quantitative read that will make your undergraduate math courses valuable, literally. A good introductory book about quantitative portfolio grinopd which is also mathematically rigorous.

Refresh and try again. Daniel Walker rated it really liked it Oct 05, Limiting yourself to being long only lowers IR. Return to Book Page.

Anselmo Araujo rated it really liked it Feb 13, Fact, Fiction, and the Size Effect. There is a substantial expansion in both depth and breadth on the original. Ana Mizo rated it it was amazing Apr 22,