Active Portfolio Management
A Quantitative Approach for Providing Superior Returns and Controlling Risk
Richard C. Grinold
Ronald N. Kahn
SECOND EDITION
 
 共621页，6.08MB.

CONTENTS
xi
Preface
xv
Acknowledgments
Chapter 1  1
Introduction
 
Part One
Foundations
Chapter 2  11
Consensus Expected Returns: The Capital Asset Pricing Model
Chapter 3 41
Risk
Chapter 4  87
ptional Return, Benchmarks, and Value Added
Exce
Chapter 5  109
Residual Risk and Return: The Information Ratio
147
Chapter 6
gement
The Fundamental Law of Active Mana
 
Part Two
Expected Returns and Valuation
Chapter 7  173
Expected Returns and the Arbitrage Pricing Theory
 Chapter 8
Valuation in Theory
Chapter 9
Valuation in Practice
Part Three
Information Processing
Chapter 10
g Basics
Forecastin
Chapter 11
g
Advanced Forecastin
Chapter 12
ysis
Information Anal
Chapter 13
The Information Horizon
Part Four
plementation
Im
Chapter 14
Portfolio Construction
Chapter 15
Long/Short Investing
Chapter 16
g
Transactions Costs, Turnover, and Tradin
Chapter 17
Performance Anal
ysis
 PREFACE
Why a second edition? Why take time from busy lives? Why devote the energy to improving an
existing text rather than writing an entirely new one? Why toy with success?
Active Portfolio
The short answer is: our readers. We have been extremely gratified by
Management
's reception in the investment community. The book seems to be on the shelf of every
practicing or aspiring quantitatively oriented investment manager, and the shelves of many
fundamental portfolio managers as well.
But while our readers have clearly valued the book, they have also challenged us to improve it.
Cover more topics of relevance to today. Add empirical evidence where appropriate. Clarify some
discussions.
Active Portfolio Management
The long answer is that we have tried to improve   along exactly these
dimensions.
First, we have added significant amounts of new material in the second edition. New chapters cover
Advanced Forecasting The Information Horizon Long/Short Investing
 (Chap. 11),   (Chap. 13),  
Asset Allocation The Historical Record for Active Management
(Chap. 15),   (Chap. 18),   (Chap. 20),
Open Questions
and   (Chap. 21).
Some previously existing chapters also cover new material. This includes a more detailed discussion
of risk (Chap. 3), dispersion (Chap. 14), market impact (Chap. 16), and academic proposals for
performance analysis (Chap. 17).
Second, we receive exhortations to add more empirical evidence, where appropriate. At the most
The Historical
general level: how do we know this entire methodology works? Chapter 20, on
Record for Active Management
, provides some answers. We have also added empirical evidence
about the accuracy of risk models, in Chap. 3.
At the more detailed level, readers have wanted more information on typical numbers for
information ratios and active risk. Chapter 5 now includes empirical distributions of these statistics.
Chapter 15 provides similar empirical results for long/short portfolios. Chapter 3 includes empirical
distributions of asset level risk statistics.Third, we have tried to clarify certain discussions. We received feedback on how clearly we had
conveyed certain ideas through at least two channels. First, we presented a talk summarizing the
1
 "Seven Quantitative Insights into Active
book at several investment management conferences.
Management" presented the key ideas as:
1. Active Mana
gement is Forecasting: consensus views lead to the benchmark.
IR
2. The Information Ratio ( ) is the Key to Value-Added.
3. The Fundamental Law of Active Management:
Alpha Volatility !¤IC !¤ Scor
4. Alphas must control for volatility, skill, and expectations:  =  .
5. Why Datamining is Easy, and guidelines to avoid it.
6. Im
plementation should subtract as little value as possible.
7. Distinguishing skill from luck is difficult.
This talk provided many opportunities to gauge understanding and confusion over these basic id
We also presented a training course version of the book, called "How to Research Active
Strategies." Over 500 investment professionals from New York to London to Hong Kong and
Tokyo have participated. This course, which involved not only lectures, but problem sets and
extensive discussions, helped to identify some remaining confusions with the material. For exam
how does the forecasting methodology in the book, which involves information about returns ov
time, apply to the standard case of information about many assets at one time? We have devoted
Advanced Forecasting
Chap. 11,  , to that important discussion.
Finally, we have fixed some typographical errors, and added more problems and exercises to eac
chapter. We even added a new type of problem!applications exercises. These use commercially
available analytics to demonstrate many of the ideas in thebook. These should help make some of the more technical results accessible to less mathematical
readers.
Beyond these many reader-inspired improvements, we may also bring a different perspective to the
Active Portfolio Management
second edition of  . Both authors now earn their livelihoods as active
managers.
Active Portfolio Management
To readers of the first edition of  , we hope this second edition answers
your challenges. To new readers, we hope you continue to find the book important, useful,
challenging, and comprehensive.
RICHARD C. GRINOLD
RONALD N. KAHN