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Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk Hardcover – October 26, 1999

3.4 out of 5 stars 17 customer reviews

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  • Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk
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Editorial Reviews

From the Back Cover

An Innovative Approach to Portfolio Management. Blending the Most Profitable Aspects of Analytical and Quantitative.

Professional acclaim for Active Portfolio Management, 2nd edition. "Active Portfolio Management is a unique reference for understanding the source of value-added by a money manager. I am an enthusiastic supporter of the methodology used in the book, and I highly recommend it to both the professional and academic communities."

-Professor William N. Goetzmann, Director, International Center for Finance, Yale University School of Management.

"This edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals."

-William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management.

"Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn."

-Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline, Co-Manager, Fidelity Freedom ® Funds.

"This second edition will not remain on the shelf, but will be continually referenced by

both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management."

-Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management.

"Active Portfolio Management, Second Edition, remains a readable yet theoretically and mathematically rigorous book that one would expect from two such distinguished authors. I heartily recommend this book to any practitioner who wants to refine his or her knowledge of state-of-the-art quantitative money management or who would like a straightforward reference to quickly answer those thorny theoretical questions that hit us now and again."

-Michael Even, Managing Director and Chief of Global Quantitative Analysis, Citibank Global Asset Management.

"A more comprehensive examination of quantitative techniques for portfolio management would be hard to find. Active Portfolio Management is an outstanding treatise on the methods and techniques of measuring performance and risk control that is both rigorous and understandable."

-Jon A. Christopherson, Research Fellow, Frank Russell Company.

About the Author

Richard C. Grinold, Ph.D., is Managing Director, Advanced Strategies and Research at Barclays Global Investors. Dr. Grinold spent 14 years at BARRA, where he served as Director of Research, Executive Vice President, and President; and 20 years on the faculty at the School of Business Administration at the University of California, Berkeley, where he served as the chairman of the finance faculty, chairman of the management science faculty, and director of the Berkeley Program in Finance.

Ronald N. Kahn, Ph.D., is Managing Director in the Advanced Active Strategies Group at Barclays Global Investors. Dr. Kahn spent 11 years at BARRA, including over seven years as Director of Research. He is on the editorial advisory board of the Journal of Portfolio Management and the Journal of Investment Consulting.

Both authors have published extensively, and are widely known in the industry for their pioneering work on risk models, portfolio optimization, and trading analysis; equity, fixed income, and international investing; and quantitative approaches to active management.

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Product Details

  • Hardcover: 624 pages
  • Publisher: McGraw-Hill Education; 2 edition (October 26, 1999)
  • Language: English
  • ISBN-10: 0070248826
  • ISBN-13: 978-0070248823
  • Product Dimensions: 6.6 x 1.9 x 9.2 inches
  • Shipping Weight: 2 pounds (View shipping rates and policies)
  • Average Customer Review: 3.4 out of 5 stars  See all reviews (17 customer reviews)
  • Amazon Best Sellers Rank: #98,380 in Books (See Top 100 in Books)

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Customer Reviews

Top Customer Reviews

Format: Hardcover Verified Purchase
There's three basic categories of quants. Structurers, risk managers and traders. Structurers don't need this book. They should go buy Hull and be happy. Every risk manager and trader in the business needs this book. When I was first introduced to this book, I figured it was more or less only for their money management businessa manual for building Barclays Index Plus funds. That is what Grinold and Kahn do for a living, and they probably wrote the book to have something to give to dumb pupils who don't know anything. The book certainly covers some of the details and models used in money management tasks. However, this book is a lot more than that. They didn't write a book about specific investment instances that come up. They write a book which generalizes well to all fields involving information under uncertainty. They don't talk much about futures or options; this really is about equities, but if you're trading in those other markets, you still need this book.

Yes, you actually do need some calculus and linear algebra to read the book. It's written for people who understand math; it's a book on *quantitative* finance -not "seat of pants" trading. Even if you skip the mathematics (and most of the heavy stuff is kept neatly tucked away in appendices, so as not to frighten the MBAs and small children), you're likely to get something out of it: at least you'll have a vague idea of what the propeller heads in the white laboratory jackets are up to. What I find most remarkable about the book is how it rewards upon rereadings. Got a trading problem? There is probably a section in this book which relates to it. When I'm banging my head on a problem, and getting no joy from the google machine, Grinold and Kahn's book often has something which at least points me to the answer.
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By GM on January 27, 2009
Format: Hardcover Verified Purchase
This book was recommended to me as the bible of active management. I attempted reading it several times, but gave up every time. Coming from a science and engineering background, I find the exposition verbose, yet lacking a ground-up derive-from-fundamentals approach. Even in the description of CAPM, I cannot tell the assumptions from the conclusions of the theory. The book is not an easy read, but I don't think that's because the subject is inherently hard.

Update: I've found "Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management" by Chincarini and Kim to be a good alternative.

Update 2: Please see Timothy Falcon Crack's response to my review. Having read his books, I really respect his opinion. He calls this book "masterpiece", and he says he ended up writing another book (Foundations for Scientific Investing) to make understanding the subject easier. You may want to check it out first.
5 Comments 45 of 51 people found this helpful. Was this review helpful to you? Yes No Sending feedback...
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Format: Hardcover
The book carefully develops the concepts of Portfolio Theory. Topics include: risk aversion, the Capital Market Line, the Markowitz Portfolio Selection Model, the Capital Asset Pricing Model, beta, market equilibrium, etc. Subsequent chapters cover fixed income securities, security analysis, derivatives and active portfolio management.
The book is extremely detailed and very well written. It covers more than the basics. It includes a variety of advanced theories and describes recent academic research.
A excellent choice !
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Format: Hardcover
If you work for one of the top alpha quant shops (Barclays, Goldman, etc.), this text is a the proverbial must read. These are the guys that essentially invented quantitative finance in its modern form, building upon the [only somewhat applicable] concepts of Sharpe and Rosenberg and demonstrating how they can be harnassed to drive alpha. Anybody who has given this text a poor review obviously doesn't work in quantitative finance (chances are they're merely stock-pickers). If you want to understand how to drive alpha and beat the market, this text goes a lot further than explaining the simple concepts of information ratio and tracking error; instead, this book touches on the beauty of multi-factor models and covariance risk management.
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Format: Hardcover
Academic financial text books have, to a large extent, focused on beta and the so called efficient market. Active Portfolio Management was groundbreaking when it was first published in 1994 as instead it was devoted to the practical process of generating alpha from a quantative angle. 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 Barclays Global Investors where they both held leading positions while writing this book.

Even though the book is full of financial theory the approach is practical. The topic at hand is the generation of risk adjusted relative returns. 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. When I first read this book 10 - 12 years ago I didn't by any means find it enjoyable. It's thick, theoretical, filled with formulas and I was frankly not ready for it. Yet, over the years I find myself returning to the key concepts of the book over and over again. Out of the four parts the first lays out the authors' theories and then the latter three cover the practical work of a quant PM.

The claim to fame of the book is a concept called The Fundamental Law of Active Management that reads IR=IC*√BR. It states that there are two sources of oportunities to increase the information ratio. The first is the ability to forecast asset's residual return, measured by the information coefficient. The IC is the connection between forecasts and eventual returns, IC=2*(N1/N)-1 where N1 denotes the number of correct bets and N the total number of bets made. It's a measure of skill. Active asset management is all about forecasting.
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