Customer Reviews

Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management (McGraw-Hill Library of Investment and Finance)

5 star:		(8)
4 star:		(4)
3 star:		(0)
2 star:		(1)
1 star:		(2)

 

 

This is a very practical entry-level quant equity portfolio management book (more practical and easier than Grinold & Kahn's book). It's a good place to start if you are interested in building quant models to manage equity portfolios. The book started from the beginning (e.g., how to pick factors), to how to build models to forecast returns, risk, and how to run optimization. This book didn't get into enough details about econometrics, database management, optimization, and programming, which are all essential to build a robust quant model. The authors mentioned pooled time-series cross-sectional econometric models, but didn't go beyond the surface. Overall, it's a good introduction book, but could be better.

Should you buy this book if you already have Grinold and Kahn? Yes, if you are interested in factor models of equity returns: about 200 pages of CK are devoted to them, compared to a few in GK. If you are not, I would still recommend the purchase, but expect CK's stay on your bookshelf to be brief - enough time to read through, and spot things not found in GK, such as discussion of leverage and tax management. Finally, if you do not have Grinold and Kahn, read this book as as a warm-up, but do graduate to the GK tome. Alas, this, too, is a book for MBAs: it does not reflect state-of-the-art, and shies away from math or statistics.

In my opinion, this book should be on the bookshelf of every quantitative equity portfolio manager right next to his Grinold & Kahn. In addition to the basics, it covers a lot of the more practical aspects of quantitative euqity portfolio management compared to the Grinold & Kahn, but is not lacking any academic rigour. It is very readable and accessible for anyone with a professional finance background or interest.

This book is a great introduction to portfolio management. One can learn how to create factor models and the level of math used is accessable for a typical economics/government graduate working in financial services. The inclusion of tax and leverage considerations as well as a section on backtesting make the book especially useful for real world applications.

I would recommend that the book include more on simulation in the backtesting section along with a detailed section/apenddix on fitting distributions. This is an area where I and everyone I know required another individual to train because there were no other easily accessable resources available.

I purchased this book to focus on two broad areas: portfolio construction and backtesting. I was not disappointed--both sections were excellently presented. Written in clear, precise prose (no theory obfuscation) and then illustrated with rigorous formulas and copious examples. I found the treatment of factors especially well done from identifying their suitablity to their use in screening and modeling. The book is well organized; individual chapters can be read on a stand alone basis or a group of chapters taken together for a more comprehensive view. It's a volume that's exceptionally well suited for individuals with a solid grasp of fundamental analysis and a strong command of basic statistics.

This is a strong learning guide as well as a useful reference. The book takes the subject of portfolio management the next logical step after a fourth year finance course. The classic topics of undergrad finance are taken to a new level. For example, the book assumes the reader previously understands Mean variance optimization, the topics are Mean variance optimization with constraints and/or transaction costs. Also an excellent introduction to Factor models in context of forecasting security pricing. Highly recommend.

This book is poorly written and difficult to follow. A much better, and more up-to-date, book is "Quantitative Equity Portfolio Management: Modern Techniques and Applications" published in 2007. That new book goes well on its own or with the Grinold/Kahn classic.

I just read 100+ pages in one sitting. Yes, I like it very much and it reads well - especially if you have some textbook / knowledge from academia and just started working in the industry. It will help you catch up!

If you are interested in quantitative research analyst or quantitative portfolio management, this book will be great to start to learn. Although the volume of the book is heavy, it includes power point slides in a CD, which is very helpful to digest important topics in the book. But the slide file needs to be upgraded. Some of the chapters in the book were missed in the file. And more detailed explanations about equations would be disirable.

A comprehensive introduction to quantitative equity portofolio management (QEPM). Readers with limited math backgrounds may find the book challenging, but even they will benefit from the initial chapters where the basics of QEPM are laid out. Highly recommended.