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

Richard C. Grinold, Ronald N. Kahn · 2000 · McGraw-Hill

IntermediateLFTBook

The fundamental law of active management (IR ≈ IC × √breadth) and the alpha-forecasting framework most quant equity shops use.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: LFT
Data needed: None to read it; no dataset required Set what data you have
Themes: Risk & portfolio Factors & momentum
Assets: Equities
Market: Global

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@book{grinold2000active, author = {Grinold, Richard C. and Kahn, Ronald N.}, title = {{Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk}}, publisher = {McGraw-Hill}, year = {2000}, url = {https://openlibrary.org/works/OL11989070W} }