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

Richard C. Grinold

Ronald N. Kahn

SECOND EDITION

CONTENTS
Preface xi
Acknowledgments xv
Chapter 1
Introduction
1
Part One
Foundations
Chapter 2
Consensus Expected Returns: The Capital Asset Pricing Model
11
Chapter 3
Risk
41
Chapter 4
Exceptional Return, Benchmarks, and Value Added
87
Chapter 5
Residual Risk and Return: The Information Ratio
109
Chapter 6
The Fundamental Law of Active Management
147
Part Two
Expected Returns and Valuation
Chapter 7
Expected Returns and the Arbitrage Pricing Theory
173
Page viii
Chapter 8
Valuation in Theory
199
Chapter 9
Valuation in Practice
225
Part Three
Information Processing
Chapter 10
Forecasting Basics
261
Chapter 11
Advanced Forecasting
295
Chapter 12
Information Analysis
315
Chapter 13
The Information Horizon
347
Part Four
Implementation
Chapter 14
Portfolio Construction
377
Chapter 15
Long/Short Investing
419
Chapter 16
Transactions Costs, Turnover, and Trading
445
Chapter 17
Performance Analysis
477
Page ix
Chapter 18
Asset Allocation
517
Chapter 19
Benchmark Timing
541
Chapter 20
The Historical Record for Active Management
559
Chapter 21
Open Questions
573
Chapter 22
Summary
577
Appendix A
Standard Notation
581
Appendix B
Glossary
583
Appendix C
Return and Statistics Basics
587
Index 591