Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management

by Ludwig B. Chincarini, Daehwan Kim

Praise for Quantitative Equity Portfolio Management “A must-have reference for any equity portfolio manager or MBA student, this book is a comprehensive guide to all aspects of equity portfolio management, from factor models to tax management.” ERIC ROSENFELD, Principal & Co-founder of JWM Partners “This is an ambitious book that both develops the broad range of artillery employed in quantitative equity investment management and provides the reader with a host of relevant practical examples. The book excels in melding theory with practice.” STEPHEN A. ROSS, Franco Modigliani Professor of Financial Economics, Massachusetts Institute of Technology “The book is very comprehensive in its coverage, detailed in its discussions and written from a practical perspective without sacrificing needed rigor.” DAVID BLITZER, Managing Director and Chairman, Standard & Poor's Index Committee “Making the transition from the walls of academia to Wall Street has traditionally been a difficult task…This book provides this link in a successful and engaging fashion, giving students of finance a road map for the application of financial theories in a real-world setting.” MARK HOLOWESKO, CEO and Founder, Templeton Capital Advisors “This text provides an excellent synthesis of a broad range of quantitative portfolio management methods…In addition, there are a number of insightful innovations that extend and improve current techniques.” DAN DIBARTOLOMEO, President and Founder, Northfield Information Services, Inc. Capitalize on Today's Most Powerful Quantitative Methods to Construct and Manage a High-Performance Equity Portfolio Quantitative Equity Portfolio Management is a comprehensive guide to the entire process of constructing and managing a high-yield quantitative equity portfolio. This detailed handbook begins with the basic principles of quantitative active management and then clearly outlines how to build an equity portfolio using those powerful concepts. Financial experts Ludwig Chincarini and Daehwan Kim provide clear explanations of topics ranging from basic models, factors and factor choice, and stock screening and ranking…to fundamental factor models, economic factor models, and forecasting factor premiums and exposures. Readers will also find step-by-step coverage of portfolio weights… rebalancing and transaction costs…tax management…leverage…market neutral…Bayesian _…performance measurement and attribution…the back testing process…and portfolio performance. Filled with proven investment strategies and tools for developing new ones, Quantitative Equity Portfolio Management

Genres: Finance

658 pages, Hardcover

First published January 1, 2006

Reviews

[Andrew Chen · Rating 1 out of 5]

extremely basic treatise of factor investing. pretty much all of the suggestions/processes are either obvious (e.g. standardize using z-scores, use leverage to augment alpha by... drumroll... leveraging your high alpha names) or underdeveloped (model transaction costs as a flat percentage X, sell low-tax positions before high-tax ones). proposals for risk measurements are outdated. definitely not worth reading unless you have absolutely no background in factor investing and/or the priorities when managing a systematic portfolio.

[Max Bolingbroke · Rating 3 out of 5]

Middleweight overview of quant basics. A lot of what it discusses is just common sense or overviews of simple equity factors.

I feel like this book is in a bit of an awkward place. For real technical depth, I'd read Grinold & Kahn's "Active Portfolio Management" instead. For a high level overview of quant strategies in general I'd go to Ilmanen's "Expected Returns". My advice is to skip QEPM and read one or both of these instead.

[Shiv Patel · Rating 3 out of 5]

This book assumes a mid level of financial literacy and critical thinking. If you’re unwilling to apply yourself or lack the patience to understand fundamental financial principles, you may find it challenging to grasp its value. To simply put it, if you’re looking for a quick fix or aren’t willing to think critically about your financial future, this book may not be worth your time. Me personally, I understood every word. #realtalk #expand #bdkmv

[Alexandre Oliveira · Rating 5 out of 5]

A great overview of quant portfolio management & factor investing. As commented before, it will not go so deep as Grinold & Kahn's "Active Portfolio Management", but covers the quantitative investment process as a whole and offer a more broad view of the subject.

I'll keep it on my shelf!

[Clare · Rating 5 out of 5]

One of the few books that covers this field in detail - the distinctions they make between different kinds of factor models are hard to grasp, but overall a very useful and comprehensive text.