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This is a very short book, gives a quick introduction to some fundamental concepts about factors and risk, and points you to other publications if you wish to get deeper. I found it a very clear and concise introduction for fundamental investors who want an overview. Definitely worth the money for the clarity of the writing.
Advanced Portfolio Management is an unusually well-written, concise, and worthwhile addition to my collection of quantitative investing books. Strongly recommended.
I’ve been a quantitative PM and Researcher for nearly a decade and have read many books and journal articles on quantitative portfolio management. I’ve gotten increasingly interested in the merging of quant and fundamental/discretionary approaches over the past couple of years. When I saw this book was due to be released, I pre-ordered (something I almost never do). I was delighted when it appeared on my doorstep earlier this week.
Initially I was a bit taken aback at how thin the book was (just shy of 200 pages). Less than 200 pages to explain quantitative investing?!?!? As I began reading, I quickly realized brevity was a great strength. As Blaise Pascal quipped "I have made this longer than usual because I have not had time to make it shorter.” Most others on the subject are notoriously long and dense, but then how many copies of Grinold/Kahn have actually been read cover to cover?
The book does a particularly good job of presenting the quantitative concepts very clearly *and then* providing practical heuristics for applying those concepts to a fundamental PM’s book (e.g., position sizing heuristic).
The author presents the range of approaches to a given topics (e.g., risk targeting) and then offers his clear recommendation about the “best” (most practical). I also like that it re-emphasizes and summarizes the key takeaway messages in a way that makes it easy to digest, making equations and deeper discussion available to those interested. Finally, he writes with enough wit to make it enjoyable.
Bottom line, a great primer for fundamental PMs or “quant-curious” folks and probably worthwhile for pure quants who will probably pick up some new ways to think about familiar subjects.
This is a nicely written book. It is probably the best book I have read on factor models and their use in practice for risk management or alpha research. However, the biggest issue with this book is that significant fraction of the mathematical formulas is wrong, e.g., check c~ or eps above eqn 11.3. Or, does eqn. 11.9 make any sense as t goes to infinity?
This is a very interesting book that explains how to construct portfolios more rationally and evaluate a portfolio manager’s performance using the metric of Information Ratio. The book has a good mix of textual descriptions and math formulas. Thanks for the author’s generous sharing.
Author shares key concepts from many years of experience practicing portfolio risk management in a concise and entertaining fashion. Until now, these were closely guarded secrets by some of the world’s greatest practitioners