Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk (Hardcover, 2)

Introduction.

Part I: Foundations.

Consensus Expected Returns: The Capital Asset Pricing Model.

Risk.

Exceptional Return, Benchmarks, and Value Added.

Residual Risk and Return: The Information Ratio.

The Fundamental Law of Active Management.

Part II: Expected Returns and Valuation.

Expected Returns and the Arbitrage Pricing Theory.

Valuation in Theory.

Valuation in Practice.

Part III: Information Processing.

Forecasting Basics.

Advanced Forecasting.

Information Analysis.

The Information Horizon.

Part IV: Implementation.

Portfolio Construction.

Long/Short Investing.

Transaction Costs, Turnover, and Trading.

Performance Analysis.

Asset Allocation.

Benchmark Timing.

The Historical Record for Active Management.

Open Questions.

Summary.

Appendice A: Standard Notation.

B: Glossary.

C: Return and Statistics Basics.