Advanced Portfolio Management: A Quant’s Guide for Fundamental Investors
- Length: 208 pages
- Edition: 1
- Language: English
- Publisher: Wiley
- Publication Date: 2021-08-10
- ISBN-10: 1119789796
- ISBN-13: 9781119789796
- Sales Rank: #75138 (See Top 100 Books)
You have great investment ideas. If you turn them into highly profitable portfolios, this book is for you.
Advanced Portfolio Management: A Quant’s Guide for Fundamental Investors is for fundamental equity analysts and portfolio managers, present, and future. Whatever stage you are at in your career, you have valuable investment ideas but always need knowledge to turn them into money. This book will introduce you to a framework for portfolio construction and risk management that is grounded in sound theory and tested by successful fundamental portfolio managers. The emphasis is on theory relevant to fundamental portfolio managers that works in practice, enabling you to convert ideas into a strategy portfolio that is both profitable and resilient. Intuition always comes first, and this book helps to lay out simple but effective “rules of thumb” that require little effort to implement and understand. At the same time, the book shows how to implement sophisticated techniques in order to meet the challenges a successful investor faces as his or her strategy grows in size and complexity. Advanced Portfolio Management also contains more advanced material and a quantitative appendix, which benefit quantitative researchers who are members of fundamental teams.
You will learn how to:
- Separate stock-specific return drivers from the investment environment’s return drivers
- Understand current investment themes
- Size your cash positions based on
- Your investment ideas
- Understand your performance
- Measure and decompose risk
- Hedge the risk you don’t want
- Use diversification to your advantage
- Manage losses and control tail risk
- Set your leverage
Author Giuseppe A. Paleologo has consulted, collaborated, taught, and drank strong wine with some of the best stock-pickers in the world; he has traded tens of billions of dollars hedging and optimizing their books and has helped them navigate through big drawdowns and even bigger recoveries. Whether or not you have access to risk models or advanced mathematical background, you will benefit from the techniques and the insights contained in the book—and won’t find them covered anywhere else.
Cover Table of Contents Title Page Copyright Dedication Chapter 1: For Whom? Why? And How? 1.1 What You Will Find Here 1.2 Asterisks; Or, How to Read This Book 1.3 Acknowledgments Chapter 2: The Problem: From Ideas to Profit 2.1 How to Invest in Your Edge, and Hedge the Rest 2.2 How to Size Your Positions 2.3 How to Learn from Your History 2.4 How to Trade Efficiently 2.5 How to Limit Factor Risk 2.6 How to Control Maximum Losses 2.7 How to Determine Your Leverage 2.8 How to Analyze New Sources of Data Notes Chapter 3: A Tour of Risk and Performance 3.1 Introduction 3.2 Alpha and Beta 3.3 Where Does Alpha Come From? 3.4 Estimate Risk in Advance 3.5 First Steps in Risk Decomposition 3.6 Simple Hedging 3.7 Separation of Concerns 3.8 Takeaway Messages Notes Chapter 4: An Introduction to Multi-Factor Models 4.1 From One Factor to Many 4.2 ★Frequently Asked Questions About Risk 4.3 ★The Machinery of Risk Models 4.4 Takeaway Messages Notes Chapter 5: Understand Factors 5.1 The Economic Environment 5.2 The Trading Environment 5.3 The Company: Valuation Factors 5.4 Takeaway Messages Notes Chapter 6: Use Effective Heuristics for Alpha Sizing 6.1 Sharpe Ratio 6.2 Estimating Expected Returns 6.3 Risk-Based Sizing 6.4 ★Empirical Analysis of the Sizing Rules 6.5 From Ideas to Positions 6.6 Time-Series Risk-Based Portfolio Targeting 6.7 ★Frequently Asked Questions About Performance 6.8 Takeaway Messages Notes Chapter 7: Manage Factor Risk 7.1 Tactical Factor Risk Management 7.2 Strategic Factor Risk Management 7.3 Systematic Hedging and Portfolio Management 7.4 Takeaway Messages Notes Chapter 8: Understand Your Performance 8.1 Factor 8.2 Idiosyncratic 8.3 Trade Events Efficiently 8.4 ★Use Alternative Data! 8.5 ★Frequently Asked Questions About Performance 8.6 Takeaway Messages Notes Chapter 9: Manage Your Losses 9.1 How Stop-Loss Works 9.2 Why a Stop-Loss Policy? 9.3 The Costs and Benefits of Stop-Loss 9.4 Takeaway Messages Notes Chapter 10: ★Set Your Leverage Ratio for a Sustainable Business 10.1 A Framework for Leverage Decisions 10.2 Takeaway Messages Notes Chapter 11: ★★Appendix 11.1 Essential Risk Model Formulas 11.2 Diversification 11.3 Mean-Variance Formulations 11.4 Proportional-Rule Formulations 11.5 Generating Custom Factors 11.6 Optimization Formulations 11.7 Tactical Portfolio Optimization 11.8 Hedging Formulations 11.9 Optimal Event Trading Notes References Index End User License Agreement
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