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* Covers extensive data sources to build investing information, insight and conviction edges
* Examines seasonal effects, explores economic & market indicators to make better trading decisions
* Addresses technical and fundamental signal construction and testing
* Explains dynamic factor timing strategies, portfolio construction and management
* Reviews standard approaches for trade-level and portfolio-level performance measurement
* Discusses implementation, trading cost analysis and turnover management
Editorial ReviewsFrom the AuthorActive equity management has been well studied over the past decade and a reasonable body of literature now exists on this topic. However, most of the literature tilts towards theory rather than practice. Surprisingly few practical guides exist for accessing the benefits of active management. Recognizing the need we have written this book to bridge the gap between theory and practice for investment professionals, researchers, active investors, and students. It is intended for readers who have knowledge of finance theory and markets but want to delve deeper to enhance their understanding of equity investing.
As equity markets have evolved, the pursuit of skill-based returns (alpha) has been no easy task. Our goal is to introduce readers to market inefficiencies and examine the theoretical and practical background of active investing. Drawn from academic research, financial literature and our own practitioner insights, we discuss a wide variety of seasonal effects, economic and market indicators, as well as technical and fundamental signals that may be used to create profitable risk-controlled trades.
We showcase methods to extract signals from disparate information sources and rigorously test the signals using scientific methods. By providing relevant practical illustrative examples, some historical and others hypothetical, we clarify important concepts for discerning readers. We also provide the building blocks to assist active investors improve their general understanding of the equities market, better recognize both technical and fundamental investing signals, derive an information edge and independently arrive at new insights to interpret and act on market indicators. Armed with the necessary building blocks for actively investing in equities, we go on to further draw attention to important issues surrounding forecasting, dynamic signal timing, portfolio construction and optimization, risk control, while successfully managing implementation and trading costs.
Besides covering long/short equity strategies in great detail, we survey statistical arbitrage, risk parity, commodities, and currency trading to extend the active equity management framework to other investment strategies.
While some approaches outlined in this book are quantitative in nature, this book goes beyond demonstrating the efficacy of the quantitative methods. Rather, we focus on the intuition behind the methods. Those with knowledge of statistics will enjoy delving deeper into the mathematical and modeling sections, while others may skim the technical detail without loss of comprehension.
We thank our current and former colleagues, those in academia whose work we have built upon, and are grateful to the many friends who have spent invaluable hours reviewing this book.
We hope you enjoy reading this book!
Xinfeng Zhou and Sameer Jain
From the Inside FlapActive equity management explores different market inefficiencies with the goal of achieving better adjusted returns for investors. In order to achieve this goal, successful active investors need to build and maintain their information edge, insight edge, implementation edge, and conviction edge.
Following the Fundamental Law of Active Management, the theme of the book is to help investors improve the information coefficient, breadth, the transfer coefficient, and reduce trading costs to achieve better risk-adjusted returns.
Chapter 2 covers a variety of common data sources typically used in investment process.
Chapters 3-7 examine a wide variety of seasonal effects, economic and market indicators, technical signals, fundamental signals, and other signals useful to build investment skills.
Chapters 8-11 discuss signal construction, signal combination, portfolio optimization, management of portfolio risks and constraints, and dynamic factor timing to effectively improve information coefficients, increase breadth, and manage transfer coefficients.
Chapters 12-13 survey statistical arbitrage and other investment strategies that help investors further broaden their stock selection skills and apply them to other asset classes.
Chapter 14 discusses trading cost analysis, management of portfolio turnover, and trading strategies that help investors reduce trading costs.
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