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出版者:Xinfeng Zhou

作者:Xinfeng Zhou

出品人:

页数:340

译者:

出版时间:2014-7-18

价格:GBP 30.45

装帧:Hardcover

isbn号码:9780692297773

丛书系列:

图书标签:

Finance
金融
quant
portfolio
alpha
量化投资
交易
预购
投资
主动管理
股票
资产配置
投资策略
金融
量化投资
风险管理
投资组合
价值投资

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具体描述

Active Equity Management provides a comprehensive understanding of technical, fundamental, and economic signals used in equities trading. It explores in detail how such signals may be created, rigorously tested and successfully implemented. Filled with practitioner insights derived from years of experience in the hedge fund industry, and supported with academic theory, Active Equity Management provides an in-depth review of basic financial concepts, examines data sources useful for equities trading, and delves into popular seasonal effects and market indicators. It also highlights best practices in model development, portfolio construction, risk management, and execution. In combining topical thinking with the latest trends, research, and quantitative frameworks, Active Equity Management will help both the novice and the veteran practitioner understand the exciting world of equities trading.

* 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

作者简介

目录信息

Active 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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