Praise for Quantitative Equity Portfolio Management “A must-have reference for any equity portfolio manager or MBA student, this book is a comprehensive guide to all aspects of equity portfolio management, from factor models to tax management.” ERIC ROSENFELD, Principal & Co-founder of JWM Partners “This is an ambitious book that both develops the broad range of artillery employed in quantitative equity investment management and provides the reader with a ho…
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This is a very practical entry-level quant equity portfolio management book (more practical and easier than Grinold & Kahn’s book). It’s a good place to start if you are interested in building quant models to manage equity portfolios. The book started from the beginning (e.g., how to pick factors), to how to build models to forecast returns, risk, and how to run optimization. This book didn’t get into enough details about econometrics, database management, optimization, and programming, which are all essential to build a robust quant model. The authors mentioned pooled time-series cross-sectional econometric models, but didn’t go beyond the surface. Overall, it’s a good introduction book, but could be better.
Should you buy this book if you already have Grinold and Kahn? Yes, if you are interested in factor models of equity returns: about 200 pages of CK are devoted to them, compared to a few in GK. If you are not, I would still recommend the purchase, but expect CK’s stay on your bookshelf to be brief – enough time to read through, and spot things not found in GK, such as discussion of leverage and tax management. Finally, if you do not have Grinold and Kahn, read this book as as a warm-up, but do graduate to the GK tome. Alas, this, too, is a book for MBAs: it does not reflect state-of-the-art, and shies away from math or statistics.
In my opinion, this book should be on the bookshelf of every quantitative equity portfolio manager right next to his Grinold & Kahn. In addition to the basics, it covers a lot of the more practical aspects of quantitative euqity portfolio management compared to the Grinold & Kahn, but is not lacking any academic rigour. It is very readable and accessible for anyone with a professional finance background or interest.