Average Reviews:
(More customer reviews)The most important thing that I (an individual mutual fund investor) came away with was an understanding of the reasons why actively managed mutual funds cannot consistently beat their underlying benchmarks if they take a "stock picking" approach. Since this is the approach taken by most mutual fund managers, it is not surprising that more than 50% (often much more than 50%) do not beat their benchmarks. I also found it interesting how with sufficient breath and depth, engineered portfolios offer higher return and lower risk than the S&P 500.
It is easy to see how "alpha transport", when properly used, can also help maximize returns while minimizing risk. However, I imagine there have been, more often than not, improper use of alpha transport which did just the opposite (minimize return and maximize risk). Obviously not included in the text is the "proper usage" or algorithms for "disentangling equity return regularities". I imagine the authors keep such information close to their chest and constantly update them as old algorithms become part of the efficient market.
The work provides a guide to modern methods of equity management, and for those interested in the state-of-the-art, I highly recommend this book.
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Two pioneers and innovators in the money management field present their choice of groundbreaking, peer-reviewed articles on subjects including portfolio engineering and long-short investment strategy. More than just a collection of classic review pieces, however, Equity Management provides new material to introduce, interpret, and integrate the pieces, with an introduction that provides an authoritative overview of the chapters. Important and innovative, it is destined to become the "Graham and Dodd" of quantitative equity investing.
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