“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 host of relevant practical examples. The book excels in melding theory with practice.” STEPHEN A. ROSS, Franco Modigliani Professor of Financial Economics, Massachusetts Institute of Technology
“The book is very comprehensive in its coverage, detailed in its discussions and written from a practical perspective without sacrificing needed rigor.” DAVID BLITZER, Managing Director and Chairman, Standard & Poor's Index Committee
“Making the transition from the walls of academia to Wall Street has traditionally been a difficult task…This book provides this link in a successful and engaging fashion, giving students of finance a road map for the application of financial theories in a real-world setting.” MARK HOLOWESKO, CEO and Founder, Templeton Capital Advisors
“This text provides an excellent synthesis of a broad range of quantitative portfolio management methods…In addition, there are a number of insightful innovations that extend and improve current techniques.” DAN DIBARTOLOMEO, President and Founder, Northfield Information Services, Inc.
Quantitative Equity Portfolio Management is a comprehensive guide to the entire process of constructing and managing a high-yield quantitative equity portfolio. This detailed handbook begins with the basic principles of quantitative active management and then clearly outlines how to build an equity portfolio using those powerful concepts.
Financial experts Ludwig Chincarini and Daehwan Kim provide clear explanations of topics ranging from basic models, factors and factor choice, and stock screening and ranking…to fundamental factor models, economic factor models, and forecasting factor premiums and exposures.
Readers will also find step-by-step coverage of portfolio weights… rebalancing and transaction costs…tax management…leverage…market neutral…Bayesian _…performance measurement and attribution…the back testing process…and portfolio performance.
Filled with proven investment strategies and tools for developing new ones, Quantitative Equity Portfolio Management features:
A wealth of down-to-earth financial examples and case studies
Each chapter of this all-in-one portfolio management resource contains an appendix with valuable figures, tables, equations, mathematical solutions, and formulas. In addition, the book as a whole has appendices covering a brief history of financial theory, fundamental models of stock returns, a basic review of mathematical and statistical concepts, an entertaining explanation and quantitative approach to the casino game of craps, and other on-target supplemental materials.
An essential reference for professional money managers and students taking advanced investment courses, Quantitative Equity Portfolio Management offers a full array of methods for effectively developing high-performance equity portfolios that deliver lucrative returns for clients.
About the Authors
Ludwig B. Chincarini, Ph.D., CFA, is a professor of finance at Georgetown University as well as a financial consultant to institutional investors. Previously, he was director of research at Rydex Global Advisors, the index mutual fund company. Prior to that, Dr. Chincarini was director of research at FOLIOfn, a brokerage firm that pioneered basket trading. He also worked at the Bank for International Settlements and holds a Ph.D. in economics from the Massachusetts Institute of Technology.
Daehwan Kim, Ph.D., is a professor of economics at the American University in Bulgaria. Previously, he was employed as a financial economist for FOLIOfn. Dr. Kim also worked as a financial journalist, writing regular columns on financial markets for business media in Asia. He also holds a Ph.D. in economics from Harvard University.
Customer Reviews:
The book on factor models.......2007-08-22
Should you buy this book if you already have Grinold and Kahn? Emphatically 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 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. (E.g., discussion of leverage and tax management).
If you have not read Grinold and Kahn, start with this one - it is more accessible, and Chincarini and Kim offer a steady flow of worked-out examples, plus a nice collection of end-of-chapter questions - but do graduate to the GK tome.
Alas, just as GK, CK is a book for MBAs: neither reflects state-of-the-art (state-of-the-art in late 1980s, perhaps?), and each one gets sloppy when more math is called for: GK sags in the part on information analysis, and CK in Chapter 14, 'Bayesian alpha'. Statistics? Just use OLS.
Finding good up-to-date reading on QEPM thus remains a challenge, but CK (as well as GK) is a worthwhile book to read in the beginning.
Excellent Book - Highly Recommend.......2007-01-25
This is a strong learning guide as well as a useful reference. The book takes the subject of portfolio management the next logical step after a fourth year finance course. The classic topics of undergrad finance are taken to a new level. For example, the book assumes the reader previously understands Mean variance optimization, the topics are Mean variance optimization with constraints and/or transaction costs. Also an excellent introduction to Factor models in context of forecasting security pricing. Highly recommend.
A practical entry-level quant equity portfolio management book.......2006-12-01
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.
A very readable primer on quantiative equity portfolio management.......2006-09-07
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.
Book Description
Guy Fraser-Sampson draws upon twenty years' private equity experience to provide a practical guide to mastering the intricacies of this highly specialist asset class. Aimed equally at investors, professionals and business school students, it starts with such fundamental questions as "what is private equity?" and progresses to detailed analysis of venture and buyout returns. It also unveils a totally new concept which looks set to revolutionise thinking in the industry: Total Return investing.
Often unfairly reviled, and frequently misunderstood, private equity differs from all other asset classes in various important respects, not least in the nature and timing of its returns, which require a whole new approach for those reared on more traditional investments such as bonds and shares. This book shows how a good grasp of the basic structure of private equity vehicles and returns (including the dreaded J-curve) can lead to full understanding of the techniques needed to measure and analyse performance.
Key points include:
- A glossary of private equity terms
- Venture funds and transactions
- Buyout funds and transactions
- Understanding private equity returns
- Analysis of historic returns
- How to plan a fund investment programme
- How to conduct effective due diligence
- Total Return investing
Customer Reviews:
Usefull and well-written.......2007-07-30
I was happy to review the author's first book on investment, having been familiar with his articles for many years, and was looking forward to this one too. I was not disappointed.
Fraser-Sampson is one of the world's leading experts on private equity, and it shows in the sheer quality of this book, page after page. Over twenty years' personal experience are coalesced into a mix of practical hints and technical analysis. Even though it is a subject I thought I knew well, it taught me many things that were completely new to me. I particularly liked the glossary of private equity terms, which explains many arcane phrases in everyday terms but also with welcome touches of humour.
I was surprised to learn that this is the only definitive textbook in the world on this exciting asset class, but a little research on Amazon backs this up. There are casebooks and books on specific aspects of private equity (usually venture capital and/or entrepreneurs raising capital) but nothing which looks at the whole spectrum of the subject from an investor's point of view.
I would imagine this book would be particularly useful to two classes of people. First, business school students and those taking up or seeking entry level positions in buyout or venture capital firms. Second, those looking to raise money for private equity funds, since this book gives a great "view from the other side of the hill" as to what LPs (investors in private equity funds) are looking for.
As with his first book, it is incredibly well written. He really does have a style all of his own. I would recommend it without doubt.
A well-written, comprehensive, and practical overview of the private equity field.......2007-07-18
Guy Fraser-Sampson does an outstanding job in introducing the world of private equity in this book. He starts off defining various concepts in this field, explaining the ways to analyze private equity returns and distinguishing between buyouts and venture capital. He follows with a comprehensive discussion of buyouts (including the various types of buyouts, analysis models, and historical buyout returns) and then an equally thorough investigation of venture capital (with a similar structure to that in the buyouts section). Mr. Fraser-Sampson wraps up with a discussion on due diligence and advice on planning your own investment program in private equity.
I greatly enjoyed the book. It is easy to read, and Mr. Fraser-Sampson presents the concepts in a clear and simple manner - suitable for readers completely new to private equity. I like that the author is unafraid to express his own opinions - whether on the state of transparency in the field, on future buyout returns in Europe, or on usefulness of anti-trust legislation. He furthermore makes sure to separate his thoughts from the pure factual data that he provides to support them.
Interestingly, the book does not simply focus on private equity in one area of the world - the United States. It also covers Europe and sometimes ventures (no pun intended) into other parts of the globe, which I think is a breath of fresh air from the typical finance books that concentrate on US markets only. I am pleased to see this, as I strongly feel that a world-wide outlook is very important in the business world today. And, as Mr. Fraser-Sampson concludes himself, we can learn good lessons by examining the state of the private equity field in various geographic locations: "However, history is cyclical and I now see exactly the same sorts of issues which plagued continental Europe in the past rearing their heads anew in developing private equity areas such as Asia and Latin America. For those in such places who are willing to listen, the European experience has some valuable lessons" (61).
I applaud the author for the amount of historical data present throughout the book - both scattered throughout the text and assembled into tables and diagrams. While most of the data comes from a single source (the VentureXpert system) and the author's own calculations based on that data, it is great to see the general trends in buyout and venture capital returns, fund sizes, etc. I also appreciate that, in a few places, Mr. Fraser-Sampson notes that some of the data may not be very reliable since it is new (which is especially important to the private equity field due to the J-curve phenomenon: fresh data often captures the state of the things on the downward portion of the curve). There is, however, one aspect of history that I would have liked to see represented more. It would have been nice to see several examples of interesting or famous buyouts and venture deals, together with their defining characteristics. While many examples are very briefly touched on, none are really explored in detail. For example, I was pretty surprised that, amidst an extensive description of buyout mechanics, there wasn't any mention of the RJR Nabisco LBO in the late 1980s, to which the author could apply, for instance, his discussion of various levels of debt when dealing with huge transactions.
Some neat small features in this work include concise chapter summaries and a glossary at the end of the book. Little things like that make it easier to reinforce concepts and look them up later. I found the chapter summaries especially helpful - each time I read a chapter summary, I was pleasantly surprised on how concisely and accurately it summed up the important ideas presented earlier. Also useful is the practical advice found in the last two chapters of the book - what a fund or company investor should look for when performing due diligence and how to actually plan your private equity investments program (with an emphasis on the Total Return outlook).
Finally, I'd like to mention something about the author himself. I was confused about one of the diagrams in the book (the one on p. 87, featuring the second scenario in analyzing a buyout return), and I e-mailed Mr. Fraser-Sampson with some questions. He replied almost immediately, clarifying the circumstances around the scenario and thanking me for bringing it to his attention, noting that he will make things more explicit in the next edition (strictly speaking, in the diagram on p. 87, the $20M value under "Yr2" is not a cashflow, since no recapitalization took place - debt was simply reduced without an outflow of equity; this hence technically lowers the shown IRR of 124% to 89%). Not only was Mr. Fraser-Sampson helpful, but he was also just very friendly and approachable. That really tops everything for me... I've e-mailed multiple authors before and have received no responses, yet Mr. Fraser-Sampson responded so quickly. I think it's fantastic when readers can ask an author to clarify concepts and receive insightful answers and comments. It brings the book to an entirely new, higher level.
The only problems I have with this book stem from the fact that I want to see more. Specifically, I would have liked to see the math behind the calculations in some of the numbers that the author presents. I also found myself looking up a lot of extra information outside the book about the IRR - how it is calculated and used. A more in-depth, separate section on IRR would have been great (the author does mention how the money multiple drives the IRR and not vice versa throughout various sections of the book, but a more consolidated discussion would have, in my opinion, been more helpful).
These are very minor cons, and some may argue that they aren't really cons at all, but rather an indication that the author did a splendid job in making me interested in the field of private equity. He wishes to keep his analyses and explanations simple and understandable without burdening the reader with hefty calculations or overly advanced topics. I can certainly respect that. But the absence of this information keeps the reader more at a "birds-eye view" level without allowing him/her to dig deeper into certain concepts. This is just something to keep in mind. In a strict classroom setting for a private equity course, this book would work well as a textbook when complemented by some sort of workbook with detailed analysis models and problems.
In conclusion, this book is an excellent introduction to the world of private equity. I knew very little about this field before reading this work, and I feel that it has given me an excellent well-rounded overview. The book is thorough, yet easy to read and understand. When the only cons I can think of are really just me wanting to learn more, there's not much else I can say about the book other than to highly recommend it to those new to the private equity field.
Pros:
+ clear and comprehensive presentation of the concepts
+ a more complete world-wide view on private equity, compared to most other books
+ lots of historical data on various aspects of buyouts and venture capital
+ great concise summaries at the end of each chapter and a glossary at the end of the book
+ practical advice in due diligence and planning your private equity investment program
+ the author himself is very responsive and helpful
Cons:
- could use more detailed analyses of real-world examples when discussing the structure and characteristics of buyout and venture capital deals
- no math shown for calculating many of the values presented
- lacks an in-depth discussion of advanced topics like the various uses of IRR and how to calculate it
Brilliantly written ! Makes very easy reading out of what are very complex issues........2007-06-29
I have had the advantage of reading the manuscript of this book in advance, and one of the comments on the cover is my own.
Unlike other books on the subject, this one does not dive straight off into complicated areas such as return analysis, nor does it deal with such nebulous matters as the GP/LP relationship (indeed, the writer states that he considers this last topic to be something of a red herring). Instead, the book sets out to be a comprehensive account of private equity from first principles onwards, and will guide you steadily through the intricacies of the asset class until you find yourself quite happily using very complex analysis models to look at buyout and venture returns. More importantly, it focuses on explaining the principles which underlie all of this, so you will actually understand what you are doing, and why. As the writer says repeatedly "don't just look at the figures - try to think what lies behind them."
Fraser-Sampson has twenty years experience of the private equity industry, and the depth and range of his knowledge shines through every page. I was a great fan (and a reviewer) of his first book "Multi Asset Class Investment Strategy", and ideally they should be read together. The first explains why you should be allocating 25% of your portfolio to private equity, and this one explains how you should actually go about it. Just as the first one came up with a whole new way of looking at investment in general, so this one makes some very innovative points, not all of which will make happy reading in some quarters. For example, he believes that private equity performance should be judged across an investor's whole allocation (what he calls Total Return investing) rather than, as presently, on just that small part of it which may be invested at any one time.
Both books are brilliantly written and make very easy reading out of what are very complex issues.
Product Description
With contributions from experts in private equity finance and the leading investors in this growing asset class, this book provides detailed insight into this expanding area of finance. It is essential reading for those who need to understand the risks and returns involved in private equity investment as well as experienced investors who want to profit from markets other than their own.
Customer Reviews:
Collection of Artiles.......2004-04-22
.
This book is more of a collection of articles written by practicing VCs/PE professionals.
Many of the articles discuss either geographical, structural or practical issues in either LBO or Venture capital.
A good collection.
Borrow it from the local library rather than buying it.
Book Description
Over the past twenty years, the private equity industry has undergone tremendous growth and sweeping changes. With the growth of private equity investing, it is imperative that financial professionals fully understand this complex subject. The cases and notes in this updated edition are designed to provide you with a better understanding of the history of the private equity industrys development and the workings of the industry today. Divided into four modules, the first examines how private equity funds are raised and structured; the second considers the interactions between private equity investors and the entrepreneurs that they finance; the third discusses the process through which private equity investors exit their investments; and the last considers the future of the private equity industry.
Customer Reviews:
Reads like a novel.......2007-07-05
I couldn't put this book down; I felt like I was reading a captivating novel. It does a great job of introducing the reader to the unique terminology of the VC/PE industry.
However, I wish there was more follow through or structured questions presented for the cases; without sitting in Prof. Lerner's class, I would like to see exactly what broad lessons he is attempting to present and drive home.
A case book, not a textbook.......2006-11-10
This book was a disappointment. A real textbook would actually have instruction. This book is merely a collection of cases, with a few scattered chapters on VC/PE. Only buy the book if required to for a class.
Good Private Equity Overview.......2005-08-09
This book provides a good overview of venture capital and buyout fund management. It addresses the investment process through four modules: fundraising, investing, exiting, and new frontiers. There are twenty nine chapters of which nine are instructional and the rest are case studies. Though there is information interspersed within the case studies, I think it would have been better to have had shorter case studies and longer instructional pieces to delve more deeply into subjects.
Good But Nothing more.......2003-02-12
The book is quite good,but suffers from the case approach pitfalls- too much details for specific cases, and less generally applicable information. Thsi might be useful in the context of an MBA case study class, but certainly not as a useful reading book on the industry. The actual notes are very short and lack suficient details to be useful.
Large investment in time for little payback in information.......2002-08-28
If you are interested in quickly learning about how to raise a VC fund, save your time and money. This book does not offer many clues.
Book Description
Your guardian angel has arrived
Capital is the single most important factor to getting your venture off the ground, but finding it can be a challenge, particularly if you're running out of funding options. Suppose your venture is too small for institutional players. What do you do once you've exhausted your personal financial resources? Where do you go after banks, the leasing companies, the venture capital firms, have turned you down? What you need is an "angel"--a private investor with high net worth. Angel Financing--the only book of its kind--provides you with a road map to this valuable, little known, source of capital financing.
Explains the structure of the direct private capital market
* Covers everything from the valuation process to writing an investor-oriented business plan
Gerald A. Benjamin (Sausalito, CA) is a Senior Managing Partner of International Capital Resources (ICR), an investment banking, corporate finance, and capital sourcing firm. He is also publisher of the California Investment Review. Joel Margulis (Mill Valley, CA) is a freelance writer who has published books and articles on a range of business and finance topics.
Customer Reviews:
Solid Information on Raising Capital.......2005-04-16
This book by Gerald Benjamin contains solid information on raising capital for new ventures and young companies. It's a keeper. As someone who has worked on many, many capital raising projects for new emerging growth businesses, I would personally advise you to get this book. The advice is priceless! -- Principal of a Venture Financing Firm
Great Book For Entrepreneurs And Investors.......2003-01-04
I think anyone interested in investing in private companies or anyone who wants to understand the process of angel investing should read "Angel Financing"
Many wealthy investors are turning to financing small businesses due to the huge potential return. Benjamin and Margulis tell us that the angel investor who put $100,000 into Ciena Corporation saw the value of his investment grow into $285 million in three years, when the company went public. Further, knowledgeable business people can enhance the value of their angel investments through their experience, knowledge, and contacts. Unless you're extremely wealthy, this ability to add value to your investments isn't available when you invest in large publicly-traded companies.
Angel investing isn't for everyone. Benjamin and Margulis say angel investors expect about one-third of their investments to fail completely. Further, many bad deals out there must be avoided. So, anyone considering angel investing should have business experience. And, there must be good chemistry between the investor and the entrepreneur.
To help new investors ask the right questions and avoid bad investments, Benjamin and Margulis provide a detailed due diligence questionnaire which will help investors understand what questions they should ask before making an angel investment.
"Angel Financing" is also a good book for entrepreneurs seeking angel financing. It helps entrepreneurs answer the questions: "Is my company financeable? Am I financeable?" And, "Angel Financing" helps entrepreneurs understand the private equity market.
We learn that the average angel investor is 48-59 years old, has a postgraduate degree, has management experience, and, typically, invests between $25,000 and $250,000 per deal. Many angel investors are self-made millionaires with a net worth between $1 million and $10 million dollars. Eighty percent of angels have previously started a company and have small business experience.
Benjamin and Margulis tell us that seeking private investments from people with a net worth below $1 million, or an annual income below $200,000, isn't usually desirable. These people do not possess the discretionary income to make angel investments and are usually not classified as accredited investors. This could create legal problems for the entrepreneur if the investment fails.
Benjamin and Margulis point out that many of the wealthiest families and individuals have their wealth managed by conservative trusts or professional advisors. So, seeking an angel investment from an ultra-rich person may not prove successful, because the trust administrator often kills the deal because of the high risk involved.
Because angel investors don't need to invest, Benjamin and Margulis tell entrepreneurs to be flexible in structuring the deal to meet the investor's needs. Many entrepreneurs do not listen adequately to what potential investors are telling them.
"Angel Financing" contains a good appendix about private placements, discussing such things as exemptions from full securities registration under Rule 504, 505, and 506, although much of this information is also available free from the SEC.
Benjamin and Margulis say that entrepreneurs should expect to budget about 10% to 15% of the amount to be raised as fundraising expenses. We learn that costs of a SCOR offering average about $30,000 nationwide. (SCOR, Small Corporate Offering Registration, allows companies to raise up to $1 million and is highly state-specific. Some states encourage SCOR while other states are more hostile to it.)
Overall, "Angel Financing" is an excellent book for entrepreneurs and angel investors.
Peter Hupalo, Author of "Thinking Like An Entrepreneur"
Get it Right the First Time (do your homework too).......2002-03-03
There are many books in the marketplace that target different types of entrepreneurs with different types of approaches. Respectively, none of them work unless you are starting a mom-and-pop business. Believe me, I've gone through most of them! I have found that they are either based on a mom-and-pop "boilerplate business plan" start-up model or based from outer space, with grand delusions of fantasy by thinking that the start-up will rivet the attention of a venture capital firm or an investment banker. Forget it, those days are gone.
If you are serious about finding and raising private equity for your start-up company, this book will give you plenty of facts, stories and anecdotes. Angel Financing will also give you the methods and processes to get it done properly.
Promote your idea into a practical one. This book is pure common sense. Write a business plan to attract financing. The blueprint for operating your company is the next step. Look around and discover that Gerald Benjamin is a pioneer in this field and his views about how to raise private equity is gaining a foothold and turning heads. Recently, I attended one of his seminars and the people sitting next to me were simply top-caliber entrepreneurs.
There are very few companies that will ever make it to the public equity markets. For example, many large companies such as SAIC (headquartered in San Diego) are employee-owned. Just look at the facts presented in his book and reconsider your options, especially if you would like to retain control of your start-up.
I have one suggestion. Carefully review the how-to-do a business plan material out there. Make sure it is suitable for what you are doing, or you are going to go through many sleepless nights like I did. Read this book, prepare a Business Plan for investors, put together a PowerPoint presentation and "walk the talk."
Good luck!
Get it Right the First Time (do your homework too).......2002-03-03
There are many books in the marketplace that target different types of entrepreneurs with different types of approaches. Respectively, none of them work unless you are starting a mom-and-pop business. Believe me, I've gone through most of them! I have found that they are either based on a fandango "boilerplate business plan" model or written by beings from outer space, with grand delusions that your idea will rivet the attention of a venture capital firm or an investment banker. Forget it, those days are gone.
If you are serious about finding and raising private equity for your start-up company, this book will give you plenty of facts, stories and anecdotes. Angel Financing will also give you the methods and processes to get it done properly.
Promote your idea into a practical one. This book is pure common sense. Write a business plan to attract financing. The blueprint for operating your company is the next step. Look around and discover that Gerald Benjamin is a pioneer in this field and his views about how to raise private equity is gaining a foothold and turning heads. Recently, I attended one of his seminars and the people sitting next to me were simply top-caliber entrepreneurs.
There are very few companies that will ever make it to the public equity markets. For example, many large companies such as SAIC (headquartered in San Diego) are employee-owned. Just look at the facts presented in his book and reconsider your options, especially if you would like to retain control of your start-up.
There is one suggestion. Carefully review all the how-to-do a business plan material out there. Make sure it is suitable for your exact needs
Good luck!
Long winded, but worth a good skim.......2000-09-01
This book could easily have been cut by 100 pages or more without losing any information. The author says the same thing over and over and over and over again, almost as if he was being paid by the page (or trying to justify the high price with a thicker book). I did learn from it, but was annoyed skimming entire sections to simply reread what he's already said five times.
Book Description
An inside look at modern approaches to modeling equity portfolios
Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed.
Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.
Download Description
An inside look at modern approaches to modeling equity portfolios Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.
Customer Reviews:
great book for modeling.......2007-08-09
this is a good introductory book for quantitative developers. Many of the recent research and application of the financial engineering idea has rendered some famous books not as up-to-date as needed.
The financial modeling has a lot of different methods and directions, this book definitly did not cover all those new developments. But it is almost impossible to do that, instead, it does covers a lot interesting ground. And I find almost few other books overlap with this one so far, so even on cost per coverage basis, it is a good buy.
Also check out the other book written by this trio, "Robust Portfolio Optimization and Management".
Comprehensive Coverage of Quantitative Equity Models.......2006-09-26
Fabozzi, the guy who churned out a dozen fixed income books, has turned his attention to equity models. With two coauthors, his Financial Modeling of the Equity Market book is a comprehensive treatise on quantitative methodologies employed in equity investment and trading. Densely packed with mathematical and statistical formulae, this book is an excellent reference guide for those desiring to learn and understand equity models. The reason I didn't give it 5 stars is, like other Fabozzi books, this is heavy on the "trees" but light on the "forest," i.e., it gives you lots of equations and details but does not provide a good overview as to the why. In a sense, its audience is the technocrats, not the thinkers. It's good for the financial engineers, not the financial innovators. Still, the vast majority of us on Wall Street, yours truly included, are technical people who don't have a vision, so for us mere mortals, this is a one-stop-shop book on quant equity models.
Really good reference book.......2006-07-29
It is the book I'd like to keep on my shelf. Very comprehensive and up-to-date, though a little bit condensed. It starts from portfolio theory and covers forefront techniques and practical issues of equity market modeling. Could be better if there are more examples of model applications.
Very good book.......2006-06-09
This is one of the most complete book that I can find on the quantitative equity management.
It integrates very well both academia with real case.
Worth reading for anyone wishing having a good knowledge of equity markets.
Book Description
Written in a straightforward and accessible style, Trend Trading teaches you how to trade equity trends with sound money management discipline, from the individual stock level to the whole portfolio level. Tailored to investors who want to use elements of trend following strategies in their equity portfolios, Trend Trading presents unique investment tools and advanced technical analysis methods in simple, commonsense terms.
Customer Reviews:
Nothing new. Basic knowledge for long term trading.......2007-08-12
This book shows methods for trend following long term trading.
There is nothing new in it. If you have already read for example "Trade your way to financial freedom" (a much better read by the way), you will learn about nothing in this book.
The style of the book is quite academic but all presented things are extremely simple. Everything is very much detailed with obvious formulas or repeating the same stuff for the short side (exactly symmetric) after having been explained for the long side, perhaps in order to reach the critical number of 200 pages for the book.
I wonder what is the motivation for this book since there is nothing new. A result of the Wiley Trading frenzy to publish?
Disappointing-save your money.......2007-02-20
Too academic and nothing new to add to material that is already out there.Not that practical from a swing trader's point of view.
This is a hard read........2007-01-29
I found this book to be difficult to read. I didn't think the book was well organized or well written. I often found myself rereading sections and starting the book over. It was hard to understand some of the information not because it was complicated, but because it just wasn't written clearly.
I would not recommend this for the novice investor. There are better books out there.
Worthwhile.......2007-01-03
I read this book over Christmas break, initially thinking that I had picked up yet another tome that amateur traders would find entertaining, but which would contain little useful information about the actual details of trading.
I quickly realized that Trend Trading was no ordinary book. It is literally packed with trading details, from its in-depth explanation of trend trading and money management tactics to its exposition on the psychological experience during different stages of trading.
What a privilege for us that Kedrick took the time to write this book after 8 years in the markets. A truly worthwhile read
Specific ideas for beginners and serious traders.......2006-11-24
Systems traders have long been known to employ profitable trend following strategies in the futures markets. Applying those concepts to stock trading has proven to be difficult, although the idea of trend following in stock markets dates back at least the days of Charles Dow. In a new
book, Kedrick Brown, a former vice president at Knight Equity Markets, LP, redefines trend trading and offers readers a lot to think about, and readers of this book will find a large number of testable ideas.
Brown reviews the basic tenets of Dow Theory, and summarizes the underlying idea as, "Dow Theory thus assumes that it is only worth
owning stocks during confirmed bull markets in the major indices, and that one should be out of stocks otherwise." He also offers a straightforward definition of a trend following trading strategy as, "Any preplanned, rule-based strategy for managing open position P&L in which open profits could hypothetically grow indefi nitely under a limited
set of circumstances, while open losses are limited under all circumstances."
After developing a common base of understanding, Brown develops a relatively simple trend following strategy applying what he calls three dimensional technical analysis. In three dimensional technical analysis, traders need to consider not only price and time in a single stock, but they should expand their focus to similar information in multiple stocks simultaneously. In his book, Brown fully develops a sample strategy to trade any NASDAQ stock, such as MSFT.
This strategy, one of many in the book, relies on an objective method of defi ning a market's trend - the binary trend identification method using
Donchian bands:
1. Filter condition: Take long positions in MSFT only if the NASDAQ Composite is in an uptrend, defined as price having made a new 32-day high more recently than it made a new 32-day low.
2. Buy MSFT if it makes a new 24-day high while the NASDAQ Composite is in an uptrend.
3. Limit your losses by setting an initial fixed stop at the 24-day low at the time of trade entry.
4. If the initial stop is hit, reenter on a new 24-day high if the NASDAQ Composite is still in an uptrend.
5. Exit if the NASDAQ Composite enters a downtrend, defined by the price reaching a new 32-day low.
Buy and sell decisions in this example follow the trend of the general market. The strategy manages open position P&L by limiting losses and allowing profits to run in bull markets.
Interestingly, specific reentry points are precisely defined. This is often challenging for traders to do, and Brown points out that it is important to get back into positions after being stopped out if trend following in equities is going to be rewarding to traders.
Other trading strategies are comprehensively developed in the book, and the reader is always given a complete understanding of the underlying principles. Brown also devotes a large portion of the book to a detailed discussion on position sizing, and provides worksheets that traders can use or adapt for their personal use to develop trading plans. Overall, the book can serve as a complete "how to" manual for the beginning trader, but offers a great deal for more experienced traders.
In an interesting, but brief section, Brown addresses the institutional money manager's need to add alpha by outperforming, on a relative basis, a benchmark. Assuming the benchmark is the S&P 500, Brown notes, "If you hold a proxy for the S&P 500 at all times when not trading, you need only to outperform the proxy during the holding periods of your trades to beat its long term performance (before commissions and taxes)." The discussion and test results of this point are worth considering for all those attempting to outperform a benchmark.
Book Description
Entrepreneur's Notebook propels you on a whirlwind tour of the start-up process. It is an invaluable reference for new and experienced entrepreneurs that includes chapters on a wide range of topics, from entrepreneurial team building to business plans to financing. This excellent book provides an incredible amount of practical information that will help you make smarter decisions and avoid costly mistakes. The author, Steven K. Gold, is an accomplished entrepreneur who has co-founded and led five early-stage ventures. As an investor and mentor, he also advises many entrepreneurs and young companies. He earned his B.S.E. in Entrepreneurial Management from the Wharton School of the University of Pennsylvania, and his M.D. from Brown University Medical School.
Customer Reviews:
Nice Guide for Beginners.......2007-06-16
The author writes a nice overview of the entrepreneurial process. It's basically for novices but it does a good job for this audience. The only problem I have with this book is that it is too basic and is therefore non-unique because it is so low-level. Regardless, I must say that for the right audience, it does a fine job over giving the big picture.
If you are advanced or aspire to become advanced, I would recommend "The Startup Company Bible for Entrepreneurs" but only for high-tech entrepreneurs. Even this author has recommended it.
A Must-Have for Entrepreneurs.......2007-05-14
Steven gives great illustrations to drive home his insightful advice for entrepreneurs. As he's "been there, done that," we can take his advice to heart in the hopes of becoming a success like him!
Exellent Book.......2007-05-11
Great book for getting ready to open a new business. Would refer to anyone thinking about opening a business.
Brief and to the point.......2007-04-27
This is a delightful little book that contains a wealth of useful and helpful information and ideas on starting a small business and ensuring that it is viable and succesful. The book is well written and easy to follow and interesting to read.
This is a must read for entrepreneurs, particularly budding ones as the information the book provides is very practical and can help you avoid making costly errors. The book covers a wide range of topics including the start-up process, marketing the business on a small budget, cash-flow forecasting, among other things.
The book is an excellent companion for the entrepreneur that is well worth having.
Invaluable advice for the budding entrepreneur.......2007-03-04
This book does a terrific job of presenting some of the most important issues entrepreneurs face when embarking on new ventures, touching on topics such as the business plan, funding, team building, and cash flows. Using simple, yet stunningly accurate models of the entrepreneurial process, Steven Gold distills complex subjects into simple, practical, take-away messages. The classification of entrepreneurial personalities (professionals, pragmatists, and inventors) is something I think we can all relate to. I find the metaphor which compares building a new company to making "stone soup" equally compelling. There are countless books out there for budding entrepreneurs, but this one is no fluff. It gets right down to the nuts and bolts so you can concentrate on your business.
Books:
- Strategic Supply Chain Management
- Streamlined: 14 Principles for Building & Managing the Lean Supply Chain
- Supply Chain Excellence: A Handbook for Dramatic Improvement Using the SCOR Model
- Supply Chain Management (3rd Edition)
- Supply Chain Management: Strategy, Planning, and Operations, Second Edition
- The Beauty Buyble: The Best Beauty Products of 2007
- The Complete Idiot's Guide to Buying Foreclosures
- The Elegant Universe: Superstrings, Hidden Dimensions, and the Quest for the Ultimate Theory
- The Elusive Quest for Growth: Economists' Adventures and Misadventures in the Tropics
- The Intelligent Investor CD: The Classic Text on Value Investing
Books Index
Books Home
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Investments
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