Advanced Portfolio Management: A Quant's Guide for Fundamental Investors

"The number of fundamental portfolio managers and investment analysts is very large. There are over 9,000 hedge funds in the world, the overwhelming majority of them managing exclusively or in part an equity portfolio. In addition, institutional managersactively manage trillions of dollars. Finally, no sell-side analyst can provide any recommendation to their buy-side interlocutor without having a good understanding of their investment process. Finally, risk managers on the buy-side and the sell-side alike, offer advisory to portfolio managers on optimization and risk quantification. The primary audience of my book is made of buy-side investors and analysts, who easily number in the thousands, and possibly the tens of thousands. The professional organizations supporting these investors are the Chartered Alternative Investment Analyst Association (CAIA) and the Chartered Financial Analyst (CFA) Institute. The secondary market comprises sell-side fundamental analysis and risk managers; as a rule of thumb,a well-established fund employs one risk manager for every 10 fundamental analysis, while banks and service firms have large rosters of industry-focused analysis. These professionals are served by the CFA Institute and two risk management associations: the Global Association of Risk Professionals (GARP) and the Professional Risk Managers' International Association (PRMIA). Despite this large audience, a guide on how to convert insights into portfolios is still missing"--
You have great investment ideas. If you turn them into highly profitable portfolios, this book is for you. Advanced Portfolio Management: A Quant’s Guide for Fundamental Investors is for fundamental equity analysts and portfolio managers, present, and future. Whatever stage you are at in your career, you have valuable investment ideas but always need knowledge to turn them into money. This book will introduce you to a framework for portfolio construction and risk management that is grounded in sound theory and tested by successful fundamental portfolio managers. The emphasis is on theory relevant to fundamental portfolio managers that works in practice, enabling you to convert ideas into a strategy portfolio that is both profitable and resilient. Intuition always comes first, and this book helps to lay out simple but effective "rules of thumb" that require little effort to implement and understand. At the same time, the book shows how to implement sophisticated techniques in order to meet the challenges a successful investor faces as his or her strategy grows in size and complexity. Advanced Portfolio Management also contains more advanced material and a quantitative appendix, which benefit quantitative researchers who are members of fundamental teams. You will learn how to: Separate stock-specific return drivers from the investment environment’s return drivers Understand current investment themes Size your cash positions based on Your investment ideas Understand your performance Measure and decompose risk Hedge the risk you don’t want Use diversification to your advantage Manage losses and control tail risk Set your leverage Author Giuseppe A. Paleologo has consulted, collaborated, taught, and drank strong wine with some of the best stock-pickers in the world; he has traded tens of billions of dollars hedging and optimizing their books and has helped them navigate through big drawdowns and even bigger recoveries.  Whether or not you have access to risk models or advanced mathematical background, you will benefit from the techniques and the insights contained in the book—and won't find them covered anywhere else.