主动投资管理《Active Portfolio Management》阅读笔记
第一章 基础量化见解 Active Portfolio Management的七个量化见解： consensus views lead to the benchmark. The Information Ratio (IR) is the Key to Value-Added. The Fundamental Law of Active Management: IR = IC * sqrt(Breadth) Alphas must control for volatility, skill, and expectations: Alpha = Volatility · IC · Score. Why Datamining is Easy, and guidelines to avoid it. Implementation should subtract as little value as possible. Distinguishing skill from luck is difficult. 关注内容 我们的相对视角将聚焦于收益的剩余部分residual return:即与基准收益benchmark return无关的那部分收益。信息比率是预期年度剩余收益annual residual return与剩余收益年度波动率volatility之比。这一比率界定了主动型管理人可把握的投资机会空间 - 信息比率越大，主动管理的潜力就越大。 ...