Quantitative Equity Portfolio Management, Second Edition: An Active Approach to Portfolio Construction and Management

The classic guide that taught a generation of institutional investors how to construct and manage high-yield quant portfolios—now updated for the new generation

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. 

This edition of the go-to guide for quant investing has been updated with critical new data, information, and insights, including:

All table and graph data updated to 2020The secret ingredients to building smart beta ETFs and mutual fundsA new list of behavioral biases that lead to investment anomaliesEntirely new factor definitions and test of their outperformance with real stock return dataNew labs using real data written in R, MATLAB, and STATA with new techniques to optimize professional portfoliosNew methods to deal with outlier dataThe author’s new research on transaction cost problemsDetailed uses of ESG data to create socially responsible portfoliosDownloadable monthly factor returns from the authorsQuantitative Equity Portfolio Management delivers a complete, easy-to-apply methodology for creating an equity portfolio that maximizes returns and minimizes risks. It covers every step of the process, including basic models, stock screening and ranking, fundamental and economic factor modelling, forecasting factor premiums and exposures, building market neutral portfolios, tax management, performance measurement and attribution, and backtesting. 

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.