Positive Alpha Generation: Designing Sound Investment Processes (The Wiley Finance Series)

Positive Alpha Generation: Designing Sound Investment Processes (The Wiley Finance Series)
Claude Diderich | 2009-03-23 00:00:00 | Wiley | 364 | Investing
Diderich describes tools and techniques, which can be used to develop quantitative models for actively managing investment products, and focuses on how theoretical models can and should be used in practice. He describes the interaction between different elements of an investment process's value chain in a single and consistent framework. A key focus is placed on illustrating the theory with real world examples. At the end of the book the reader will be capable of designing or enhancing an investment process for an investment or portfolio managers products from start to finish.
* Increased pressure to add value through investments makes this a hot topic in the investment world
* Combined theoretical and practical approach makes this book appealing to a wide audience of quants and investors
* The only book to show how to design and implement quantitative models for gaining positive alpha
Reviews
Think of this book perhaps as providing a meta-alpha framework. It explains an approach that lets you assess and implement different alpha models. Many risk based models are described. The mathematical treatment is rather advanced. By way of example, you are or should already know at a detailed level the ideas behind CAPM (Capital Asset Pricing Model).



One important section talks about portfolio construction algorithms, and how to get total risk from specific and systematic sources.



For institutional investors, the book recommends the use of benchmarks. Indeed, it is hard to imagine such an investor not using benchmarks these days. Several sources of benchmarks are proferred.



The agency problem is also addressed. Where this distinguishes responsibility for different parts of a portfolio return.



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