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

by Giuseppe A. Paleologo (Author)

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.

Front Jacket

As measured by assets under management (AUM), the majority of equity investing is driven by fundamentals. Portfolio managers identify investment opportunities and translate them into portfolios. Over the past 30 years, the industry has matured and become more sophisticated. One of the most crucial concepts in this maturation process has been factor modeling.

In Advanced Portfolio Management: A Quant's Guide for Fundamental Investors, renowned risk and finance expert Giuseppe Paleologo delivers an insightful and practical guide to turning your investment ideas and knowledge into profitable trades. The author introduces you to a framework for portfolio construction and risk management that is both theoretically grounded and market-tested by successful portfolio managers.

In this book, you'll find simple and effective rules of thumb as well as sophisticated techniques that combine to help you overcome the challenges every investor faces as their portfolio grows in size and complexity. Whether you're trying to separate stock-specific return drivers from the investment environment's return drivers or measuring and decomposing risk, Advanced Portfolio Management shows you how to use the flexible framework of factor modeling for risk quantification, portfolio analysis, and portfolio construction.

Containing a quantitative appendix as well as more advanced material that will benefit quantitative researchers who are members of fundamental teams, this book will benefit you regardless of whether you have access to risk models or an advanced mathematical background.

Perfect for buy-side investors and analysts, Advanced Portfolio Management: A Quant's Guide for Fundamental Investors is also an indispensable resource for portfolio managers seeking a powerful way for fundamental stock pickers to get an investment edge and beat the market on a regular basis.

Back Jacket

Praise for ADVANCED PORTFOLIO MANAGEMENT

"This is a book I wish I had 15 years ago at the start of my career. It is an invaluable resource for any discretionary stock picker, quantitative researcher, or data analyst. As these worlds continue to converge in financial markets, I have no doubt that the concepts laid out in this book will be a critical component of success for all practitioners."
--Todd Barker, Portfolio Manager

"As a seasoned risk management practitioner, Giuseppe knows that successful portfolio managers are able to incorporate risk management disciplines into their investment process. Giuseppe has brought together the key components of this in his book, Advanced Portfolio Management, in an easily digestible style that only he can do. I highly recommend this book for all portfolio managers who are looking to enhance their long-term performance."
--Stephen Haratunian, Head of Enterprise Risk, Millennium

"The unique combination of Giuseppe's insights as a practitioner combined with his deep quantitative savvy makes Advanced Portfolio Management a must read for any current or aspiring professional investor who wants to have staying power and compete effectively in today's challenging market environment."
--Gustav Rydbeck, Partner and COO of Equities, Balyasny Asset Management

"This is a comprehensive and practical guide to the fundamentals of risk management and portfolio construction, written by an industry insider (with a quirky Italian sense of humor). Any fundamental analyst or portfolio manager will find this book an invaluable resource in grasping the foundational concepts of portfolio management. The fact that the book is funny and enjoyable to read is a small consolation for Giuseppe having given away such valuable industry secrets!"
--Brandon Haley, Founder and CIO, Holocene Advisors, LP

"Bravo, Giuseppe, for providing investors with a useful and practical resource on the art of factor neutral portfolio construction, which until now could only be learned on the job, through years of apprenticeship."
--Michael Rockefeller, Founder and co-CIO, Woodline Partners, LP

Author Biography

GIUSEPPE PALEOLOGO is the Head of Risk Management at Hudson River Trading. He has also held senior positions at Millennium, Citadel, Axioma, and IBM Research. He was formerly a mathematical researcher at Stanford and an instructor in the master's program in Financial Engineering at Cornell University.