Advanced Portfolio Management. Giuseppe A. Paleologo
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Название: Advanced Portfolio Management

Автор: Giuseppe A. Paleologo

Издательство: John Wiley & Sons Limited

Жанр: Ценные бумаги, инвестиции

Серия:

isbn: 9781119789802

isbn:

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       A Quant’s Guide for Fundamental Investors

       Giuseppe A. Paleologo

      Published by John Wiley & Sons, Inc., Hoboken, New Jersey.

      Published simultaneously in Canada.

      No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, (978) 750-8400, fax (978) 646-8600, or on the web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011, fax (201) 748-6008.

      Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages.

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      Wiley also publishes its books in a variety of electronic formats. Some content that appears in print, however, may not be available in electronic format.

       Library of Congress Cataloging-in-Publication Data is Available:

      ISBN 9781119789796 (Hardback)

      ISBN 9781119789819 (epdf)

      ISBN 9781119789802 (epub)

      Cover Design: Wiley

      Cover Image: © Giovani Battista Piranesi, Public Domain

      I wrote this book for equity fundamental analysts and portfolio managers, present and future. I am addressing the reader directly: I am talking to you, the investor who is deeply in the weeds of the industry and the companies you cover, investigating possible mispricings or unjustified divergences in valuation between two companies. You, the reader, are obsessed with your work and want to be better at it. If you are reading this, and think, that's me!, rest assured: yes, it's probably you. You were the undergraduate in Chemical Engineering from Toronto who went from a summer job at a liquor store to founding an $8B hedge fund. The deeply thoughtful Norwegian pension fund manager who kept extending our meeting asking questions. The successful energy portfolio manager who interviewed me for my first hedge fund job, and the new college graduate from a large state university in Pennsylvania taking a job as an associate in a financials team.

      There is a second group of readers who will benefit from this book: the quantitative researchers who are, more and more, essential members of fundamental teams. There is not a strict separation between PMs and quantitative researchers. The quantitive researchers will find the appendix useful, if they want to implement programmatically the advanced tools the book describes.

      The book introduces a few themes, and then revisits them by adding details. You will learn how to:

      1 Separate stock-specific return drivers from the investment environment's return drivers;

      2 Size your positions;

      3 Understand your performance;

      4 Measure and decompose risk;

      5 Hedge the risk you don't want;

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