Active portfolio management : a quantitative approach for providing superior returns and controlling risk

By R. Grinold, R. Kahn. 2000

223 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/75cced88c1199ba9e8607774b62f2af4c92f0875

Citations in the corpus

• Trading system capability (2014, unknown): “Grinold and Kahn (2000) claim in the Fundamental Law of Active Management (FLAM) that the IR follows the following relationship: IR ¼ IC ffiffiffi b p ; (5) where IC is the information coefficient, the correlation (usually Spearman) between predicted returns and their actual values, and b is the…”
• Why Does Return Predictability Concentrate in Bad Times (2017, unknown): “It follows 3See, for instance, Grinold and Kahn (1999), chapter 10 or Stewart, Piros, and Heisler (2010), chapter 5.”