Portfolio Constraints and the Fundamental Law of Active Management

Financial Analysts Journal

Volumn 58, Issue 5, 2002, Pages 48-66

  Clarke, Roger ^a   De Silva, Harindra ^a   Thorley, Steven ^b  

^a Analytic Investors Inc   (United States)

^b BRIGHAM YOUNG UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0348002794     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v58.n5.2468     Document Type: Article

References (9)

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3. Grinold, Richard C. 1989. "The Fundamental Law of Active Management." Journal of Portfolio Management, vol. 15, no. 3 (Spring):30-37.
4. _. 1994. "Alpha Is Volatility Times IC Times Score, or Real Alphas Don't Get Eaten." Journal of Portfolio Management, vol. 20, no. 4 (Summer):9-16.
5. Grinold, Richard C., and Ronald N. Kahn. 2000. "The Efficiency Gains of Long-Short Investing." Financial Analysts Journal, vol. 56, no. 6 (November/December):40-53.
6. Jacobs, Bruce I., Kenneth N. Levy, and David Starer. 1998. "On the Optimality of Long-Short Strategies." Financial Analysts Journal, vol. 54, no. 2 (March/April):40-51.
7. _. 1999. "Long-Short Portfolio Management: An Integrated Approach." Journal of Portfolio Management, vol. 25, no. 2 (Winter):23-32.
8. Kahn, Ronald N. 2000. "Most Pension Plans Need More Enhanced Indexing." In Enhanced Indexing: New Strategies and Technologies for Plan Sponsors. Edited by Brian R. Bruce. London: Institutional Investor.
9. Thomas, Lee R. 2000. "Active Management." Journal of Portfolio Management, vol. 26, no. 2 (Winter):25-32.