Quantitative_Insights

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1、SevenQuantitativeInsightsintoActiveManagementRonaldN.KahnBARRA©1999TableofContentsIntroduction..............................................................1Insight1:ActiveManagementIsForecasting..................................3Insight2:InformationR

2、atiosDetermineValueAdded..........................7AnEmpiricalAddendum..............................................10Insight3:TheFundamentalLawofActiveManagement........................11Examples.......................................................

3、....12Implications.........................................................12Insight4:Three-PartAlpha................................................15ConvertingRawSignalsintoAlphas.....................................15ProvidingStructure.............

4、......................................17Summary...........................................................18Insight5:DataMiningIsEasy.............................................19TheStatisticsofCoincidence...........................................19

5、InvestmentResearch..................................................21FourGuidelinesforBacktestingIntegrity.................................21Conclusions.........................................................22Insight6:ImplementationSubtractsValue..

6、.................................23ValueAddedVersusTurnover..........................................23RelationshiptoTurnover..............................................25Insight.............................................................27Insight7

7、:It’sHardtoDistinguishSkillfromLuck.............................29SEVENQUANTITATIVEINSIGHTSINTOACTIVEMANAGEMENTIntroductionInpastissuesofBARRA’snewsletters,wehavepresentedsevenquantitativeinsightsintoactivemanagement.Wecansummarizetheseseveninsightsby

8、observinghowtheyallfitintotheprocessofactivemanagement.figure1illus-tratesthisprocess,whichwedefinegenerallyasefficientlyutilizingsuperiorinformation.figure1TheResearchstageinvolvesthesearchforsuperiorinformation.Thisinforma-tionmustbebetterth