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Financial Analysts Journal Volume 58, 2002 - Issue 5
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PORTFOLIO MANAGEMENT

Portfolio Constraints and the Fundamental Law of Active Management

Roger Clarke Roger Clarke is chairman of Analytic Investors, Los Angeles.
,
Harindra de Silva Harindra de Silva, CFA, is president of Analytic Investors, Los Angeles.
&
Steven Thorley Steven Thorley, CFA, is professor of finance at the Marriott School, Brigham Young University, Provo, Utah.
Pages 48-66 | Published online: 02 Jan 2019

References

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  • Grinold, Richard C.. 1989. “The Fundamental Law of Active Management.” Journal of Portfolio Management, vol. 15, no. 3 (Spring): 30–37.
  • Grinold, Richard C.. 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.
  • 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.
  • 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.
  • Jacobs, Bruce I., Kenneth N. Levy, and David Starer. 1999. “Long–Short Portfolio Management: An Integrated Approach.” Journal of Portfolio Management, vol. 25, no. 2 (Winter): 23–32.
  • Kahn, Ronald N.. 2000. “Most Pension Plans Need More Enhanced Indexing.” Enhanced Indexing: New Strategies and Technologies for Plan Sponsors Edited by Brian R. Bruce.London: Institutional Investor.
  • Thomas, Lee R.. 2000. “Active Management.” Journal of Portfolio Management, vol. 26, no. 2 (Winter): 25–32.

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