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Portfolio Constraints and the Fundamental Law of Active Management

Published:2002-09 Issue:5 Volume:58 Page:48-66
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Clarke Roger¹,de Silva Harindra²,Thorley Steven³

Affiliation:

1. Roger Clarke is chairman of Analytic Investors, Los Angeles.

2. Harindra de Silva, CFA, is president of Analytic Investors, Los Angeles.

3. Steven Thorley, CFA, is professor of finance at the Marriott School, Brigham Young University, Provo, Utah.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.2469/faj.v58.n5.2468

Reference9 articles.

1. Comparisons and Combinations of Long and Long/Short Strategies

2. The Information Ratio

3. The fundamental law of active management

4. Alpha is Volatility Times IC Times Score

5. The Efficiency Gains of Long–Short Investing

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