Active Management - Grinold
A Quantitative Approach for Providing Superior Returns and Controlling Risk Richard C. Grinold, Ronald N. Kahn
2020 Dispersion and Alpha Conversion Michael J. Mauboussin, Dan Callahan
How Dispersion Creates the Opportunity to Express Skill
- 1st page The fundamental law of active management Richard C. Grinold
definition https://www.panagora.com/assets/JOIM-Active-Risk-and-Information-Ratio.pdf
https://web.stanford.edu/class/msande348/papers/Grinold_paper.pdf
Grinold and Kahn do their best. Grinold, 64, studied physics at Tufts
Sharpe and Information
https://en.wikipedia.org/wiki/Sharpe_ratio
The information ratio is a generalization of the Sharpe ratio that uses as benchmark some other, typically risky index rather than using risk-free returns
https://en.wikipedia.org/wiki/Information_ratio
supplementary
Do Funds Mak unds Make More When The e When They Trade Mor ade More?