内容简介

Efficiently Inefficient describes the key trading strategies used by hedge funds and demystifies the secret world of active investing. Leading financial economist Lasse Heje Pedersen combines the latest research with real-world examples and interviews with top hedge fund managers to show how certain trading strategies make money—and why they sometimes don’t.

Pedersen views markets as neither perfectly efficient nor completely inefficient. Rather, they are inefficient enough that money managers can be compensated for their costs through the profits of their trading strategies and efficient enough that the profits after costs do not encourage additional active investing. Understanding how to trade in this efficiently inefficient market provides a new, engaging way to learn finance. Pedersen analyzes how the market price of stocks and bonds can differ from the model price, leading to new perspectives on the relationship between trading results and finance theory. He explores several different areas in depth—fundamental tools for investment management, equity strategies, macro strategies, and arbitrage strategies—and he looks at such diverse topics as portfolio choice, risk management, equity valuation, and yield curve logic. The book’s strategies are illuminated further by interviews with leading hedge fund managers: Lee Ainslie, Cliff Asness, Jim Chanos, Ken Griffin, David Harding, John Paulson, Myron Scholes, and George Soros.

Efficiently Inefficient effectively demonstrates how financial markets really work.

作品目录

The Main Themes in Three Simple Tables

Preface

Introduction

Part I Active Investment

Chapter 1 Understanding Hedge Funds and Other Smart Money

Chapter 2 Evaluating Trading Strategies: Performance Measures

Chapter 3 Finding and Backtesting Strategies: Profiting in Efficiently Inefficient Markets

Chapter 4 Portfolio Construction and Risk Management

Chapter 5 Trading and Financing a Strategy: Market and Funding Liquidity

Part II Equity Strategies

Chapter 6 Introduction to Equity Valuation and Investing

Chapter 7 Discretionary Equity Investing

Interview with Lee S. Ainslie III of Maverick Capital

Chapter 8 Dedicated Short Bias

Interview with James Chanos of Kynikos Associates

Chapter 9 Quantitative Equity Investing

Interview with Cliff Asness of AQR Capital Management

Part III Asset Allocation and Macro Strategies

Chapter 10 Introduction to Asset Allocation: The Returns to the Major Asset Classes

Chapter 11 Global Macro Investing

Interview with George Soros of Soros Fund Management

Chapter 12 Managed Futures: Trend-Following Investing

Interview with David Harding of Winton Capital Management

Part IV Arbitrage Strategies

Chapter 13 Introduction to Arbitrage Pricing and Trading

Chapter 14 Fixed-Income Arbitrage

Interview with Nobel Laureate Myron Scholes

Chapter 15 Convertible Bond Arbitrage

Interview with Ken Griffin of Citadel

Chapter 16 Event-Driven Investments

Interview with John A. Paulson of Paulson & Co.

References