Quantitative Equity Portfolio Management, 1st Edition

Capitalize on Today’s Most Powerful Quantitative Methods to Construct and Manage a High-Performance Equity Portfolio

Quantitative Equity Portfolio Management is a comprehensive guide to the entire process of constructing and managing a high-yield quantitative equity portfolio. This detailed handbook begins with the basic principles of quantitative active management and then clearly outlines how to build an equity portfolio using those powerful concepts.

Financial experts Ludwig Chincarini and Daehwan Kim provide clear explanations of topics ranging from basic models, factors and factor choice, and stock screening and ranking…to fundamental factor models, economic factor models, and forecasting factor premiums and exposures.

Readers will also find step-by-step coverage of portfolio weights… rebalancing and transaction costs…tax management…leverage…market neutral…Bayesian _…performance measurement and attribution…the back testing process…and portfolio performance.

Filled with proven investment strategies and tools for developing new ones, Quantitative Equity Portfolio Management features:

  • A complete, easy-to-apply methodology for creating an equity portfolio that maximizes returns and minimizes risks
  • The latest techniques for building optimization into a professionally managed portfolio
  • An accompanying CD with a wide range of practical exercises and solutions using actual historical stock data
  • Labs with real data in STATA, MATLAB, and R.  These are available on the book CD and/or the exclusive password protected website – contact authors for access.
  • An excellent melding of financial theory with real-world practice
  • A wealth of down-to-earth financial examples and case studies

Each chapter of this all-in-one portfolio management resource contains an appendix with valuable figures, tables, equations, mathematical solutions, and formulas. In addition, the book as a whole has appendices covering a brief history of financial theory, fundamental models of stock returns, a basic review of mathematical and statistical concepts, an entertaining explanation and quantitative approach to the casino game of craps, and other on-target supplemental materials.

An essential reference for professional money managers and students taking advanced investment courses, Quantitative Equity Portfolio Management offers a full array of methods for effectively developing high-performance equity portfolios that deliver lucrative returns for clients.


About the Authors

Ludwig B. Chincarini, CFA, PhD, is a Professor of Finance in the School of Management at the University of San Francisco as well as Director of Quantitative Strategies for United States Commodity Funds with over fifteen years of experience in the financial industry specializing in portfolio management, quantitative equity management, and derivatives. He also works with an angel group to help start-up companies. Prior to that he was a member of the academic council of Index IQ which was bought by NY Life in 2015, where he was instrumental in creating and developing some of the newest alternative ETFs, like QAI (the first hedge fund replicator), CPI (the first real return-inflation hedged vehicle), and MNA (the first risk-arbitrage ETF), as well as others. He was also on the academic council to FutureAdvisor, which was bought by Blackrock in 2015.

He was Director of Research at Rydex Global Advisors, where he co-developed the S&P 500 equal-weight index and ETF (Ticker:  RSP) and helped launch the Rydex ETF program.

He helped build an internet brokerage firm, FOLIOfn, designing its innovative basket trading and portfolio management platform.  He also worked at the Bank for International Settlements (BIS)  and Schroders.  He is the author of Quantitative Equity Portfolio Management.

He received a PhD from the Massachusetts Institute of Technology and an BA from the University of California at Berkeley.


Daehwan Kim, Ph.D., is a professor of economics at the American University in Bulgaria. Previously, he was employed as a financial economist for FOLIOfn. Dr. Kim also worked as a financial journalist, writing regular columns on financial markets for business media in Asia. He also holds a Ph.D. in economics from Harvard University.

QEPM is used as a reference source for leading practitioners and is used to teach at many business schools throughout the world.  Some of the business schools that are gracious enough to use the book include Harvard Business school, UCLA, the University of Chicago’s Booth School of Business, Bocconi University in Italy, Macquarie University in Australia, The University of Maryland Robert Smith School of Business, Warwick Business School, Hagan School of Business, Pepperdine University, Pomona College, Addis Ababa University in Ethiopia, the University of Central Missouri, the American University in Bulgaria, Konkuk University in South Korea, the University of Hong Kong, Chulalongkorn University in Thailand, Diego Portales University, NYU Polytechnique, Jindal Global Business School, Cornell University, Universidad Jesuita de Guadalajara, Institute for Technology and Management in Mumbai, University of Miami School of Business Administration, ALBA Graduate Business school at The American College of Greece, and many others. We thank you all for using our book.


Interviews and Reviews

“A must-have reference for any equity portfolio manager or MBA student, this book is a comprehensive guide to all aspects of equity portfolio management, from factor models to tax management.” ERIC ROSENFELD, Principal & Co-founder of JWM Partners
“This is an ambitious book that both develops the broad range of artillery employed in quantitative equity investment management and provides the reader with a host of relevant practical examples. The book excels in melding theory with practice.” STEPHEN A. ROSS, Franco Modigliani Professor of Financial Economics, Massachusetts Institute of Technology
“The book is very comprehensive in its coverage, detailed in its discussions and written from a practical perspective without sacrificing needed rigor.” DAVID BLITZER, Managing Director and Chairman, Standard & Poor’s Index Committee
“Making the transition from the walls of academia to Wall Street has traditionally been a difficult task…This book provides this link in a successful and engaging fashion, giving students of finance a road map for the application of financial theories in a real-world setting.” MARK HOLOWESKO, CEO and Founder, Templeton Capital Advisors
“This text provides an excellent synthesis of a broad range of quantitative portfolio management methods…In addition, there are a number of insightful innovations that extend and improve current techniques.” DAN DIBARTOLOMEO, President and Founder, Northfield Information Services, Inc.