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Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined, by Lasse Heje Pedersen
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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.
Free problem sets are available online at http://www.lhpedersen.com
- Sales Rank: #105464 in Books
- Published on: 2015-04-13
- Original language: English
- Number of items: 1
- Dimensions: 1.10" h x 6.40" w x 9.50" l, 1.70 pounds
- Binding: Hardcover
- 368 pages
Review
"Pedersen's book can be recommended to a wide spectrum of readers interested in financial markets in general and hedge funds in particular."--Jacek Klich, Central Banking
"Encyclopedic in its cataloguing of active management strategies and authoritative in its analysis of the practical issues of their implementation. Pedersen grounds his exposition in landmark scholarly articles and, where quantitative analysis is required to elucidate a concept, conveys his message without resorting to arcane mathematics."--Martin S. Fridson, Financial Analysts Journal
From the Back Cover
"This valuable and intriguing book provides a contemporary survey of investments across a wide spectrum of asset classes and strategies. Combining a wonderful narrative with a rigorous analytical structure, Efficiently Inefficient serves the needs of students, serious investors, and professionals. It is an important contribution to the investment literature."--Gary P. Brinson, CFA, GP Brinson Investments
"For a book on investments, Efficiently Inefficient sets a completely different and higher standard. Pedersen blends the best and latest research, accessible to both MBA students and professionals, with the insights of some of the world's leading hedge fund managers. It works beautifully."--Darrell Duffie, Stanford University
"Efficiently Inefficient is a truly modern and masterful introduction to how finance will be studied and practiced in the twenty-first century."--Andrei Shleifer, Harvard University
"How are markets efficient enough to stump most investors, yet inefficient enough to allow hedge fund managers to earn huge profits? Lasse Pedersen, who has contributed greatly to the 'new finance' of liquidity and financial frictions, answers this question with a tour-de-force combination of original research and provocative interviews with hedge fund managers."--Laurence B. Siegel, CFA Institute Research Foundation
"Lasse Pedersen is a gifted financial market theorist who understands that theory is most satisfying when it is combined with a deep practical understanding of institutional detail and market frictions. This terrific book showcases his strengths in all of these dimensions."--Jeremy Stein, Harvard University
"This accessible book explains hedge fund strategies and how to design, construct, evaluate, implement, and risk manage them. The section on securities lending and borrowing is interesting and novel, and Pedersen's discussion of macro and central bank strategies is one of the best I have seen in any book on hedge funds. His account of portfolio construction is superior."--Robert Kosowski, Imperial College Business School
"Efficiently Inefficient bridges academic finance and the practice of finance. Students will appreciate the insights of top investment managers and the sections on transactions costs and liquidity are especially valuable. I will use the book in my graduate course on investment and I highly recommend it to all those working in the investment management industry."--Campbell R. Harvey, editor of the Journal of Finance (2006-2012)
About the Author
Lasse Heje Pedersen is a finance professor at Copenhagen Business School and New York University's Stern School of Business, and a principal at AQR Capital Management. A distinguished financial economist, he has won a number of awards, notably the Bernácer Prize, awarded to European economists under forty who have made outstanding contributions in macroeconomics and finance.
Most helpful customer reviews
31 of 33 people found the following review helpful.
Efficiently Efficient in Explaning Smart Beta and Other Strategies . . .
By D. CHEN
Efficiently Inefficient breaks down the primary ways by which hedge funds (and conventional money managers) attempt to generate positive returns for their investors. It provides an overview of the hedge fund industry by going into the mechanics of the industry and then follows with detailed descriptions of the different strategies employed. Immediately after the Table of Contents, the author provides the gist of the book in three simple tables. These tables provide a very efficient overview of the main topics in each section of the book.
In a nutshell the book could be outlined as:
Part I
This section has five chapters which provide an overview of the theoretical aspects of investing. It covers an overview of the hedge fund industry in chapter one followed by a brief explanations of the “greek” alphabet of performance measurement in chapter two. The remaining chapters discuss issues in back-testing, perspectives on risk management followed by discussion of trading costs and leverage.
Part II
Part II of the book discusses the three primary equity strategies which the author has broken down as Discretionary Equity Trading, Dedicated Short Bias and Quantitative Equity Investing. This book outlines the theoretical principles of each of these primary strategies and ends each respective chapter with an interview with a respected practitioner of the strategy. Discretionary Equity investing is what would probably be familiar to most investors. It is the Graham & Dodd realm of investing. The next chapter on Dedicated Short bias gets into the thesis, details and complications of short selling and ends with an interview with noted short seller James Chanos. The final chapter in this section gets into Quantitative Equity investing. Arguably, this is the chapter that hones in on what has been in the investing limelight in recent years as it discusses investing in factors such as value, momentum, size and volatility as well as statistical arbitrage. A lot of the material in this chapter relates to the recent interest in “smart beta.” The interview that concludes this chapter is with Cliff Asness whose firm is also the author’s employer and one of the leaders in creating smart beta products.
Part III
This section of the book gets beyond the realm of equity security selection into larger asset allocation picture. Included here is a chapter on Global Macro Investing which ends with an interview with arguably the most famous global macro manager ever, George Soros. A chapter on managed futures follows with discussions of trend-focused analysis and an interview with David Harding of Winton Capital.
Part IV
The final section of the book has separate chapters on Fixed-Income Arbitrage, Convertible Bond Arbitrage and a final chapter on Event-Driven Arbitrage. As with the other chapters, each ends with an interview with a noted practitioner of each respective strategy. In these chapters, the author interviews Nobel Laureate Myron Scholes, hedge fund managers Ken Griffin and John Paulson.
Pedersen’s book could be used as a supplementary text for a college or MBA program but it does not read pedantically like a college text book. While some math appears, it is kept to a decent minimum. The clear and concise discussion of the theoretical basis for each strategy is followed nicely by an interview with a practitioner in that space. The interviews do follow in the spirit of books by John Train and Jack Schwager (albeit briefer) and help in providing color to each chapter. Arguably Pedersen’s work provides an efficient and very readable survey on the state of the investing environment today.
10 of 11 people found the following review helpful.
A great book!
By Finance professor
This book is a delight for both practitioners and students in finance and economics. Practitioners will be drawn to the many useful investment rules that can produce excess returns which, importantly, are based on sound financial-economic analysis, not just a mechanical search for rules of what has worked in the past (such rules may stop working subsequently). Examples include “Low-Risk Investing” (p. 140) and “Convertible Bond Arbitrage” (Ch. 15), which is a clever way of buying cheap illiquid convertible bonds and hedging with stocks, exploiting in part the illiquidity premium. In both cases, the underlying reason for the potential excess return is here to stay, rooted in the liquidity need of most investors, who sacrifice risk-adjusted returns for higher liquidity or to avoid leverage. And, because the book puts practical flesh on the bones of finance theory, it is extremely valuable for students and academics in finance. The book brings finance topics to life for students, making it so much easier to teach courses in investment strategies. And, the book will give academics and doctoral students lots of research ideas.
6 of 6 people found the following review helpful.
High quality
By investingbythebooks
This text is an unusual hybrid of a description of hedge fund investment styles, investor interviews and a finance textbook. The book’s promise is to be a mix of Antti Ilmanen’s Expected Returns (an AQR colleague) and Jack Swager’s “wizard-series”. Efficiently Inefficient doesn’t fully live up to this standard but I still like it.
This hybrid approach isn’t surprising given the author’s parallel and impressive career path. Pedersen is a finance professor at both NYU and Copenhagen Business School and has written several important papers earning him the title of best European economist under 40. Further he’s on the editorial board of The Journal of Finance and a research associate at NBER. For most of us this would be more than enough but this is only half the story. The author is also a principal on AQR’s asset management team and as such an important part of one of the world’s largest hedge funds. This has no doubt given him easier access to the many investors to interview in this book. At least Pedersen has turned 43 by now so even he can’t have it all…
The introductory section on the nuts and bolts of hedge funds (called Active Investment in the typical modest hedge fund style) discusses topics like risk management, back testing, trading, performance measurement etc. I found the notion of several different types of liquidity premiums very interesting and now and then the author presented a nugget I hadn’t thought of but mostly this section gives the foundation for the rest of the book by describing the general character of “smart money” and the activities that hedge funds perform.
The remainder of the book analyzes eight common hedge fund investment strategies: long-short equities, short-selling, quantitative equities, global macro, managed futures, fixed-income arbitrage, convertible bond arbitrage and event-driven investments. Initially the strategy is described from a textbook type of angle and then Pedersen continues to show how they are practiced. The text on each strategy is finally ended with interviews with rock star practitioners like James Chanos, Cliff Asness, George Soros, Ken Griffin, John Paulson and many more.
Despite the author’s high level of understanding he manages to deliver a high quality but also easily understandable guide to the strategies. Pedersen’s theoretical background is in mathematical economics but save one chapter the number of equations is kept fairly low. With a whole spectrum of investment strategies some will surely interest certain readers more and some less. Due to the number of equations in the text and my low interest of investment strategies trying to find arbitrage opportunities among bonds and bills I largely skipped the text on fixed-income arbitrage.
A positive surprise to me was the interview with John Paulson who I’ve seen as a bit reckless going all in on the “greatest trade” in mortgage backed securities and then losing most of the gains on gold. Instead, in the interview on event-driven investment, I found Paulson both reasoning, intelligent and ready to learn from others. I’m further struck by how many of the strategies used and also the language used by hedge funds that has become an integral part of the everyday life of pension funds – no doubt wanting to become a bit more “smart money” themselves.
My main quarrel with the book is that it overpromises to some extent. The main title Efficiently Inefficient and the subtitle How Smart Money Invests & Market Prices are Determined implies a focus on pricing theory where markets are “inefficient but to an efficient extent” so that professional investors are compensated for their work. Well, if you don’t count simply showing how a number of hedge fund investment strategies earn money there is disappointingly little of general discussion on this topic in the book.
Competent, high quality but a little overreaching.
This is a review by investingbythebooks.com
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