Efficiently Inefficient

Jul 16, 2026

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Explores how market prices are determined by combining efficient-market concepts with behavioral and competitiveness effects. Presents a framework for investment styles and factor investing, covering active strategies such as hedge funds, trading performance metrics, backtesting, portfolio construction, and risk management. Also addresses equity, asset allocation, global macro, managed futures, arbitrage, and event-driven approaches with expert interviews.

LanguageEnglish

CategoryResearch & Report

FormatPDF

Pages510

Reading Time21 h 25 min

AccessFree to download

EFFICIENTLY INEFFICIENT How Smart Money Invests and Market Prices Are Determined LASSE HEJE PEDERSEN PRINCETON UNIVERSITY PRESS PRINCETON AND OXFORD Copyright © 2015 by Princeton University Press Published by Princeton University Press, 41 William Street, Princeton, New Jersey 08540 In the United Kingdom: Princeton University Press, 6 Oxford Street, Woodstock, Oxfordshire OX20 1TW [press.princeton.edu](press.princeton.edu) Jacket art © akindo/Getty Images All Rights Reserved Library of Congress Cataloging-in-Publication Data Pedersen, Lasse Heje. Eɽciently ineɽcient : how smart money invests and market prices are determined / Lasse Heje Pedersen. pages cm Includes bibliographical references and index. ISBN 978-0-691-16619-3 (hardcover : alk. paper) 1. Investment analysis. 2. Investments. 3. Portfolio management. 4. Capital market. 5. Securities—Prices. 6. Liquidity (Economics) I. Title. HG4529.P425 2015 332.6—dc23 2014037791 British Library Cataloging-in-Publication Data is available This book has been composed in Sabon Next LT Pro and DINPro Printed on acid-free paper. ∞ Printed in the United States of America 10 9 8 7 6 5 4 3 2 1 Contents The Main Themes in Three Simple Tables vii Preface xi Who Should Read the Book? xiv Acknowledgments xv About the Author xvii Introduction 1 i. Eɽciently Ineɽcient Markets 3 ii. Global Trading Strategies: Overview of the Book 7 iii. Investment Styles and Factor Investing 14 Part I Active Investment 17 Chapter 1 Understanding Hedge Funds and Other Smart 19 Money Chapter 2 Evaluating Trading Strategies: Performance 27 Measures Chapter 3 Finding and Backtesting Strategies: Proɹting in 39 Eɽciently Ineɽcient Markets Chapter 4 Portfolio Construction and Risk Management 54 Chapter 5 Trading and Financing a Strategy: Market and 63 Funding Liquidity Part II Equity Strategies 85 Chapter 6 Introduction to Equity Valuation and Investing 87 Chapter 7 Discretionary Equity Investing 95 Interview with Lee S. Ainslie III of Maverick 108 Capital Chapter 8 Dedicated Short Bias 115 Interview with James Chanos of Kynikos 127 Associates Chapter 9 Quantitative Equity Investing 133 Interview with Cliʃ Asness of AQR Capital 158 Management Part III Asset Allocation and Macro Strategies 165 Chapter 10 Introduction to Asset Allocation: The Returns to 167 the Major Asset Classes Chapter 11 Global Macro Investing 184 Interview with George Soros of Soros Fund 204 Management Chapter 12 Managed Futures: Trend-Following Investing 208 Interview with David Harding of Winton 225 Capital Management Part IV Arbitrage Strategies 231 Chapter 13 Introduction to Arbitrage Pricing and Trading 233 Chapter 14 Fixed-Income Arbitrage 241 Interview with Nobel Laureate Myron 262 Scholes Chapter 15 Convertible Bond Arbitrage 269 Interview with Ken Griɽn of Citadel 286 Chapter 16 Event-Driven Investments 291 Interview with

Jul 16, 2026

Upload by Himbo