Martin L. Leibowitz, Simon Emrich, Anthony Bova

Modern Portfolio Management (eBook, PDF)

Active Long/Short 130/30 Equity Strategies

• Format: PDF

Produktbeschreibung

Active 130/30 Extensions is the newest wave of disciplined investment strategies that involves asymmetric decision-making on long/short portfolio decisions, concentrated investment risk-taking in contrast to diversification, systematic portfolio risk management, and flexibility in portfolio design. This strategy is the building block for a number of 130/30 and 120/20 investment strategies offered to institutional and sophisticated high net worth individual investors who want to manage their portfolios actively and aggressively to outperform the market.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 544
• Erscheinungstermin: 24. Dezember 2008
• Englisch
• ISBN-13: 9780470430354
• Artikelnr.: 37292068

Autorenporträt

MARTIN L. LEIBOWITZ is Managing Director on the U.S. Equity Strategy team at Morgan Stanley. Prior to joining Morgan Stanley in 2004, he was vice chairman and chief investment officer of TIAA-CREF. Leibowitz is a leading authority in the fields of security analysis and overall portfolio allocation strategies. He is the author of four books, including Franchise Value (Wiley), and 138 articles, ten of which have won the prestigious Graham and Dodd Award for excellence in financial writing. Leibowitz serves on a number of endowment and foundation investment committees, including Harvard University, University of Chicago, Rockefeller Foundation, Carnegie Corporation, and the Institute for Advanced Study. SIMON EMRICH is Head of Quantitative and Derivative Strategies North America at Morgan Stanley. Most recently, he has worked on issues related to alpha-beta separation and the optimization of alpha views in a benchmark-relative portfolio context, as well as on the implications of the quant meltdown during the second half of 2007. He holds degrees from the London School of Economics and Université Catholique de Louvain, in Louvain-la-Neuve, Belgium. ANTHONY BOVA, CFA, is a vice president with Morgan Stanley Equity Research's Global Strategy team, focusing on institutional portfolio strategy. Prior to his current role, Bova spent four years covering commodity chemicals at Morgan Stanley. Leibowitz and Bova recently received the ninth annual Bernstein Fabozzi/Jacobs Levy Awards for coauthoring "Gathering Implicit Alphas in a Beta World," cited as the best paper in the 2007 Journal of Portfolio Management.

Inhaltsangabe

Foreword The High and Low of 130/30 Investing xi
Structure of the Book xxiii
Acknowledgments xxix
INTRODUCTION Evolution of the Active Extension Concept 1
PART ONE Active 130/30 Extensions and Diversified Asset Allocations 9
CHAPTER 1 Active 130/30 Extensions and Diversified Asset Allocations 11
PART TWO The Role of Quantitative Strategies in Active 130/30 Extensions 45
CHAPTER 2 Active Extension-Portfolio Construction 47
CHAPTER 3 Managing Active Extension Portfolios 59
PART THREE Special Topics Relating to Active 130/30 Extensions 71
CHAPTER 4 Active Extension Portfolios: An Exploration of the 120/20 Concept
73
CHAPTER 5 Alpha Ranking Models and Active Extension Strategies 91
CHAPTER 6 The Tracking Error Gap 103
CHAPTER 7 Correlation Effects in Active 120/20 Extension Strategies 119
CHAPTER 8 Alpha Returns and Active Extensions 135
CHAPTER 9 An Integrated Analysis of Active Extension Strategies 149
CHAPTER 10 Portfolio Concentration 167
CHAPTER 11 Generic Shorts in Active 130/30 Extensions 185
CHAPTER 12 Beta-Based Asset Allocation 197
CHAPTER 13 Beta Targeting: Tapping into the Appeal of Active 130/30
Extensions 215
CHAPTER 14 Activity Ratios: Alpha Drivers in Long/Short Funds 237
CHAPTER 15 Generalizations of the Active 130/30 Extension Concept 257
PART FOUR Key Journal Articles 267
CHAPTER 16 On the Optimality of Long/Short Strategies 269
CHAPTER 17 The Efficiency Gains of Long/Short Investing 297
CHAPTER 18 Toward More Information-Efficient Portfolios 323
CHAPTER 19 Allocation Betas 343
CHAPTER 20 Alpha Hunters and Beta Grazers 365
CHAPTER 21 Gathering Implicit Alphas in a Beta World: New Questions about
Alternative Assets 379
CHAPTER 22 Optimal Gearing: Not All Long/Short Portfolios Are Efficient 395
CHAPTER 23 20 Myths about Enhanced Active 120/20 Strategies 413
CHAPTER 24 Active 130/30 Extensions: Alpha Hunting at the Fund Level 429
CHAPTER 25 Long/Short Extensions: How Much Is Enough? 467
About the Authors 497
Index 501