Leibowitz / Emrich / Bova Modern Portfolio Management

Active Long/Short 130/30 Equity Strategies
1. Auflage 2009
ISBN: 978-0-470-48494-4
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 544 Seiten, E-Book

Reihe: Wiley Finance Editions

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.

Autoren/Hrsg.

Leibowitz, Martin L.

Emrich, Simon

Bova, Anthony

Inhaltsverzeichnis

Foreword: The High and Low of 130/30 Investing.
Structure of the Book.
Acknowledgments.
INTRODUCTION: Evolution of the Active Extension Concept.
PART ONE: Active 130/30 Extensions and Diversified AssetAllocations.
CHAPTER 1: Active 130/30 Extensions and Diversified AssetAllocations.
PART TWO: The Role of Quantitative Strategies in Active130/30 Extensions.
CHAPTER 2: Active Extension--Portfolio Construction.
CHAPTER 3: Managing Active Extension Portfolios.
PART THREE: Special Topics Relating to Active 130/30Extensions.
CHAPTER 4: Active Extension Portfolios: An Exploration of the120/20 Concept.
CHAPTER 5: Alpha Ranking Models and Active ExtensionStrategies.
CHAPTER 6: The Tracking Error Gap.
CHAPTER 7: Correlation Effects in Active 120/20 ExtensionStrategies.
CHAPTER 8: Alpha Returns and Active Extensions.
CHAPTER 9: An Integrated Analysis of Active ExtensionStrategies.
CHAPTER 10: Portfolio Concentration.
CHAPTER 11: Generic Shorts in Active 130/30 Extensions.
CHAPTER 12: Beta-Based Asset Allocation.
CHAPTER 13: Beta Targeting: Tapping into the Appeal of Active130/30 Extensions.
CHAPTER 14: Activity Ratios: Alpha Drivers in Long/ShortFunds.
CHAPTER 15: Generalizations of the Active 130/30 ExtensionConcept.
PART FOUR: Key Journal Articles.
CHAPTER 16: On the Optimality of Long/Short Strategies.
CHAPTER 17: The Efficiency Gains of Long/Short Investing.
CHAPTER 18: Toward More Information-Efficient Portfolios.
CHAPTER 19: Allocation Betas.
CHAPTER 20: Alpha Hunters and Beta Grazers.
CHAPTER 21: Gathering Implicit Alphas in a Beta World: NewQuestions about Alternative Assets.
CHAPTER 22: Optimal Gearing: Not All Long/Short Portfolios AreEfficient.
CHAPTER 23: 20 Myths about Enhanced Active 120/20Strategies.
CHAPTER 24: Active 130/30 Extensions: Alpha Hunting at the FundLevel.
CHAPTER 25: Long/Short Extensions: How Much Is Enough?
About the Authors.
Index.

Über Autor(innen)

MARTIN L. LEIBOWITZ is Managing Director on the U.S. EquityStrategy team at Morgan Stanley. Prior to joining Morgan Stanley in2004, he was vice chairman and chief investment officer ofTIAA-CREF. Leibowitz is a leading authority in the fields ofsecurity analysis and overall portfolio allocation strategies. Heis the author of four books, including Franchise Value(Wiley), and 138 articles, ten of which have won the prestigiousGraham and Dodd Award for excellence in financial writing.Leibowitz serves on a number of endowment and foundation investmentcommittees, including Harvard University, University of Chicago,Rockefeller Foundation, Carnegie Corporation, and the Institute forAdvanced Study.
SIMON EMRICH is Head of Quantitative and DerivativeStrategies North America at Morgan Stanley. Most recently, he hasworked on issues related to alpha-beta separation and theoptimization of alpha views in a benchmark-relative portfoliocontext, as well as on the implications of the quant meltdownduring the second half of 2007. He holds degrees from the LondonSchool of Economics and Université Catholique de Louvain, inLouvain-la-Neuve, Belgium.
ANTHONY BOVA, CFA, is a vice president with MorganStanley Equity Research's Global Strategy team, focusing oninstitutional portfolio strategy. Prior to his current role, Bovaspent four years covering commodity chemicals at Morgan Stanley.Leibowitz and Bova recently received the ninth annual BernsteinFabozzi/Jacobs Levy Awards for coauthoring "Gathering ImplicitAlphas in a Beta World," cited as the best paper in the 2007Journal of Portfolio Management.