Modern Portfolio Management: Active Long/Short 130/30 Equity Strategies

Praise for Modern Portfolio Management
"This extraordinary book will be the classic work on portfolio management. Nothing I know of comes close to matching its depth of analysis and innovative thinking, as the authors transform the most important lessons of theory into the most sophisticated methodologies for day–to–day decision–making. Leibowitz and his associates have raised portfolio management to a new level, and those who fail to climb up here will rue the day."
—Peter L. Bernstein, author of Capital Ideas Evolving
"Marty Leibowitz is a very smart guy and has been around the quantitative track longer than any of us. Whatever he writes is definitely worth reading."
—James Simons, PhD, Chairman and Chief Executive Officer, Renaissance Technologies, LLC
"If 130/30 is the new long–only, then this book is an instant classic in investment literature. Dr. Leibowitz and his coauthors have written the definitive treatise on disciplined long/short equity investing, and this book should be required reading for all pension plan sponsors, portfolio managers, and consultants who care about making the most of their investment dollars."
—Andrew W. Lo, Harris & Harris Group Professor, MIT Sloan School of Management
"True to form, Leibowitz brings the practical and theoretical together in this useful compilation of articles regarding active extension strategies. All investors who might consider both long and short positions in active portfolios should have this on their bookshelf for reference."
—Scott C. Evans, Executive Vice President, TIAA–CREF
"The author team has written an authoritative book on the rapidly growing field of 130/30 portfolios. They offer many unique and practical insights, backed by rigorous analysis, on raising portfolio returns and managing risk in a disciplined manner. The book is an absolute gem for the serious invest or."
—Aje Saigal, Director, Investment Policy & Strategy, Government of Singapore Investment Corporation
"A comprehensive and insightful introduction to the attributes of focused and risk–controlled long–short management. This collection of articles, with Martin Leibowitz′s path–breaking work at Morgan Stanley Research as the cornerstone, will inspire and guide asset owners to achieve more efficient portfolio allocations."
—Knut N. Kjaer, former CEO, Norwegian Government Pension Fund

Spis treści:
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 Asset Allocations.
CHAPTER 1: Active 130/30 Extensions and Diversified Asset Allocations.
PART TWO: The Role of Quantitative Strategies in Active 130/30 Extensions.
CHAPTER 2: Active Extension—Portfolio Construction.
CHAPTER 3: Managing Active Extension Portfolios.
PART THREE: Special Topics Relating to Active 130/30 Extensions.
CHAPTER 4: Active Extension Portfolios: An Exploration of the 120/20 Concept.
CHAPTER 5: Alpha Ranking Models and Active Extension Strategies.
CHAPTER 6: The Tracking Error Gap.
CHAPTER 7: Correlation Effects in Active 120/20 Extension Strategies.
CHAPTER 8: Alpha Returns and Active Extensions.
CHAPTER 9: An Integrated Analysis of Active Extension Strategies.
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 Active 130/30 Extensions.
CHAPTER 14: Activity Ratios: Alpha Drivers in Long/Short Funds.
CHAPTER 15: Generalizations of the Active 130/30 Extension Concept.
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: New Questions about Alternative Assets.
CHAPTER 22: Optimal Gearing: Not All Long/Short Portfolios Are Efficient.
CHAPTER 23: 20 Myths about Enhanced Active 120/20 Strategies.
CHAPTER 24: Active 130/30 Extensions: Alpha Hunting at the Fund Level.
CHAPTER 25: Long/Short Extensions: How Much Is Enough?
About the Authors.
Index.

Nota biograficzna:
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 Str ategy 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.

Okładka tylna:
Praise for Modern Portfolio Management
"This extraordinary book will be the classic work on portfolio management. Nothing I know of comes close to matching its depth of analysis and innovative thinking, as the authors transform the most important lessons of theory into the most sophisticated methodologies for day–to–day decision–making. Leibowitz and his associates have raised portfolio management to a new level, and those who fail to climb up here will rue the day."
—Peter L. Bernstein, author of Capital Ideas Evolving
"Marty Leibowitz is a very smart guy and has been around the quantitative track longer than any of us. Whatever he writes is definitely worth reading."
—James Simons, PhD, Chairman and Chief Executive Officer, Renaissance Technologies, LLC
"If 130/30 is the new long–only, then this book is an instant classic in investment literature. Dr. Leibowitz and his coauthors have written the definitive treatise on disciplined long/short equity investing, and this book should be required reading for all pension plan sponsors, portfolio managers, and consultants who care about making the most of their investment dollars."
—Andrew W. Lo, Harris & Harris Group Professor, MIT Sloan School of Management
"True to form, Leibowitz brings the practical and theoretical together in this useful compilation of articles regarding active extension strategies. All investors who might consider both long and short positions in active portfolios should have this