Modern Portfolio Management. Active Long/Short 130/30 Equity Strategies. Wiley Finance

  • ID: 2241416
  • Book
  • 512 Pages
  • John Wiley and Sons Ltd
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Modern Portfolio Management

"Investment professionals know that performance is determined not just by their overweights, but also by the positions that they choose to underweight." With this brief statement, Martin Leibowitz captures the essence of what both institutional and individual investors must accomplish for active risk–taking to achieve superior results.

In Modern Portfolio Management, Leibowitz and his coauthors offer new strategies for institutional investors who want to manage their portfolios more actively by using 130/30 investment techniques. The 130/30 framework is a natural extension of the basic long–only benchmark– relative strategy that is so widely practiced. This approach seeks to exploit the opportunities that exist between the more efficient long only market and the less efficient short market. This book shows how 130/30 strategies allow asset owners and asset managers to more fully exploit an active manager′s information set. The in–depth ideas presented in this volume also go well beyond the strict confines of 130/30′s to shed important new light on other types of active management, including fundamental and quantitative long–only as well as the various forms of more flexible long/short funds. Modern Portfolio Management offers institutional investors many insights and exciting new ways to think about alpha generation.

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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.

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Martin L. Leibowitz
Simon Emrich
Anthony Bova
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