Active Long/Short 130/30 Equity Strategies
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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 Universit 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.
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 ExtensionPortfolio 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