Modern Portfolio Management: Active Long/Short 130/30 Equity Strategies: 488 (Wiley Finance) - Hardcover

Leibowitz, Martin L.

Hardcover

ISBN 10: 0470398531 ISBN 13: 9780470398531

Verlag: Wiley, 2008

Inhaltsangabe

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.

Über diesen Titel

Über die Autorin bzw. den Autor

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.

Von der hinteren Coverseite

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.

Aus dem Klappentext

"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 order to find consistent alphas and outperform the market, investors must "think outside the benchmark" in the construction of their portfolios—without taking on too much risk. Active 130/30 extensions, says Leibowitz, can provide the solution. With the growth in active extension (AE) funds over the last few years, the lines have been blurred between traditional equity and what is considered alternative equity. The basic motivation behind the active extension initiative has been the desire for more alpha return without taking on directional leverage or moving too far from traditional equity management.

With its beta-one equity risk, its 100% net long base, and its clearly delineated alphas, AE can be viewed as an "incremental" expansion of standard long-only active equity. Indeed, it is these familiar and comfortable features that enable AE strategies to be kept within the basic equity allocation rather than being thrust into the generally smaller allocation dedicated to "alternatives." In addition, 130/30 products have brought transparency into the world of long/short investing, introducing another way to improve governance in the asset management industry.

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.

Details zur Ausgabe

• Verlag: Wiley
• Erscheinungsdatum: 2008
• Sprache: Englisch
• ISBN 10: 0470398531
• ISBN 13: 9780470398531
• Einband: Tapa dura
• Anzahl der Seiten: 542
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: Nicht verfügbar