Equity Management: Quantitative Analysis for Stock Selection

by Jacobs, Bruce I.; Levy, Kenneth N.; Markowitz, Harry M.

• ISBN13: 9780071346863
• ISBN10: 0071346864
• Edition: 1st
• Format: Hardcover
• Copyright: 2000-01-05
• Publisher: MCG

Summary

Two pioneers and innovators in the money management field present their choice of groundbreaking, peer-reviewed articles on subjects including portfolio engineering and long-short investment strategy. More than just a collection of classic review pieces, however, Equity Management provides new material to introduce, interpret, and integrate the pieces, with an introduction that provides an authoritative overview of the chapters. Important and innovative, it is destined to become the "Graham and Dodd" of quantitative equity investing. About the Authors: Bruce I. Jacobs and Kenneth N. Levy are Principals of Jacobs Levy Equity Management. Based in Florham Park, New Jersey, Jacobs Levy Equity Management is widely recognized as a leading provider of quantitative equity strategies for institutional clients. Jacobs Levy currently manages over $15 billion in various strategies for a prestigious global roster of 50 corporate pension plans, public retirement systems, multi-employer funds, endowments, and foundations, including over 25 of Pensions & Investments' "Top 200 Pension Funds/Sponsors." Bruce I. Jacobs holds a PhD in finance from the Wharton School of the University of Pennsylvania. He is the author of Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes and co-editor, with Ken Levy, of Market Neutral Strategies. He serves on the advisory board of the Journal of Portfolio Management. Kenneth N. Levy holds an MBA and an MA in applied economics from the Wharton School of the University of Pennsylvania. He is co-editor, with Bruce Jacobs, of Market Neutral Strategies. A Chartered Financial Analyst, he has served on the CFA Institute's candidate curriculum committee and on the advisory board of POSIT.

Author Biography

Bruce Jacobs, Ph.D., and Kenneth Levy, Ph.D., (Roseland, NJ) are founders and principals of Jacobs Levy Equity Management.

Table of Contents

Introduction.

Part One: Selecting Securities.

Chapter 1. The Complexity of the Stock Market.

Chapter 2. Disentagling Equity Return Regularities: New Insights and Investment Opportunities.

Chapter 3. On the Value of 'Value'.

Chapter 4. Calendar Anomalies: Abnormal Returns at Calendar Turning Points.

Chapter 5. Forecasting the Size Effect.

Chapter 6. Earnings Estimates, Predictor Specifications, and Measurement Error.

Part Two: Managing Portfolios.

Chapter 7. Engineering Portfolios: A Unified Approach.

Chapter 8. The Law of One Alpha.

Chapter 9. Residual Risk: How Much Is Too Much?

Chapter 10. High-Definition Style Rotation.

Part Three: Expanding Opportunities.

Chapter 11. Long-Short Equity Investing.

Chapter 12. Myths about Long-Short.

Chapter 13. The Long and Short on Long-Short.

Chapter 14. Long-Short Portfolio Management: an Integrated Approach.

Chapter 15. Alpha Transport with Derivatives.

Index.