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

by Martin L. Leibowitz; Simon Emrich; Anthony Bova

• ISBN13: 9780470430361
• ISBN10: 0470430362
• Format: eBook
• Copyright: 2009-01-01
• Publisher: Wiley

Summary

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.

Table of Contents

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.