An inside view of what makes market neutral strategies tick and how they can be implemented.
Market neutral strategies have gained attention for their potential to deliver positive returns regardless of the direction of underlying markets. As these strategies have built a record of good performance in recent years, their benefits have become apparent. Market Neutral Strategies draws on the wisdom and experience of professional practitioners to describe strategies that are being utilized by some of today's leading institutional investors.
This book provides readers with an insider's view of what makes these strategies work and how they can be implemented successfully. Topics covered include long-short equity and convertibles, fixed income and merger arbitrage; the tax and ERISA implications of market neutral investing; and the failure of two notorious "market neutral" ventures, Askin Capital Management and Long-Term Capital Management.
Bruce I. Jacobs (Florham Park, NJ) and Kenneth N. Levy are co-founders and principals of Jacobs Levy Equity Management, in Florham Park, New Jersey. They are co-authors of Equity Management: The Art and Science of Modern Quantitative Investing and Equity Management: Quantitative Analysis for Stock Selection. Bruce Jacobs holds a PhD in finance from the Wharton School of the University of Pennsylvania. He is also the author of Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes and Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes.
Bruce I. Jacobs and
Kenneth N. Levy are co-founders and co-chief investment officers of Jacobs Levy Equity Management, which is widely recognized as a leading provider of quantitative equity strategies for institutional clients. Our prestigious global roster of clients includes corporate pension plans, public retirement and sovereign wealth funds, Taft-Hartley plans,endowments/foundations, and sub-advised funds, including many of Pensions & Investments' "Top 200 Pension Funds/Sponsors."Bruce I. Jacobs holds a Ph.D. in finance from the Wharton School of the University of Pennsylvania. He is the author of Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes, and Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes, and co-author, with Ken Levy, of Equity Management: The Art and Science of Modern Quantitative Investing and Equity Management: Quantitative Analysis for Stock Selection. 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-author, with Bruce Jacobs, of Equity Management: The Art and Science of Modern Quantitative Investing and Equity Management: Quantitative Analysis for Stock Selection. A Chartered Financial Analyst, he has served on the CFA Institute's candidate curriculum committee.
Foreword by Mark Anson, PhD, Chief Investment Officer, CalPERS.
For more information, please visit the editors' website at jlem.com/research#/nav/books.
