The book draws on the wisdom and experience of professional practitioners to describe market neutral strategies that are being utilized by some leading institutional investors. The book covers the basics (including the sources of return and risk) of long-short equity, convertible arbitrage, merger arbitrage, government fixed-income arbitrage, and mortgage arbitrage; discusses how the alpha available from market neutral strategies can be “transported” to different asset classes in order to maximize both security selection and asset allocation; describes the tax implications of market neutral investing for taxable investors and the tax and ERISA issues for tax-exempt investors; and dissects the failures of two notorious “market-neutral” ventures-Askin Capital Management and Long-Term Capital Management.
Book Details:
- Author: Bruce I. Jacobs
- ISBN: 9780470303894
- Year Published: 2005
- Pages: 284
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
The book draws on the wisdom and experience of professional practitioners to describe market neutral strategies that are being utilized by some leading institutional investors. The book covers the basics (including the sources of return and risk) of long-short equity, convertible arbitrage, merger arbitrage, government fixed-income arbitrage, and mortgage arbitrage; discusses how the alpha available from market neutral strategies can be “transported” to different asset classes in order to maximize both security selection and asset allocation; describes the tax implications of market neutral investing for taxable investors and the tax and ERISA issues for tax-exempt investors; and dissects the failures of two notorious “market-neutral” ventures-Askin Capital Management and Long-Term Capital Management.
In today’s volatile markets, market neutral strategies have gained attention for their potential to deliver positive returns regardless of the direction of underlying markets. Such strategies offer new tools for enhancing return and controlling risk; new avenues for diversifying the risks of investing in equity and bonds; and new flexibility in asset allocation and fund management. As market neutral strategies have built a record of good performance, these benefits have become more evident, attracting the interest of institutional, as well as sophisticated individual, investors. This book aims to provide such investors with insiders’ views of what makes these strategies “tick.”
An insiders view of what makes market neutral strategies work. * Includes strategies that can be used to enhance investment returns and control market risk in today s volatile financial markets. * Contains easy-to-read and accessible language. * Written by professionals who actually practice these strategies.
About the Author
Bruce I. Jacobs and Kenneth N. Levy (editors) are cofounders and principals of Jacobs Levy Equity Management. Based in Florham Park, New Jersey, Jacobs Levy Equity Management currently manages $8 billion for more than 30 institutions, among them many of the world’s largest corporate pension plans, public retirement systems, multi-employer funds, endowments and foundations. Bruce I. Jacobs holds a Ph.D. 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 (1999) and coauthor, with Kenneth Levy, of Equity Management: Quantitative Analysis for Stock Selection (2000). He serves on the advisory board of the Journal of Portfolio Management. Jacobs lives in Florham Park, NJ. Kenneth N. Levy holds an M.B.A. and M.A. in Applied Economics from the Wharton School of the University of Pennsylvania. He is coauthor, with Bruce Jacobs, of Equity Management: Quantitative Analysis for Stock Selection. A Chartered Financial Analyst, he served on the Institute of Chartered Financial Analysts’ candidate curriculum committee and currently sits on the advisory board of POSIT. Foreword by Mark Anson, PhD, Chief Investment Officer, CalPERS. For more information, please visit the Editors’ website at www.jacobslevy.com/mns.