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
cofounders and principals of Jacobs Levy Equity Management, in
Florham Park, New Jersey. They are coauthors of Equity Management:
Quantitative Analysis for Stock Selection. Bruce Jacobs holds a Ph D
in finance from the Wharton School of the University of
Pennsylvania. He is also the author of Capital Ideas and Market
Realities: Option Replication, Investor Behavior, and Stock Market
Crashes.
Table of Content
Foreword (Mark Anson).
Acknowledgments.
About the Editors.
Contributing Authors.
Chapter 1: Introduction (Bruce I. Jacobs and Kenneth N.
Levy).
Chapter 2: Questions and Answers About Market Neutral Investing
(Jane Buchan, Bruce I. Jacobs, and Kenneth N. Levy).
Chapter 3: Market Neutral Equity Investing (Bruce I. Jacobs and
Kenneth N. Levy).
Chapter 4: Convertible Bond Hedging (Jane Buchan).
Chapter 5: Sovereign Fixed-Income Arbitrage (John Maltby).
Chapter 6: Market Neutral Strategies with Mortgage-Backed
Securities (George E. Hall and Seth C. Fischoff).
Chapter 7: Merger Arbitrage (Daniel S. Och and Todd C.
Pulvino).
Chapter 8: Transporting Alpha (Bruce I. Jacobs and Kenneth N.
Levy).
Chapter 9: A Tale of Two Hedge Funds (Bruce I. Jacobs and
Kenneth N. Levy).
Chapter 10: Significant Tax Considerations for Taxable Investors
in Market Neutral Strategies (Peter E. Pront and John E.
Tavss).
Chapter 11: Tax-Exempt Organizations and Other Special
Categories of Investors: Tax and ERISA Concerns (Peter E. Pront and
S. John Ryan).
Chapter 12: Afterword (Bruce I. Jacobs and Kenneth N. Levy).
GLOSSARY.
INDEX.
About the author
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 $20 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 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 and coauthor, with Kenneth Levy,
of 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 coauthor, with Bruce Jacobs, of Equity
Management: Quantitative Analysis for Stock Selection. A Chartered
Financial Analyst, he has served on the CFA Institute’s candidate
curriculum committee and on the advisory board of POSIT.
Foreword by Mark Anson, Ph D, Chief Investment Officer,
Cal PERS. For more information, please visit the Editors’ website at
www.jacobslevy.com/mns
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