20 myths about enhanced active 120-20 strategies

Financial Analysts Journal

Volumn 63, Issue 4, 2007, Pages 19-26

  Jacobs, Bruce I ^a   Levy, Kenneth N ^a  

^a Jacobs Levy Equity Management   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34548158010     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v63.n4.4746     Document Type: Review

References (18)

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2. Ennis, Richard. 2001. "The Case for Whole-Stock Portfolios." Journal of Portfolio Management, vol. 27, no. 3 (Spring):17-26.
3. Jacobs, Bruce I. 2004. "Risk Avoidance and Market Fragility." Financial Analysts Journal, vol. 60, no. 1 (January/February):26-30.
4. Jacobs, Bruce I., and Kenneth N. Levy. 1993. "Long/Short Equity Investing." Journal of Portfolio Management, vol. 19, no. 1 (Fall):52-63.
5. _. 1995. "The Law of One Alpha." Journal of Portfolio Management, vol. 21, no. 3 (Summer):78-79.
6. _. 1996a. "Residual Risk: How Much Is Too Much?" Journal of Portfolio Management, vol. 22, no. 3 (Spring):10-16.
7. _. 1996b. "20 Myths about Long-Short." Financial Analysts Journal, vol. 52, no. 5 (September/October):81-65.
8. _. 1997. "The Long and Short on Long-Short." Journal of Investing, vol. 6, no. 1 (Spring):73-86.
9. _. 1999. "Alpha Transport with Derivatives." Journal of Portfolio Management, vol. 25, Special Issue (May):55-60.
10. _, eds. 2005. Market Neutral Strategies. Hoboken, NJ: John Wiley.
11. _. 2006. "Enhanced Active Equity Strategies: Relaxing the Long-Only Constraint in the Pursuit of Active Return." Journal of Portfolio Management, vol. 32, no. 3 (Spring):45-55.
12. _. Forthcoming 2007. "Enhanced Active Equity Portfolios Are Trim Equitized Long-Short Portfolios." Journal of Portfolio Management.
13. Jacobs, Bruce I., Kenneth N. Levy, and Harry M. Markowitz. 2005. "Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions." Operations Research, vol. 53, no. 4 (July/August):586- 599.
14. _. 2006. "Trimability and Fast Optimization of Long-Short Portfolios." Financial Analysts Journal, vol. 62, no. 2 (March/April):36-46.
15. Jacobs, Bruce I., Kenneth N. Levy, and David Starer. 1998. "On the Optimality of Long-Short Strategies." Financial Analysts Journal, vol. 54, no. 2 (March/April):40-51.
16. _. 1999. "Long-Short Portfolio Management: An Integrated Approach." Journal of Portfolio Management, vol. 25, no. 2 (Winter):23-32.
17. Miller, Edward. 2001. "Why the Low Returns to Beta and Other Forms of Risk?" Journal of Portfolio Management, vol. 27, no. 2 (Winter):40-55.
18. Patterson, Scott. 2006. "A Strategy Aiming to Pump Returns Gains Clout but May Be 'No Free Lunch'." Wall Street Journal (13 October):C1.