Modern Portfolio Management: Active Long/Short 130/30 Equity Strategies
Structure of the Book.
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.
SIMON EMRICH is Head of Quantitative and Derivative Strategies North America at Morgan Stanley. Most recently, he has worked on issues related to alpha-beta separation and the optimization of alpha views in a benchmark-relative portfolio context, as well as on the implications of the quant meltdown during the second half of 2007. He holds degrees from the London School of Economics and Université Catholique de Louvain, in Louvain-la-Neuve, Belgium.
ANTHONY BOVA, CFA, is a vice president with Morgan Stanley Equity Research's Global Strategy team, focusing on institutional portfolio strategy. Prior to his current role, Bova spent four years covering commodity chemicals at Morgan Stanley. Leibowitz and Bova recently received the ninth annual Bernstein Fabozzi/Jacobs Levy Awards for coauthoring "Gathering Implicit Alphas in a Beta World," cited as the best paper in the 2007 Journal of Portfolio Management.
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