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Modern Portfolio Management: Active Long/Short 130/30 Equity Strategies

Modern Portfolio Management: Active Long/Short 130/30 Equity Strategies

Martin L. Leibowitz, Simon Emrich, Anthony Bova

ISBN: 978-0-470-48494-4

Jan 2009

511 pages



Active 130/30 Extensions is the newest wave of disciplined investment strategies that involves asymmetric decision-making on long/short portfolio decisions, concentrated investment risk-taking in contrast to diversification, systematic portfolio risk management, and flexibility in portfolio design. This strategy is the building block for a number of 130/30 and 120/20 investment strategies offered to institutional and sophisticated high net worth individual investors who want to manage their portfolios actively and aggressively to outperform the market.
Foreword: The High and Low of 130/30 Investing.

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.