20 Myths about Enhanced Active 120-20 Strategies
A Financial Analysts Journal Media Seminar
One of the most important developments in the wave of new portfolio techniques is enhanced active equity strategies of the 120-20 and 130-30 variety. Although these strategies have become increasingly popular in the search for alpha, they are not always well understood.
In this webcast, Bruce I. Jacobs discusses the following:
- Do 120-20 strategies increase investors’ flexibility to underweight and overweight securities?
- How do the strategies compare with market-neutral long–short strategies?
- Are they significantly riskier than long-only strategies because they use short positions and leverage?
This webcast comprises a 26-minute presentation and a 21-minute question-and-answer session.
This webcast is based on his Financial Analysts Journal article "20 Myths about Enhanced Active 120-20 Strategies" (July/August 2007).
Also available as a podcast:
Download MP3 (11 MB)
Speaker
Bruce I. Jacobs is co-founder and principal of Jacobs Levy Equity Management, a leading quantitative equity firm with over $20 billion in institutional assets under management. Dr. Jacobs is co-chief investment officer, portfolio manager, and co-director of research. He has received the Financial Analysts Journal Graham and Dodd Award and Journal of Portfolio Management and Journal of Investing outstanding article awards. He has introduced many new concepts, including market complexity, disentangling, pure returns, law of one alpha, integrated long-short optimization, and trimability. He is author of Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes, co-author of Equity Management: Quantitative Analysis for Stock Selection, and co-editor of Market Neutral Strategies. Dr. Jacobs has a BA from Columbia College, an MS in Operations Research and Computer Science from Columbia University School of Engineering and Applied Science, an MSIA from Carnegie Mellon's Graduate School of Industrial Administration, and a PhD in Finance from the Wharton School.
This information is accurate as of the date of recording.