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The Impact of Jacobs Levy Concepts on Investment Theory and Practice

The most gratifying aspect of our work at Jacobs Levy is the successful management of client portfolios, using the insights from our proprietary research. But it has also been gratifying to see how the concepts underlying this research have been accepted and recognized by the investment industry.

Our articles have won six awards—from the Financial Analysts Journal, Journal of Portfolio Management, and Journal of Investing—and been translated into Japanese and Chinese. Many have become required reading for the CFA program.

We have presented our ideas at major industry conferences and seminars, including the CFA Institute, University of California-Berkeley Program in Finance (BPF), and Institute for Quantitative Research in Finance (Q Group). Business schools at Columbia, Harvard, the University of Pennsylvania’s Wharton, University of London, Stockholm School of Economics, Hong Kong University of Science and Technology, and National University of Singapore have included our articles in courses ranging from “Security Analysis” to “Behavioral Finance,” “Portfolio Management,” “Financial Modeling,” “Hedge Funds,” and “Financial Risk Management.” Our books are available at university libraries across the world, including Stanford, Yale, Cambridge (England), Erasmus University (The Netherlands), University of Melbourne (Australia), King Saud University (Saudi Arabia), and Thammasat University (Thailand).

The impact of our ideas on investment practice is evident in the industry’s adoption of many of our terms and concepts, including “market complexity,” “disentangling,” “multidimensional market,” “pure returns,” “law of one alpha,” “integrated long-short optimization,” “trimability,” “unique risks of leverage,” “leverage aversion,” “mean-variance-leverage optimization,” and “enhanced active equity 130-30 strategy.” Our work is widely cited in consultant publications, Wall Street research reports, academic and practitioner articles, and investment books, and has also received favorable industry press coverage in the Wall Street Journal, Institutional Investor, and Pensions & Investments.

Awards/Recognition

  • Journal of Portfolio Management Special 40th Anniversary Issue features “Ten Investment Insights that Matter,” September 2014.
  • Graham & Dodd Readers’ Choice Award presented by the CFA Institute to “Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis,” Financial Analysts Journal, March/April 2009.
  • Graham & Dodd Readers’ Choice Award presented by the CFA Institute to “20 Myths About Enhanced Active 120-20 Strategies,” Financial Analysts Journal, July/August 2007.
  • Graham & Dodd Award presented by the CFA Institute to “20 Myths About Enhanced Active 120-20 Strategies,” Financial Analysts Journal, July/August 2007.
  • Journal of Portfolio Management Special 30th Anniversary Issue features “Financial Market Simulation,” September 2004.
  • Journal of Portfolio Management Special 25th Anniversary Issue features “Alpha Transport with Derivatives,” May 1999.
  • Bernstein Fabozzi/Jacobs Levy Award presented by the Journal of Portfolio Management to “Long-Short Portfolio Management: An Integrated Approach,” Journal of Portfolio Management, Winter 1999.
  • Journal of Investing Outstanding Article Award presented to “Option Pricing Theory and its Unintended Consequences,” Spring 1998.
  • Streetwise: The Best of The Journal of Portfolio Management edited by Peter L. Bernstein and Frank J. Fabozzi (Princeton University Press, 1998) features “The Complexity of the Stock Market,” Journal of Portfolio Management, Fall 1989. 
  • Graham & Dodd Award presented by the Association for Investment Management and Research to “Disentangling Equity Return Regularities: New Insights and Investment Opportunities,” Financial Analysts Journal, May/June 1988.
In Translation
  • Authorized Chinese Translation by China Machine Press, 2006: Equity Management: Quantitative Analysis for Stock Selection, by Bruce I. Jacobs and Kenneth N. Levy, McGraw-Hill.
  • Security Analysts Journal of Japan, March 1994: “Long/Short Equity Investing,” originally published in the Journal of Portfolio Management, Fall 1993.
  • Security Analysts Journal of Japan, March and April 1990: “Disentangling Equity Return Regularities: New Insights and Investment Opportunities,” originally published in Financial Analysts Journal, May/June 1988.
Presentations
  • The Rady School of Management, University of California, San Diego: Keynote on “Future Projections of Modern Portfolio Theory” at the 25th anniversary commemoration of the Nobel Prize in economic sciences to Harry M. Markowitz, October 16, 2015.
  • The Wharton School: “Panel: Is Smart Beta State of the Art?” at the Forum on The Alpha and Beta of Factor Investing, May 1, 2015.
  • The Wharton School: “Leverage Aversion—A Third Dimension in Portfolio Theory and Practice,” keynote at the Forum on Quantitative Finance, October 23, 2013.
  • CFA Institute: “20 Myths About Enhanced Active 120-20 Strategies,” FAJ Webcast, September 19, 2007. webcast
  • Morgan Stanley: “Understanding and Managing Active Extension (or 120/20) Long/Short, Beta One, Equity Portfolios,” at the Global Absolute Return Congress, October 24, 2006.
  • Goldman Sachs: “The Next Generation of Active Return: Enhanced Active Equity Strategies,” at conference on Remodeling the Investment Process—A Progress Report and Challenges Ahead, September 21, 2006.
  • Princeton University: “Jacobs Levy Markowitz Simulation,” September 22, 2005.
  • Carnegie Mellon University: “Jacobs Levy Markowitz Simulation,” September 15, 2005.
  • Derivatives Strategy Roundtable: “2000 Hall of Fame Roundtable: Portfolio Insurance Revisited,” August 2000.
  • New York Society of Security Analysts (NYSSA): “Capital Ideas and Market Realities,” November 23, 1999.
  • Association for Investment Management and Research (AIMR): “Controlled Risk Strategies,” at conference on Alternative Investing, March 1998.
  • Society of Quantitative Analysts (SQA): “On The Optimality of Long-Short Strategies,” at conference on Quantitative Approaches to Market Neutral Investing, November 1997.
  • Institute for Quantitative Research in Finance (Q Group): “The Long and Short on Long-Short,” at conference on Long/Short Strategies in Equities and Fixed Income, Fall 1995.
  • New York Society of Security Analysts (NYSSA): “Trading Electronically Come of Age: Rocket Science Becomes Daily Trading Tools,” at conference on Financial Investment Management, September 1993.
  • Association for Investment Management and Research (AIMR): “The Long and Short of It,” at conference on Innovation: The Ripple that Starts the Wave, May 1993.
  • Association for Investment Management and Research (AIMR): “A Long-Plus-Short Market Neutral Strategy,” at conference on The CAPM Controversy: Policy and Strategy Implications for Investment Management, March 1993.
  • Society of Quantitative Analysts (SQA): Panel on “What’s Behind Hedged Portfolios: Practical Approaches to Long-Short Strategies,” November 1991.
  • New York Society of Security Analysts (NYSSA): Panel on “Market Neutral Equity Strategies,” November 1991.
  • Institute for Quantitative Research in Finance (Q Group): “Stock Market Complexity and Investment Opportunity,” at conference on New Perspectives on Equity Valuation, Spring 1990.
  • Financial Analysts Federation (FAF): “Equity Evaluation Methods and Strategies: From Tried and True to New,” at conference on Challenging the 90s, May 1989.
  • Institute of Chartered Financial Analysts (ICFA): “How Dividend Discount Models Can Be Used to Add Value,” at conference on Improving Portfolio Performance with Quantitative Models, April 1989.
  • Institute of Chartered Financial Analysts (ICFA): “Disentangling Equity Return Regularities,” at conference on Equity Markets and Valuation Methods, September 1987.
  • University of California-Berkeley Program in Finance (BPF): “Anomaly Capture Strategies,” at conference on The Behavior of Security Prices: Market Efficiency, Anomalies and Trading Strategies, September 1986.
Citations
    Consultants

  • Wilshire Associates: “130/30 Funds: The Evolution of Active Equity Investing,” by Charles Krusen (Alpha Equity Management), Florian Weber (Wilshire Associates), and Robert A. Weigand (Washburn University School of Business), A Guide to 130/30 Strategies, Institutional Investor, Summer 2008.
  • Russell Investments: “Considerations in Assessing Limited Long/Short Strategies,” by Matt Dmytryszyn, John Forrest, and Paul Kreiselmaier, A Guide to 130/30 Strategies, Institutional Investor, Summer 2008.
  • ETF Consultants: “The Short Side of 130/30 Investing: For the Conservative Portfolio Manager,” by Gary L. Gastineau, Journal of Portfolio Management, Winter 2008.
  • Wilshire Consulting: “Short-Extension Strategies: To 130/30 and Beyond!” by Steven J. Foresti and Michael E. Rush, August 16, 2007.
  • Ennis Knupp: “Can Public Funds Compete?” by Richard M. Ennis, Journal of Investment Consulting, Winter 2003/2004.
  • Capital Market Risk Advisors: Hedge Fund Risk Transparency: Unraveling the Complex and Controversial Debate, by Leslie Rahl, Risk Books, London, 2003.
  • Ennis Knupp: “The Case for Whole-Stock Portfolios,” by Richard M. Ennis, Journal of Portfolio Management, Spring 2001.
  • Frank Russell: “The Long and Short of Market-Neutral Investing,” by Sheena Spear and Steve Wiltshire, Russell Research Commentary, July 2000.
  • BARRA RogersCasey: “Market Neutral Investing,” BARRA RogersCasey Research Insights, 2000.
  • Mercer: “An Overview of Long-Short Equity Investing,” by Steven F. Freed, November 29, 1999.
  • Frank Russell: “Quantitative Research is King at Jacobs Levy,” Portfolio, July 1998.
  • Frank Russell: “The Information Ratio: More Than You Ever Wanted to Know About One Performance Measure,” by Thomas H. Goodwin, Russell Research Commentary, November 1997 (and Financial Analysts Journal, July/August 1998).
  • Towers Perrin: “Market-Neutral Long-Short Equity Strategies,” by Naozer D. Dadachanji, December 1994.
  • SEI: “Understanding Top-Quartile Performance—Part II,” by Gilbert L. Beebower, in Performance Measurement: Setting the Standards, Interpreting the Numbers, Financial Analysts Federation and Institute of Chartered Financial Analysts, 1989.
    Financial Institutions

  • Bank of America Merrill Lynch: “Redefining Indexing Using Smart Beta Strategies,” by Emmanuel D. Hatzakis, September 2015.
  • Deutsche Bank Securities: “Style Rotation,” Global Markets Research GTAA/Signal Processing, September 2010.
  • The Credit Suisse: “The Credit Suisse 130/30 Index: A Summary and Performance Comparison,” by Jasmina Hasanhodzic, Andrew W. Lo, Pankaj N. Patel, September 2009.
  • Wegelin & Co.: “Predicting Premiums for the Market, Size, Value, and Momentum Factors,” by Michael Steiner, Financial Markets and Portfolio Management, June 2009.
  • Morgan Stanley: “Active 130/30 Extensions and Diversified Asset Allocations,” by Martin L. Leibowitz and Anthony Bova, A Guide to 130/30 Strategies, Institutional Investor, Summer 2008.
  • BNY Mellon: “Long-Short Portfolio Analytics,” by David Asermely, Journal of Performance Measurement, Summer 2008.
  • Morgan Stanley: “Active 130/30 Extensions: Alpha Hunting at the Fund Level,” by Martin L. Leibowitz and Anthony Bova, Journal of Investment Management, Third Quarter 2007.
  • Morgan Stanley: “Using Cointegration to Hedge and Trade International Equities,” by A. Neil Burgess, in Christian Dunis, Jason Laws, and Patrick Naim, Eds., Applied Quantitative Methods for Trading and Investment, Wiley/Finance, West Sussex, UK, 2003.
  • UBS Warburg: “Who’s Long? Market-Neutral versus Long/Short Equity,” by Alexander M. Ineichen, Journal of Alternative Investments, Spring 2002.
  • Chase Manhattan: Physics of Finance, by Kirill Ilinski, John Wiley, West Sussex, UK, 2001.
  • Merrill Lynch: “Skill and Turnover: Requirements for Investment Performance,” by Jason Glazier and Kathryn Wilkens, Journal of Alternative Investments, Summer 1999.
  • SBC Warburg: “A Simple Multi-Factor Model of the New Zealand Equity Market,” by Ian Nield, August 1997.
  • Prudential-Bache: “Quantum,” by Melissa R. Brown, April 1989.
  • Merrill Lynch: “Quantitative Viewpoint: Torpedo Ahead!” by Richard Bernstein and Charles L. Clough, Jr., December 20, 1988.
  • Kidder Peabody: “Equity Research: Quantitative Asset Allocation,” by George H. Boyd III, September 20, 1988.
  • Goldman Sachs: “Portfolio Strategy: Stock Selection,” by Robert C. Jones, August 31, 1988.
    Investment Systems and Financial Services

  • MSCI Barra: “Managing the Unique Risks of Leverage with the Barra Optimizer: Theory and Practice,” by Scott Liu and Rong Xu, Research Insights, July 2014.
  • MSCI Barra: “Long-Short Optimization in Barra Optimizer,” by Shucheng Scott Liu and Rong Xu, July 28, 2010.
  • S&P Indices: “130-30 Anyone? The S&P/TSX 60 130/30 Strategy Index,” by Philip Murphy, S&P Indices Research Insights, January 2010.
  • Essex River Analytics: “Bespoke Attribution: Illustrating the Manager’s Process,” by Mark R. David, Journal of Performance Measurement, Winter 2009/2010.
  • Axioma: “Diagnosing When Leverage Will Benefit Active Equity Funds,” by Anthony Renshaw, Axioma Advisor, May 2008.
  • Fitch Investors Service and I/B/E/S: “Using Earnings Estimates for Global Asset Allocation,” by Joseph F. Emanuelli and Randal G. Pearson, Financial Analysts Journal, Vol. 5, No. 2, March/April 1994.
  • MSCI Barra: “130/30 Implementation Challenges,” by Dimitris Melas and Raghu Suryanarayanan, Horizon, Q1 2008.
  • Plexus: “Ten Myths and Twenty Years of Betas,” by Wayne H. Wagner, Journal of Portfolio Management, Fall 1994.
  • Vestek Systems: “Multifactor System," 1993.
  • BARRA: “Advances in Equity Valuation Models,” by Peter Muller, in Investing Worldwide III, Association for Investment Management and Research and International Society of Financial Analysts, February 23, 1992.
  • I/B/E/S: “New Study Finds I/B/E/S is a Key to Superior Returns,” 1988.
    Academics

  • Volkan Kayacetin and Sened Lekpek, Ozyegin University, Turkey: “Turn-of-the-Month Effect: New Evidence from an Emerging Stock Market,” Finance Research Letters, Vol. 16, February 2016.
  • Harry M. Markowitz, Research Professor, Rady School of Management, University of California at San Diego: Risk-Return Analysis: The Theory and Practice of Rational Investing, Volume 2, McGraw-Hill Education, New York, 2016.
  • Scott Cederburg, University of Arizona, and Michael S. O’Doherty, University of Missouri: “Asset-Pricing Anomalies at the Firm Level,” Journal of Econometrics, Vol. 186, No. 1, May 2015.
  • Sebastian Lleo, NEOMA Business School, France, and William T. Ziemba, University of British Columbia: “Some Historical Perspectives on the Bond-Stock Earnings Yield Model for Crash Prediction Around the World,” International Journal of Forecasting, Vol. 31, Issue 2, April-June 2015.
  • Matteo Rossi, University of Sannio, Italy: “The Efficient Market Hypothesis and Calendar Anomalies: A Literature Review,” International Journal of Managerial and Financial Accounting, Vol. 7, Nos. 3/4, 2015.
  • Jeremiah Green, Penn State University, John R. M. Hand, University of North Carolina at Chapel Hill, and X. Frank Zhang, Yale University: “The Remarkable Multidimensionality in the Cross-Section of Expected U.S. Stock Returns,” SSRN.com, Working Paper, July 29, 2014.
  • Peter Harris, New York Institute of Technology, and Paul R. Kutasovic, New York Institute of Technology: “FASB 157 and the Subprime Mortgage Crisis,” International Journal of Economic Research, Vol. 10, No. 1, January-June 2013.
  • Harry M. Markowitz, Research Professor, Rady School of Management, University of California at San Diego: “How to Represent Mark-to-Market Possibilities with the General Portfolio Selection Model,” Journal of Portfolio Management, Summer 2013.
  • Hao Yu, Gilbert V. Nartea, Christopher Gan, Lincoln University, New Zealand, and Lee J. Yao, Loyola University: “Predictive Ability and Profitability of Simple Technical Trading Rule: Recent Evidence from Southeast Asian Stock Markets,” International Review of Economics and Finance, Vol. 25, 2013.
  • Aswath Damodaran, New York University: Investment Philosophies: Successful Strategies and the Investors Who Made Them Work, John Wiley & Sons, Hoboken, NJ, 2012.
  • Panos Xidonas, National Technical University of Athens, George Mavrotas, National Technical University of Athens, Theodore Krintas, Attica Wealth Management, John Psarras, National Technical University of Athens, and Constantin Zopounidis, Technical University of Crete: Multicriteria Portfolio Management, Springer, New York, NY, 2012.
  • William T. Ziemba, University of British Columbia: Calendar Anomalies and Arbitrage, World Scientific, Hackensack, NJ, 2012.
  • Roland Füss, European Business School, Germany, Julia Hille, Credit Suisse, Philipp Rindler, European Business School, Germany, and Jörg Schmidt and Michael Schmidt, Union Investment Institutional: “From Rising Stars and Falling Angels: On the Relationship Between the Performance and Ratings of German Mutual Funds,” Journal of Wealth Management, Summer 2010.
  • Necmi K. Avkiran, UQ Business School, University of Queensland, Australia and Hiroshi Morita, Osaka University, Japan: “Predicting Japanese Bank Stock Performance with a Composite Relative Efficiency Metric: A New Investment Tool,” Pacific-Basin Finance Journal, June 2010.
  • Constantine Dzhabarov, Alpha Lake Financial Analytics and William T. Ziemba, University of British Columbia: “Do Seasonal Anomalies Still Work?” Journal of Portfolio Management, Spring 2010.
  • Marida Bertocchi, University of Bergamo, Sandra L. Schwartz, University of British Columbia, and William T. Ziemba, University of British Columbia: Optimizing the Aging, Retirement and Pensions Dilemma, John Wiley & Sons, Hoboken, NJ, 2010.
  • Shiok Ye Lim and Chong Mun Ho, University of Malaysia, and Brian Dollery, University of New England, Australia: “An Empirical Analysis of Calendar Anomalies in the Malaysian Stock Market,” Applied Financial Economics, February 2010.
  • Massimo Guidolin, Manchester Business School and Federal Reserve Bank of St. Louis, and Francesca Rinaldi, Federal Reserve Bank of St. Louis: “A Simple Model of Trading and Pricing Risky Assets Under Ambiguity: Any Lessons for Policy-Makers?” Applied Financial Economics, January/February 2010.
  • James H. Vander Weide, Fuqua School of Business, Duke University: “Principles for Lifetime Portfolio Selection: Lessons from Portfolio Theory,” in John B. Guerard, Jr., Ed., Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, Springer, New York, 2010.
  • Andrew H. Chen, Cox School of Business, Southern Methodist University, Frank J. Fabozzi, School of Management, Yale University, and Dashan Huang, Olin Business School, Washington University: “Models for Portfolio Revision with Transaction Costs in the Mean-Variance Framework,” in John B. Guerard, Jr., Ed., Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, Springer, New York, 2010.
  • Jarrod Wilcox, Wilcox Investment, Inc., and Frank J. Fabozzi, School of Management, Yale University: “A Discretionary Wealth Approach for Investment Policy,” Journal of Portfolio Management, Fall 2009.
  • Helmut Gründl and Thomas Post, Humboldt Universität zu Berlin: “Transparency through Financial Claims with “Fingerprints”: A Mechanism for Preventing Financial Crises,” Financial Analysts Journal, September/October 2009.
  • John R. Latham, University of Northern Colorado: “Complex System Design: Creating Sustainable Change in the Mortgage-Finance System,” Quality Management Journal, July 2009.
  • Gordon J. Alexander, University of Minnesota, Alexandre M. Baptista, George Washington University, and Shu Yan, University of South Carolina: “Reducing Estimation Risk in Optimal Portfolio Selection When Short Sales are Allowed,” Managerial and Decision Economics, July 2009.
  • Xiaoling Sun, School of Management, Fudan University, Shanghai, SF Niu, College of Mathematics and Information Science, Northwest Normal University, China, and Duan Li, Chinese University of Hong Kong: “An Exact Algorithm for Factor Model in Portfolio Selection with Roundlot Constraints,” Optimization, April 2009.
  • Kerstin Schmidt-Beck, Justus-Liebig-Universität Giessen: “Remembering Global Crises: ‘Doing and Un-doing History’ in Narrative and Discourse: the German Stock Market Decline (2000-2003),” International Journal of Management Concepts and Philosophy, Vol. 3, No. 3, 2009.
  • Frank K. Reilly, University of Notre Dame, and Keith C. Brown, University of Texas: Investment Analysis and Portfolio Management, South-Western Cengage Learning, Mason, OH, 2009.
  • Ahmed Kamaly and Eskandar A. Tooma, The American University in Cairo: “Calendar Anomalies and Stock Market Volatility in Selected Arab Stock Exchanges,” Applied Financial Economics, Vol. 18, 2008.
  • Michael Stein, Jürgen Branke, and Hartmut Schmeck, Institute for Applied Informatics and Formal Description Methods, University of Karlsruhe, Germany: “Efficient Implementation of an Active Set Algorithm for Large-Scale Portfolio Selection,” Computers & Operations Research, December 2008.
  • Wolfgang Mader, University of Augsburg: Hedge Funds: Alternative Investment Strategies and Portfolio Models, VDM, Saarbrücken, Germany, 2008.
  • Frank J. Fabozzi, Yale School of Management: “Fundamentals of Investing,” in Frank J. Fabozzi, Ed., Handbook of Finance, Volume I: Financial Markets and Instruments, John Wiley & Sons, Hoboken, NJ, 2008.
  • Andrew W. Lo, Sloan School of Management, MIT, and Pankaj N. Patel, Credit Suisse: “130/30: The New Long-Only,” Journal of Portfolio Management, Winter 2008.
  • N.C.P. Edirisinghe, College of Business Administration, University of Tennessee: “Integrated Risk Control Using Stochastic Programming ALM Models for Money Management,” in S.A. Zenios and W.T. Ziemba, Eds., Handbook of Asset and Liability Management, Volume 2: Applications and Case Studies, North-Holland, Amsterdam, 2007.
  • Harry M. Markowitz, Research Professor, Rady School of Management, University of California at San Diego, and Erik van Dijk, Compendeon b.v.: “Risk-Return Analysis,” in S.A. Zenios and W.T. Ziemba, Eds., Handbook of Asset and Liability Management: Theory and Methodology, Handbooks in Finance 2, North Holland, Amsterdam, 2007.
  • Rachel E.S. Ziemba, Roubini Global Economics, and William T. Ziemba, University of British Columbia: Scenarios for Risk Management and Global Investment Strategies, John Wiley & Sons, Hoboken, NJ, 2007.
  • Glen A. Larsen, Jr. and Steven L. Jones, Kelley School of Business, Indiana University: “Implications for Enhanced Portfolio Performance Based on the Information Content of Short Interest,” Journal of Financial Education, Winter 2006 and Fall 2007.
  • Harry M. Markowitz, Research Professor, Rady School of Management, University of California at San Diego: “Market Efficiency: A Theoretical Distinction and So What?” Financial Analysts Journal, September/October 2005.
  • William T. Ziemba, University of British Columbia: “Scenarios III: Using Economic Fundamentals to Generate Scenarios,” Wilmott Magazine, July/August 2005.
  • Steve Hogan, Credit Suisse First Boston, Robert Jarrow, Johnson Graduate School of Management, Cornell University, Melvyn Teo, Singapore Management University, School of Business, and Mitch Warachka, FDO Partners: “Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies,” Journal of Financial Economics, September 2004.
  • Steven L. Jones and Glen Larsen, Kelley School of Business, Indiana University: “How Short Selling Expands the Investment Opportunity Set and Improves Upon Potential Portfolio Efficiency,” in Frank J. Fabozzi, Ed., Short Selling: Strategies, Risks, and Rewards, John Wiley, Hoboken, NJ, 2004.
  • Edward M. Miller, University of New Orleans: “Restrictions on Short Selling and Exploitable Opportunities for Investors,” and “Implications of Short Selling and Divergence of Opinion for Investment Strategy,” in Frank J. Fabozzi, Ed., Short Selling: Strategies, Risks, and Rewards, John Wiley & Sons, Hoboken, NJ, 2004.
  • Francois-Serge Lhabitant, EDHEC Business School (France) and University of Lausanne (Switzerland): Hedge Funds: Quantitative Insights, Wiley/Finance, West Sussex, UK, 2004.
  • Joseph L. McCauley, University of Houston: Dynamics of Markets: Econophysics and Finance, Cambridge University Press, Cambridge, UK, 2004.
  • Michel Fleuriet, Wharton School, University of Pennsylvania: Finance, A Fine Art, John Wiley, West Sussex, UK, 2003.
  • Aswath Damodaran, Leonard N. Stern School of Business, NYU: Investment Philosophies: Successful Strategies and the Investors Who Made Them Work, John Wiley, Hoboken, NJ, 2003.
  • Frank J. Fabozzi, School of Management, Yale University, and Harry M. Markowitz, Nobel Laureate, Eds.: The Theory & Practice of Investment Management, John Wiley, Hoboken, NJ, 2002.
  • Paul Usman Ali, University of Melbourne, and Martin L. Gold, University of Wollongong: “An Overview of ‘Portable Alpha’ Strategies, with Practical Guidance for Fiduciaries and Some Comments on the Prudent Investor Rule,” Company and Securities Law Journal, June 2001.
  • Edward M. Miller, University of New Orleans: “Why the Low Returns to Beta and Other Forms of Risk?” Journal of Portfolio Management, Winter 2001.
  • Chris R. Hensel, Frank Russell, Gordon A. Sick, University of Calgary, and William T. Ziemba, University of British Columbia: “A Long Term Examination of the Turn-of-the-Month Effect in the S&P 500,” in Donald B. Keim and William T. Ziemba, Eds., Security Market Imperfections in Worldwide Equity Markets, Cambridge University Press, Cambridge, 2000.
  • Sandra L. Schwartz, University of British Columbia, and William T. Ziemba, University of British Columbia: “Predicting Returns on the Tokyo Stock Exchange,” in Donald B. Keim and William T. Ziemba, Eds., Security Market Imperfections in Worldwide Equity Markets, Cambridge University Press, Cambridge, 2000.
  • Gabriel Hawawini, INSEAD, and Donald B. Keim, Wharton School, University of Pennsylvania: “The Cross-Section of Common Stock Returns: A Review of the Evidence and Some New Findings,” in Donald B. Keim and William T. Ziemba, Eds., Security Market Imperfections in Worldwide Equity Markets, Cambridge University Press, Cambridge, 2000.
  • Frank J. Fabozzi, Yale University: “Factor-Based Approach to Equity Portfolio Management,” in T. Daniel Coggin and Frank J. Fabozzi, Eds., Applied Equity Valuation, Frank J. Fabozzi Associates, New Hope, PA, 1999.
  • C.J. Adcock, University of Bath, Bath, and E.A. Clark, Middlesex University, UK: “Beta Lives – Some Statistical Perspectives on the Capital Asset Pricing Model,” The European Journal of Finance, Vol. 5, 1999.
  • John M. Mulvey, Princeton University, and William T. Ziemba, University of British Columbia: Worldwide Asset and Liability Modeling, Cambridge University Press, 1998.
  • Zsuzsanna Fluck, New York University, Burton G. Malkiel, and Richard E. Quandt, Princeton University: “The Predictability of Stock Returns: A Cross-Sectional Simulation,” The Review of Economics and Statistics, Vol. 79, No. 2, May 1997.
  • Donald B. Keim, Wharton School, University of Pennsylvania: “The Cross Section of Stock Returns: A Synthesis of the Evidence and Explanations,” Presentation to the Institute for Quantitative Research in Finance (Q Group), October 22, 1996.
  • Aswath Damodaran, Leonard N. Stern School of Business, NYU: Investment Valuation: Tools and Techniques for Determining the Value of Any Asset, John Wiley, New York, 1996.
  • Robert G. Bowman, University of Auckland, and John Buchanan, University of Waikato: “The Efficient Market Hypothesis—A Discussion on Institutional, Agency and Behavioural Issues,” Australian Journal of Management, December 1995.
  • William F. Sharpe, Stanford University, Gordon J. Alexander, University of Minnesota, and Jeffrey V. Bailey, Richards & Tierney, Inc.: Investments, fifth edition, Prentice Hall, Englewood Cliffs, NJ, 1995.
  • Frank J. Fabozzi, School of Management, Yale University: Investment Management, Prentice-Hall, Englewood Cliffs, NJ, 1995.
  • Gabriel Hawawini, INSEAD, and Donald B. Keim, Wharton School, University of Pennsylvania: “On the Predictability of Common Stock Returns: World-Wide Evidence,” in R.A. Jarrow, V. Maksimovic and W.T. Ziemba, Eds., Handbooks in Operations Research and Management Science, Vol. 9, Elsevier Science, Amsterdam, 1995.
  • M. Bloch, John Guerard, Harry M. Markowitz, Petra Todd, and Ganlin Xu, Daiwa Securities Trust Company, “A Comparison of Some Aspects of the U.S. and Japanese Equity Markets,” Japan and the World Economy, Vol. 5, 1993.
  • Carl D. Hudson, John S. Jahera, Jr., and William P. Lloyd, Auburn University, “Further Evidence on the Relationship Between Ownership and Performance,” The Financial Review, Vol. 27, No. 2, May 1992.
  • Raj Aggarwal and David C. Schirm, John Carroll University: “The Predictive Power of January Returns and the Political-Business Cycle,” International Review of Financial Analysis, Vol. 1, No. 3, 1992.
  • Frank J. Fabozzi and Franco Modigliani, Sloan School of Management, MIT: Capital Markets: Institutions and Instruments, Prentice Hall, Englewood Cliffs, NJ, 1992.
  • William T. Ziemba, University of British Columbia, and Sandra L. Schwartz, Simon Fraser University: Invest Japan, Probus, Chicago, 1992.
  • Simon M. Keane, Glasgow University: “Paradox in the Current Crisis in Efficient Market Theory,” Journal of Portfolio Management, Winter 1991.
  • Jack Clark Francis, Bernard M. Baruch College, City University of New York: Investments: Analysis and Management, McGraw-Hill, New York, 1991.
  • Edward M. Miller, University of New Orleans: “Divergence of Opinion, Short Selling, and the Role of the Marginal Investor,” in Managing Institutional Assets, Harper & Row, New York, 1990.
  • Laurence S. Copeland, University of Manchester Institute of Science and Technology, UK: “Market Efficiency Before and After the Crash,” The Journal of Applied Public Economics, Vol. 10, No. 3, August 1989.
  • Lawrence H. Summers, Harvard University: “Predicting Expected Return,” in Quantifying the Market Risk Premium Phenomenon for Investment Decision Making, Institute of Chartered Financial Analysts, Charlottesville, VA, 1989. 
    Regulatory and Government Agencies

  • Committee to Establish the National Institute of Finance: Financial Regulatory Reform, Background-Readings on Systemic Risk Research, www.ce-nif.org/background-readings.
  • National Association of State Treasurers: “Investment Pools: The Sum of the Parts,” presented by Laura B. Glenn, State of Georgia Office of Treasury, at NAST Treasury Management Conference, May 2009.
  • Bank for International Settlements: “Are Changes in Financial Structure Extending Safety Nets?” by William R. White, BIS Working Paper 145, January 2004.
  • National Stock Exchange of India Limited: “Short Selling and Its Regulation in India in International Perspective,” by L.C. Gupta, NSE Research Initiative Paper No. 12, May 2002.
    Investment Managers

  • John B. Guerard, Jr., and Sundaram Chettiappan, McKinley Capital, and GanLin Xu, Guided-Choice.com: “Stock-Selection Modeling and Data Mining Corrections: Long-Only Versus 130/30 Models,” in John B. Guerard, Jr., Ed., Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, Springer, New York, 2010.
  • John B. Guerard, Jr., McKinley Capital: “Markowitz and the Expanding Definition of Risk: Applications of Multi-factor Risk Models” and “Markowitz Applications in the 1990s and the New Century: Data Mining Corrections and the 130/30,” in John B. Guerard, Jr., Ed., Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, Springer, New York, 2010.
  • Roger Clarke and Harindra de Silva, Analytic Investors, and Steven Thorley, Marriott School, Brigham Young University: “Investing Separately in Alpha and Beta,” The Research Foundation of CFA Institute, March 24, 2009.
  • Mark J.P. Anson, Nuveen Investment Services: “Hedge Funds,” in Frank J. Fabozzi, Ed., Handbook of Finance, Volume I: Financial Markets and Instruments, John Wiley & Sons, Hoboken, NJ, 2008.
  • Jia Ye, First Quadrant, LP: “How Variation in Signal Quality Affects Performance,” Financial Analysts Journal, July/August 2008.
  • Richard Michaud and Robert Michaud, New Frontier Advisors: “Estimation Error and Portfolio Optimization: A Resampling Solution,” Journal of Investment Management, First Quarter 2008.
  • Roger Clarke, Harindra de Silva, and Steven Sapra, Analytic Investors, and Steven Thorley, Marriott School, Brigham Young University: “Long-Short Extensions: How Much is Enough?” Financial Analysts Journal, January/February 2008.
  • Christopher B. Philips and Francis M. McKinniry, Vanguard: “Removing the Long-Only Constraint: The Appeal and Challenges of Implementing 130/30 and Other Long-Short Strategies,” Vanguard Investment Counseling & Research, November 2007.
  • Edward E. Qian, Ronald H. Hua, and Eric H. Sorensen, PanAgora Asset Management: Quantitative Equity Portfolio Management: Modern Techniques and Applications, Chapman & Hall/CRC, Boca Raton, FL, 2007.
  • Margaret Stumpp, Quantitative Management Associates: “Increasing Implementation Efficiency by Relaxing the Long-Only Constraint in Enhanced Index Portfolios,” Journal of Investing, Winter 2007.
  • Ric Thomas, State Street Global Advisors: “The Alpha and Beta of 130/30 Strategies,” Journal of Investing, Winter 2007.
  • Gordon Johnson, Shannon Ericson, and Vikram Srimurthy, Lee Munder Capital Group: “An Empirical Analysis of 130/30 Strategies: Domestic and International 130/30 Strategies Add Value Over Long-Only Strategies,” Journal of Alternative Investments, Fall 2007.
  • Stéphanie Desrosiers, Natacha Lemaire, and Jean-François L’Her, Caisse de dépôt et placement du Québec: “Residual Income Approach to Equity Country Selection,” Financial Analysts Journal, March/April 2007.
  • Peter Xu, Quantitative Management Associates: “Does Relaxing the Long-Only Constraint Increase the Downside Risk of Portfolio Alphas?” Journal of Investing, Spring 2007.
  • Mark Coppejans and Ananth Madhavan, Barclays Global Investors: “The Value of Transaction Cost Forecasts: Another Source of Alpha,” Journal of Investment Management, First Quarter 2007.
  • Eric H. Sorensen, Ronald Hua, and Edward Qian, PanAgora Asset Management: “Aspects of Constrained Long-Short Equity Portfolios,” Journal of Portfolio Management, Winter 2007.
  • Andrew Alford, Goldman Sachs Asset Management: “Demystifying the Newest Equity Long-Short Strategies: Making the Unconventional Conventional,” October 2006.
  • Roger Clarke and Harindra de Silva, Analytic Investors, and Steven Thorley, Marriott School, Brigham Young University: “Performance Attribution and the Fundamental Law,” Financial Analysts Journal, September/October 2005.
  • Roger Clarke, Harindra de Silva, and Steven Sapra, Analytic Investors: “Toward More Information-Efficient Portfolios,” Journal of Portfolio Management, Fall 2004.
  • Milind Sharma, Merrill Lynch Investment Managers: “AIRAP—Alternative Views on Alternative Investments,” in Barry Schachter, Ed., Intelligent Hedge Fund Investing, Risk Books, London, 2004.
  • Roger Clarke and Harindra de Silva, Analytic Investors, and Steven Thorley, Marriott School, Brigham Young University: “Portfolio Constraints and the Fundamental Law of Active Management,” Financial Analysts Journal, September/October 2002.
  • Douglas W. Case, Advanced Investment Partners (SSGA Global Alliance): “Market Neutral Equity Investing: An Absolute Return Strategy,” September 2002.
  • Mark J. P. Anson, Chief Investment Officer, California Public Employees Retirement System: Handbook of Alternative Assets, John Wiley, New York, 2002.
  • Richard C. Grinold and Ronald N. Kahn, Barclays Global Investors: “The Efficiency Gains of Long-Short Investing,” Financial Analysts Journal, November/December 2000.
  • Richard C. Grinold and Ronald N. Kahn, Barclays Global Investors: Active Portfolio Management: A Quantitative Approach for Providing Superior Returns and Controlling Risk, McGraw-Hill, New York, 2000.
  • Roger G. Ibbotson, Ibbotson Associates, and Gary P. Brinson, Brinson Partners, Inc.: Global Investing: The Professional’s Guide to the World of Capital Markets, McGraw-Hill, New York, 1993.
  • John B. Guerard, Jr., Makoto Takano, and Yuji Yamane, Daiwa Securities Trust Company and Daiwa Institute of Research: “The Development of Efficient Portfolios in Japan with Particular Emphasis on Sales and Earnings Forecasting,” Annals of Operations Research, Vol. 45, No. 1, 1993.
    Financial Editors and Journalists

  • Rodney N. Sullivan: “Taming Global Village Risk II: Understanding and Mitigating Bubbles,” Journal of Portfolio Management, Summer 2009.
  • Peter L. Bernstein: Capital Ideas Evolving, John Wiley & Sons, Hoboken, NJ, 2007.
  • David Shirreff: Dealing with Financial Risk, The Economist with Bloomberg Press, Princeton, NJ, 2004.
  • Roger Lowenstein: When Genius Failed: The Rise and Fall of Long-Term Capital Management, Random House, New York, 2000.
  • Michael J. Clowes: The Money Flood: How Pension Funds Revolutionized Investing, John Wiley, New York, 2000.
    Press

  • Forbes.com: “Smart Alpha: Smart Beta’s Smarter Cousin,” by Marc Gerstein, August 14, 2015.
  • Bloomberg Business: “Smart Beta Doesn’t Look That Smart to Some U.S. Stock Investors,” by David Wilson, May 5, 2015.
  • Reuters.com: “Saft on Wealth—World Too Complex for Smart Beta,” by James Saft, November 12, 2014.
  • Pensions & Investments: “Smart Beta Might Not Live Up to its Promises,” by Barry B. Burr, September 15, 2014.
  • Pensions & Investments: “Witnesses to a Revolution,” by Barry B. Burr and Arleen Jacobus, October 14, 2013.
  • Pensions & Investments: “New Tools for a Post-Financial Crisis Era,” by Barry B. Burr, May 13, 2013.
  • Pensions & Investments: “Pair Sees MPT Flaw Over Risks of Leverage,” by Barry B. Burr, February 4, 2013. article
  • Wall Street Journal: “Borrowing Against Yourself,” by Jason Zweig, September 22, 2012. article
  • CFA Magazine: “Getting Their Toes Wet: Extension Strategies for Fixed Income are Gaining Acceptance,” by Susan Trammell, January-February 2008.
  • CFA Magazine: “A Long-Short Story,” by Nancy Opiela, November-December 2004.
  • Pensions & Investments: “When Risk Avoidance Goes Too Far,” by Barry B. Burr, July 12, 2004.
  • Forbes Magazine: “Weapons of Mass Panic,” by William P. Barrett, March 15, 2004.
  • Global Investor: “Observer—How To Make Volatility Pay: The Next Step Forward Could Be Portable Alpha,” by James Rutter, June 2003.
  • Wall Street Journal: “Bids & Offers: Analyst, Heal Thyself,” by William Power and Kate Kelly, September 13, 2002. article
  • Business Week: “The Case Against Single-Stock Futures,” by Joseph Weber, May 22, 2000.
  • Financial Times: “A Bumpy Ride to the Market,” by John Plender, January 3, 2000.
  • Wall Street Journal: “Why Stock Options Are Really Dynamite,” by Roger Lowenstein, November 6, 1997. article
  • New York Times: “A Decade and a Bull Ride Later, Complacency Reigns,” by Floyd Norris, October 19, 1997.
  • Institutional Investor: “Psst, We’re Market-Neutral: Contrary to Popular Opinion, ‘Market-Neutral’ Managers Are Thriving,” by Miriam Bensman, January 1995. article
  • Wall Street Journal: “Reuters’s Instinet Is Biting Off Chunks of Nasdaq’s Territory,” by Warren Getler, October 4, 1994.
  • Investment Management Technology: “Instinet Secures Its Place on Desks of Money Managers as Volume Hits Critical Mass,” October 30, 1992.
  • Pensions & Investments: “Electronic Trading Use on the Rise,” by Joel Chernoff, December 9, 1991.
  • Pensions & Investments: “Market Neutral Funds Gain Fans,” by Terry Williams, September 16, 1991.
  • Institutional Investor: “Jacobs Levy: Unbundle and Separate,” in “Has Value Investing Lost Its Value?” by Julie Rohrer, June 1991. article
  • Wall Street Journal: “How Jacobs and Levy Crunch Stocks for Buying—and Selling,” by James A. White, March 20, 1991. (Also appeared in the Asian Wall Street Journal, April 3, 1991 and the South American Wall Street Journal, April 15, 1991.) article
  • Investor’s Business Daily: “Timing Stock Decisions Can Boost Returns: Monday is Best-Buy Day—Friday is Best to Sell, but Intraday Moves Can Also Count,” by Leo Fasciocco, January 24, 1989.
  • Financial Post: “For Savvy Investors, Timing Is Money,” by Patrick Bloomfield, January 10, 1989.

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