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Jacobs Levy in the News

·  “17th Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2016: “Backtesting” by Campbell R. Harvey and Yan Liu was named the best article to appear in the Journal of Portfolio Management in 2015 by the journal’s subscribers.

·  Bruce I. Jacobs’s Remarks at Harry M. Markowitz XXV Nobel Prize Anniversary Celebration, “The Journey of Modern Portfolio Theory: Past, Present, and Future,” The Rady School of Management, University of California, San Diego, October 16, 2015: Bruce Jacobs was the keynote speaker on the topic “Future Projections of Modern Portfolio Theory” at an event commemorating the 25th anniversary of the awarding of the Nobel Prize in economic sciences to Harry Markowitz. Bruce called Modern Portfolio Theory “a revolutionary way of thinking about the problem of investment uncertainty,” and discussed his and Ken Levy's research on incorporating the unique risks of leverage into portfolio optimization and their collaboration with Markowitz on developing the Jacobs Levy Markowitz financial market simulator. remarks

·  “Assessing the Impact of Dodd-Frank 5 Years Later,” Pensions & Investments, July 27, 2015: Bruce Jacobs is quoted extensively on where the industry stands today vis-à-vis the regulations passed in the aftermath of the financial crisis. He notes that “regulations can have unintended consequences,” such as pushing financial activity toward less regulated and less transparent corners of the industry, and that, further, “the next financial crisis is as likely to arise outside the banking sector as inside it.” Nevertheless, he asserts, “certain aspects of the law [such as moving trading of over-the-counter derivatives to clearinghouses] may benefit institutional investors.” article

·  “Smart Beta Doesn’t Look That Smart to Some U.S. Stock Investors,” by David Wilson, Bloomberg.com, May 5, 2015: In an article highlighting the variability of smart beta index performance, the author quotes from Bruce Jacobs and Ken Levy’s article, “Smart Beta: Too Good to be True?” appearing in the Journal of Financial Perspectives, July 2015: “A constant exposure to a factor regardless of underlying conditions leaves a portfolio vulnerable when that factor underperforms, as it inevitably will.” article

·  “16th Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2015: Subscribers chose “Evaluating Trading Strategies” by Campbell R. Harvey and Yan Liu as the best article to appear in the Journal of Portfolio Management in 2014.

·  “World Too Complex for Smart Beta,” by James Saft, Reuters, November 12, 2014: Columnist Saft quotes extensively from a forthcoming Financial Analysts Journal editorial, “Investing in a Multidimensional Market,” by Bruce Jacobs and Ken Levy, who observe that smart beta strategies assume a stock market in which a few chosen factors produce persistent returns. “This assumption is not a good approximation of what is observed in reality,” they warn. article

·  “French Academic Awarded Nobel Prize in Economics,” by Barry B. Burr, Pensions & Investments, October 13, 2014: Bruce Jacobs says that Jean Tirole, this year’s honoree, “has enriched economic theory by creating models that better reflect the complexity of real-world practice and thus provides more effective guidance for the regulation of economic and financial systems.”

·  “Smart Beta Might Not Live Up to Its Promises,” by Barry B. Burr, Pensions & Investments, September 15, 2014: Smart beta strategies “exhibit all the characteristics of a great fad,” says Bruce Jacobs, adding that fads “can lead to unwelcome outcomes.” He also notes that smart beta strategies are little more than a repackaging of small-cap and value effects. article

·  “Becker Legacy Found in DC Target-Date Modeling,” by Rick Baert, Pensions & Investments, May 12, 2014: Bruce Jacobs lauds Nobel laureate behavioral economist Gary Becker for his “path-breaking, cross-disciplinary work, extending economic analysis to human behavior and interaction.”

·  “Absorption Ratio Getting New Converts,” by Barry B. Burr, Pensions & Investments Online, April 14, 2014: In an article about the “absorption ratio,” a measure of market fragility, Bruce Jacobs notes that it may provide an opportunity for early adopters but should be used with care, as it could “cause its own crashes much as portfolio insurance did” if enough investors adopt it.

·  “15th Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2014: Voting by subscribers for the best article to appear in the Journal of Portfolio Management in 2013 resulted in a tie between “Volatility, Correlation, and Diversification in a Multi-Factor World” by Richard Roll and “The Devil in HML’s Details” by Clifford Asness and Andrea Frazzini.

·  “Fama, Shiller, Hansen Win Nobel for Security-Price Prediction Analyses,” by Barry B. Burr, Pensions & Investments, October 14, 2013: This year’s winners of the Nobel Memorial Prize in Economic Sciences, Bruce Jacobs notes in this article, “helped explain the extent to which prices can be explained by the rational—and irrational—behavior of investors. The concept of market efficiency and the implications of behavioral finance have had profound effects on investing, both fundamental and quantitative.”

·  “Witnesses to a Revolution,” by Barry B. Burr and Arleen Jacobus, Pensions & Investments, October 14, 2013: For its 40th anniversary issue, Pensions & Investments chronicles the most important developments in finance since 1973. Bruce Jacobs is quoted throughout. On Modern Portfolio Theory: The “first risk management system for portfolios.” On systematic risk: “Systematic risk cannot be eliminated through diversification.” On leverage: “Leverage has contributed to or caused many … financial crises we have experienced.” On behavioral finance: “Cognitive biases … can lead to prices responding irrationally.”

·  “The Wharton School of the University of Pennsylvania Announces Inaugural Recipient of the Wharton-Jacobs Levy Prize for Quantitative Financial Innovation, Harry Markowitz," Press Release, September 18, 2013: Harry Markowitz is the first recipient of the Wharton-Jacobs Levy Prize. The biennial Prize, which includes an $80,000 award, recognizes a person or persons who have published articles that demonstrate outstanding research that has contributed to innovation in the practice of quantitative financial analysis and asset management. Markowitz is being recognized for groundbreaking innovations in individual retirement planning. The Prize will be presented on October 23, 2013 at the first Forum on Quantitative Finance of the Jacobs Levy Equity Management Center for Quantitative Financial Research." press release

·  “New Tools for a Post-Financial Crisis Era,” by Barry B. Burr, Pensions & Investments, May 13, 2013: This article on risk management in the wake of the credit crisis quotes Bruce Jacobs on the problems with value-at-risk analysis, as well as the dangers posed by nonlinearities in pricing and interconnections between firms. Bruce states: “Controlling risk at the individual entity level might not necessarily prevent systemic risk.” Bruce suggests that network analysis and agent-based modeling could improve risk management; in addition, “leverage risk should be recognized in portfolio construction.” article

·  “Pair Sees MPT Flaw Over Risks of Leverage,” by Barry B. Burr, Pensions & Investments, February 4, 2013: This article discusses Bruce Jacobs and Ken Levy’s proposal for a new risk model, one that transforms the mean-variance framework of traditional portfolio theory and practice into mean-variance-leverage optimization. As Bruce explains, “If investors were to recognize in their portfolio optimizations their aversion to the…unique risks of leverage, there would be less leverage in the system and possibly fewer systemic events.” Nobel laureate Harry Markowitz notes: “If you are leveraged, there is a…chance...you could…get wiped out or sold out at very bad prices... [That’s] motivation for thinking about not leveraging too much...” Axioma CEO Sebastián Ceria finds that the idea of incorporating leverage aversion into portfolio construction “is theoretically promising.” Mehmet Bayraktar, Head of Equity Analytics Research at MSCI’s Barra, agrees: “I like the idea of using leverage as a separate parameter of control because it allows investors to make the trade-off decisions between investment opportunities, leverage and (volatility) risk.” article

·  “14th Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2013: “The Death of Diversification Has Been Greatly Exaggerated,” by Antti Ilmanen and Jared Kizer, has been chosen by subscribers as the best article to appear in the Journal of Portfolio Management in 2012.

·  “UCLA, Harvard Professors Share Nobel Prize in Economics,” Barry B. Burr, Pensions & Investments, October 15, 2012: Lloyd Shapley and Alvin E. Roth receive this year’s prize for their work in the development of matching theory and its application to market design. Bruce Jacobs, quoted in the article, notes that “in financial markets, both buyers and sellers make decisions based on prices... But there are markets without prices. …When there are no pricing signals, Shapley and Roth showed how to design a market mechanism to allocate resources so that the results best satisfy the preferences of both parties.”

·  "Borrowing Against Yourself" by Jason Zweig, Wall Street Journal, September 22, 2012: This column references Bruce Jacobs and Ken Levy's article, "Leverage Aversion and Portfolio Optimality" (Financial Analysts Journal, September/October 2012), which suggests that modern portfolio theory be updated to account for the risks of leverage. The column quotes Jacobs: "Conventional portfolio theory says not to hold all your eggs in one basket; using leverage is like piling baskets of eggs on top of one another until the pile becomes unsteady." Harry Markowitz agrees, noting that, while diversification works in the long run, "if you're leveraged, then you can get wiped out before the long run comes." article

·  “13th Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2012: Subscribers have voted Wai Lee’s “Risk-Based Asset Allocation: A New Answer to an Old Question?” the best article to appear in the Journal of Portfolio Management in 2011.

·  “Research on Economic Policy Effects Earns Nobel,” by Barry B. Burr, Pensions & Investments, October 10, 2011: Bruce Jacobs notes that Thomas J. Sargent’s and Christopher A. Sims’s “seminal work incorporated rational expectations into macroeconomics,” “led to more dynamic models,” and had a “large impact” on quantitative finance.

·  “Jacobs Levy Co-CIOs Endow New Finance Center at Wharton,” by Barry B. Burr, Pensions & Investments, September 19, 2011: The new Jacobs Levy Equity Management Center for Quantitative Financial Research will “focus on innovation in finance.” The center, together with a prize for author(s) of articles that have contributed to innovations in the practice of finance, is funded by a personal gift from Bruce Jacobs and Ken Levy, co-founders of Jacobs Levy Equity Management. According to Bruce, “With the markets as tumultuous as they are, there is great need for a greater understanding of finance and financial markets.” article

·  “The Wharton School at the University of Pennsylvania Announces a $12 Million Gift from Alumni Bruce Jacobs and Kenneth Levy to Establish the Jacobs Levy Equity Management Center for Quantitative Financial Research and the Wharton-Jacobs Levy Prize for Quantitative Financial Innovation,” Press Release, September 7, 2011: The Jacobs Levy Center will support faculty research, fund Ph.D. dissertations in quantitative finance, and sponsor a White Paper series and annual conference. Two million dollars of the gift will fund the Wharton-Jacobs Levy Prize; the Prize, which includes an $80,000 award, will be presented biennially to a person or persons who have published articles that demonstrate outstanding research that has contributed to innovation in the practice of quantitative financial analysis and asset management. Bruce Jacobs notes: “We believe that establishing a research center and a prize for innovation will foster the advancement of quantitative financial research and practice. Given recent market volatility and economic uncertainty we think the timing of this gift could not be more critical as investors are seeking new solutions to meet their growing funding gaps.” Ken Levy adds that he and Bruce created their firm, Jacobs Levy Equity Management, “to apply the academic ideas and tools we had learned at Wharton, expand upon them, and put our proprietary research into practice in the real-world pursuit of value-added investing for clients. Our firm’s success is a testament to the usefulness of quantitative financial research.” press release

·  “Research Center, Prize to Foster Financial Analysis,” by Melanie Grayce West, Wall Street Journal, September 7, 2011: Bruce Jacobs and Ken Levy, co-founders of Jacobs Levy Equity Management and alumni of the Wharton School at the University of Pennsylvania, have contributed $12 million to Wharton to establish a research center and a prize for quantitative innovation in finance. The gift honors the 25th anniversary of their firm. The Jacobs Levy Equity Management Center for Quantitative Financial Research and the Wharton-Jacobs Levy Prize for Quantitative Financial Innovation will provide “a way to invest in new ‘maps’ that . . . will provide insight into how financial markets do and don’t work. There’s plenty of wilderness out there to explore,” according to Bruce. article

·  “12th Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2011: Based on voting by Journal of Portfolio Management subscribers, the top award for 2009-2010 is given to “Active Portfolio Management and Positive Alphas: Fact or Fantasy?” by Robert A. Jarrow.

·  “Traders Thrive on Life in the Fast Lane,” by John Aidan Byrne, Institutional Investor, November 2010: Based on the Institutional Investor transaction cost survey for 2010, Jacobs Levy ranks ninth among the top investment managers in trading efficiency.

·  “3 Receive Nobel for Supply-and-Demand Research,” by Barry B. Burr, Pensions & Investments Online, October 11, 2010: Commenting on Peter Diamond, Dale Mortensen, and Christopher Pissarides, the 2010 Nobel laureates in Economics, Bruce Jacobs points out that their work demonstrates how the economics of labor and financial markets has evolved from the theoretical “assumption of perfect markets… to more realistic models” in which “information is costly… to obtain.”

·  “Graham & Dodd Awards of Excellence for 2009,” Financial Analysts Journal, May/June 2010: Bruce Jacobs's article, "Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis," published in the March/April 2009 Financial Analysts Journal, receives the Graham & Dodd Readers' Choice Award.

·  “New Collection of Essays Examines Causes of Economic Meltdown,” by Barry Burr, Pensions & Investments Online, April 29, 2010: Insights into the Global Financial Crisis (Research Foundation of CFA Institute, 2009), including Bruce Jacobs’s “Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis,” is lauded as “a masterful collection of essays on the market and economic meltdown.”

·  “CFA Research Foundation Takes a First Crack at Writing the History Book of the 2008 Financial Crisis,” by Steve Deutsch, AllAboutAlpha.com, March 30, 2010: This review of Insights into the Global Financial Crisis (Research Foundation of CFA Institute, 2009) quotes from Bruce Jacobs’s contribution, “Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis.”

·  “11th Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2010: The Best Article award for 2008-2009, based on voting by Journal of Portfolio Management subscribers, goes to Robert E. Whaley’s “Understanding the VIX.”

·  In a 2004 interview conducted by the American Finance Association, recently published on the Internet, Nobel laureate Harry Markowitz says: “One of the things I am doing with some colleagues, Bruce Jacobs and Ken Levy, is that we are building a large asynchronous market model where there are entities like statisticians, portfolio analysts, investors and traders.” Dr. Markowitz also notes that he, Jacobs, and Levy are addressing the optimization of long-short portfolios that are subject to Reg T. www.afajof.org/association/historyfinance.asp

·  “Samuelson, 1st American Nobel Economic Prize Winner, Dead at 94,” by Barry B. Burr, Pensions & Investments Online, December 14, 2009: Bruce Jacobs notes that Paul Samuelson’s seminal paper, “Proof That Properly Anticipated Prices Fluctuate Randomly,” “set the scene for efficient market theory, although Samuelson did maintain that investors capable of beating the market might exist but would probably remain undetected as they would tend to stay out of the limelight in order to avoid attracting ‘free riders’ whose competition would jeopardize gains.”

·  “Nobel Economics Prize Winner Includes 1st Woman Recipient,” by Barry B. Burr, Pensions & Investments, October 19, 2009: In regard to Nobel winners Elinor Ostrom and Oliver Williamson, Bruce Jacobs notes that: “In the wake of the credit crisis, and in the presence of limits on investor rationality and market efficiency, the Nobel committee focused on ways of organizing economic activity outside of financial markets.”

·  “Bruce I. Jacobs’s Remarks in Honor of Nobel Laureate Harry M. Markowitz,” Q-Group Fall 2009 Seminar: Bruce Jacobs, along with Nobel Laureate Bill Sharpe and others, spoke at a dinner banquet honoring Harry Markowitz. Bruce Jacobs and Ken Levy have collaborated with Harry on the optimization of long-short portfolios with realistic short positions and on the development of a financial market simulator. Bruce discussed their long-standing relationship and their interaction with Harry while working on this research. transcript

·  “Luminaries Pause to Pay Tribute to Peter,” by Joel Chernoff, Pensions & Investments, September 21, 2009: Bruce Jacobs was among the “luminaries of the investment world” who honored Peter Bernstein at a September 15th memorial.

·  “Mortgage Market Needs Tougher Standards,” by Bruce I. Jacobs, Pensions & Investments, August 10, 2009: Drawing on his article, “Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis” (Financial Analysts Journal, March/April 2009), Bruce says, “The current financial market crisis has revealed the inadequacy of a system of patchwork regulations. We need a regulatory regime that is consistent across our large and integrated asset markets, one that can regulate financial products with a focus on their potential effects on systemic risk.” article

·  “A Tribute to Peter L. Bernstein,” by Bruce I. Jacobs and Kenneth N. Levy, Journal of Portfolio Management, Summer 2009: Bruce Jacobs and Ken Levy join Paul Samuelson, Harry Markowitz, William Sharpe, Myron Scholes, Robert Merton, Martin Leibowitz and others in paying tribute to the late Peter Bernstein.

·  “A Giant Loss for Investment World,” by Joel Chernoff and Barry B. Burr, Pensions & Investments, June 15, 2009: “Many professional investors today were introduced to the more sophisticated and quantitatively oriented concepts underlying modern portfolio management through the work of Peter Bernstein. Peter seemed able to translate the most abstract, arcane ideas into language that was accessible…and able to do so in a lively, informal style,” notes Bruce Jacobs in this tribute to the late Mr. Bernstein.

·  “Local Government Investment Pool Participant Newsletter,” Commonwealth of Virginia, Department of the Treasury, March 31, 2009: An explanation of the current economic crisis quotes from Bruce Jacobs’s article “Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis” (Financial Analysts Journal, March/April 2009): “…shifting risk does not eliminate or even reduce it…The underlying systematic risk represented by housing-price declines merely shifted the risk from borrower to lender, . . . from lender to investor, from investor to guarantor. Although hidden, the risk remains, and it eventually brought down the entire financial edifice.”

·  “Tenth Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2009: Based on voting by Journal of Portfolio Management subscribers, “Dynamic Portfolio Analysis” by Richard Grinold is selected as Best Article for 2007-2008.

·  “Turning Point for Trading Costs,” by Tom Groenfeldt, Institutional Investor, November 2008: Institutional Investor’s annual survey of money managers cites Jacobs Levy as having the second lowest costs for Nasdaq trading and the eighth lowest costs for NYSE trading. article

·  “‘New Geography’ Work Puts Nobel Winner on Map,” by Barry B. Burr, Pensions & Investments, October 27, 2008: In an article on Paul Krugman, winner of the 2008 Nobel Memorial Prize in Economic Sciences, Bruce Jacobs notes that Krugman “hypothesizes a trade-off between economies of scale on the firm level and desire for diversity on the part of consumers. Just as investors seek diversity in their portfolios, in terms of stock selection, and in domestic, international and global portfolios, individuals seek diversity in choices among consumption goods to provide the desired consumption basket.”

·  “Short Positions Throwing a Wrench in the Works for Traditional (long-only) Institutional Investors,” AllAboutAlpha.com, July 17, 2008: An article on the importance of integrated optimization for a long-short portfolio notes that “in essence, BNY Mellon is following the recommendations of Bruce Jacobs and Ken Levy,” made in their article, “On the Optimality of Long-Short Strategies” (Financial Analysts Journal, March/April 1998).

·  “Quantitative Hedge Funds,” Strategy Focus, www.infovest21.com, May 27, 2008: A review of How I Became a Quant (John Wiley & Sons, 2007) notes that Bruce Jacobs is among the major names featured in the book.

·  “Cutting-Edge Academics: The Smart Money,” by Barry B. Burr, Pensions & Investments, May 12, 2008: When asked by P&I to name current academics who might have an impact on investment practice with cutting-edge research, Bruce Jacobs cited Jeffrey Wurgler and Malcolm Baker: “Wurgler and Baker's work doesn't attempt to find new irrational tendencies or biases, but looks at stock prices themselves for what they can tell us about behavioral quirks. This type of work is important especially in today’s markets, which has been characterized by wave after wave of investor sentiment—the tech bubble, the bursting of the tech bubble, the housing bubble, the bursting of the housing bubble, the credit bubble and the bursting of the credit bubble.”

·  “Graham & Dodd Awards of Excellence for 2007,” Financial Analysts Journal, March/April 2008: Bruce Jacobs and Kenneth Levy receive a Graham & Dodd Award for “20 Myths About Enhanced Active 120-20 Strategies,” published in the July/August 2007 Financial Analysts Journal. This article also received the 2007 Graham & Dodd Readers' Choice Award.

·  “Scaling the 130/30 Opportunity for Asset Managers, Brokers and Custodians,” by Josh Galper, Vodia Group, February 2008: Jacobs Levy is listed as one of the top five 130-30 managers in 2007.

·  “Ninth Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2008: Subscribers to the Journal of Portfolio Management vote “Gathering Implicit Alphas in a Beta World” by Martin Leibowitz and Anthony Bova as Best Article for 2006-2007.

·  “130/30 Fanbase Grows as Investors Cut Managers Free,” Laura Cohn, Financial Times, January 14, 2008: Jacobs Levy is mentioned as one of the top firms managing 130/30 strategies. In a sidebar, Bruce Jacobs notes that part of the attraction of 130/30 strategies is that shorting and leverage allow institutional managers with the “necessary skills and experience… to manage portfolios with fewer constraints.”

·  “Come Together,” by Kris Devasabai, International Custody & Fund Administration Magazine, January 2008: As institutional investment managers take on more alternative strategies from the hedge fund world, Jacobs Levy is cited as “an early leader” in 130-30 strategies.

·  “Hirings: Illinois State Universities,” Pensions & Investments, November 12, 2007: Jacobs Levy has been hired by State Universities Retirement System of Illinois for a $300 million Russell 3000 mandate.

·  “Addition by Subtraction,” by Justin Schack, Institutional Investor, November 2007: In an annual survey of institutional investment managers, Jacobs Levy is cited as having the lowest costs for Nasdaq trading and the fifth-lowest costs for NYSE trading.

·  “130/30 Assets Surge 77%,” by Jay Cooper, Pensions & Investments, October 29, 2007: Jacobs Levy is identified as one of the top six managers responsible for 61% of the assets now invested in enhanced active strategies.

·  “Work on Mechanism Design Theory Earns Nobel,” by Barry Burr, Pensions & Investments, October 29, 2007: Nobel laureates Leonid Hurwicz, Eric S. Maskin, and Roger B. Myerson look at how to arrive at the best economic solutions under imperfect conditions. According to Bruce Jacobs, “this is an approach that is not only applicable but necessary when it comes to managing money. While there are many theories…that seem to work fine when conditions are just so, you can’t bet the farm on them without making adjustments for the many vicissitudes of real-world markets.”

·  “The Long & Short of 130/30,” by Jo Wrighton, Institutional Investor, October 2007: Jacobs and Levy is mentioned as one of the primary providers of 130/30-type strategies.

·  “Natural State Teachers Select Pvt. Equity Consultant,” Money Management Letter, October 22, 2007: Among other changes, the Arkansas Teachers Retirement System is transferring assets to a 130/30 strategy at Jacobs Levy.

·  “120-20 Reaches Mythical Proportions?” AllAboutAlpha.com, October 14, 2007: Bruce Jacobs and Ken Levy’s article “20 Myths about Enhanced Active 120-20 Strategies,” a follow-up to their seminal “20 Myths about Long-Short,” is a “comprehensive, easy-to-read review of the state of an emerging industry,” says author Christopher Holt.

·  “What Did We Learn? 20 Years Later,” by Jay Cooper and Barry B. Burr, Pensions & Investments, October 1, 2007: In this article comparing the crash of 1987 with the market turmoil in August, Bruce Jacobs notes that “The risk of a strategy may not seem all that great when you think you’re the only one doing it, but when every firm is offering portfolio insurance, or every highly leveraged multistrategy hedge fund is following a similar strategy, risk goes way up.”

·  “FAJ Article Dispels ‘20 Myths About Enhanced Active 120-20 Strategies,’” CFA Institute Press Release, September 6, 2007: During his September 19 Webcast based on the Financial Analysts Journal article "20 Myths About Enhanced Active 120-20 Strategies" (July/August 2007), Bruce Jacobs dispels common misconceptions about enhanced active equity 120-20 strategies, which allow equity managers to sell short individual stocks worth up to 20 percent of portfolio value and invest the proceeds in additional long share purchases. http://www.cfawebcasts.org/cpe/what.cfm?test_id=717

·  “Indiana State Teachers Hires 7 Equity Managers,” Pensions & Investments, August 20, 2007: Indiana State Teachers’ Retirement Fund has picked Jacobs Levy to run $85 million in U.S. equity small and mid cap value portfolios.

·  “Ideas Roiling Efficient Market,” by Joel Chernoff, Pensions & Investments, May 14, 2007: A review of Peter Bernstein’s new book, Capital Ideas Evolving, notes that many of the leading theoreticians who were the subjects of Bernstein’s previous work, Capital Ideas, are now focusing on the real world. They include Harry Markowitz, father of mean-variance analysis. With “Bruce I. Jacobs and Kenneth N. Levy, principals at Jacobs Levy Equity Management Inc., [he is] ... developing a simulation that builds in behavioral finance concepts, such as overconfidence and loss aversion.”

·  “130/30s Pull In $30 Billion,” by Jay Cooper, Pensions & Investments, April 16, 2007: Assets in 130-30 and similar enhanced active strategies now amount to $30 billion. With $4.2 billion, Jacobs Levy is cited as an early leader, placing second among money managers offering these types of strategies.

·  “Illinois SURS Eyes Long/Short, 130/30,” Pensions & Investments Online, February 9, 2007: On February 1, the $15.3 billion Illinois State Universities Retirement System board met with Bruce Jacobs of Jacobs Levy for an educational discussion about long-short strategies, including 130-30 portfolios.

·  “Sonoma County Hires Equity Managers,” FINdaily, January 24, 2007: California-based Sonoma County Employees Retirement System hired Jacobs Levy to manage a $170 million U.S. equity Russell 3000 mandate.

·  “Eighth Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2007: Based on voting by Journal of Portfolio Management subscribers, the top award for 2005-2006 is given to “Five Myths about Fees” by Ronald N. Kahn, Matthew Scanlan, and Laurence B. Siegel.

·  “Keep the Change,” by Pierre Paulden, Institutional Investor, December 2006: Advances in electronic trading continue to push transaction costs lower. Among institutional investment managers, Jacobs Levy is cited as having the lowest costs for NYSE trading and the third lowest costs for NASDAQ trading. article


·  “Defender of Capitalism Dies,” by Barry B. Burr, Pensions & Investments, November 27, 2006: On the passing of Milton Friedman, Bruce Jacobs notes, “Many believe his economic ideas
underpinned the robust economic growth and extraordinary stock market gains of the 1980s and 1990s. Bruce also points out that Friedman's early work on risk aversion “contributed to currently accepted notions of investor utility.

·  “Short Selling Hits Optimistic Sentiment,” by Makoto Kajiwara, Nikkei Financial Daily, November 1, 2006: This article on the increasing popularity of investment strategies that use short selling quotes Bruce Jacobs, “a pioneer in research into 120-20, on the benefits of short selling for the market and economy, “Short selling monitors the irregularities of executives and is also linked to increased market efficiency and social prosperity.

·  “Columbia University Professor Gets Nobel in Economics,” Pensions & Investments Online, October 9, 2006: According to Bruce Jacobs, “[Edmund S.] Phelps' work on inflation and unemployment … has had a large impact on policy-making.

·  “Press Release,” CalPERS, August 14, 2006: CalPERS, the nation's largest public pension fund, hired Jacobs Levy as one of four new active growth U.S. equity managers. According to Charles Valdes, Chair of CalPERS Investment Committee, “We have confidence in all of these managers, based on their performance track records, professional staffs and organization, and the ability to implement research and strategies that are vital for sound investments.”

· 
“Hirings,” Pensions & Investments, August 7, 2006: Arizona State Retirement System has hired Jacobs Levy to manage $200 million in active domestic long-short 120-20 equities.

·  “New Approach Gets Hedge Fund Returns with Traditional Risk,” by Barry B. Burr, Pensions and Investments, June 12, 2006: Motivated by a recent article in the Journal of Portfolio Management, in which Bruce Jacobs and Ken Levy describe a new strategy that can “enhance performance by permitting meaningful underweight positions that are simply not achievable in long-only portfolios,” Burr's Portfolio Strategies column quotes Bruce Jacobs: “I've never seen such a dramatic interest in something new before.” Jacobs goes on to say that the strategy, often called a 120-20 or a 130-30 portfolio, is “a better way to run money. Any manager, given their insights into equities, should be able to do better than they do with long only.”
article

·  “Structured Products: Taking the Next Step,” by Joel Chernoff, Pensions & Investments, April 3, 2006: Bruce Jacobs and other active investment product innovators are referenced in this look at the future of quantitative management.

·  “Seventh Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Spring 2006: The top honor for 2004-2005, based on voting by Journal of Portfolio Management subscribers, goes to Robert Litterman for “The Active Risk Puzzle.”

·  “Teacher Investments Show Gain,” by Michael R. Wickline, Arkansas Democrat Gazette, February 7, 2006: Jacobs Levy hired by Arkansas Teacher Retirement System to manage $267 million in domestic large cap growth stocks.

·  “Top 200 Defined Benefit Managers,” Pensions & Investments Online, January 23, 2006: Jacobs Levy is on the top 10 list of the domestic equity managers most frequently used by the Top 200 plan sponsors.

·  “Most Nobel Minds,” CFA Magazine, November-December 2005: In a roundtable discussion with four other Nobel laureates, Harry Markowitz discusses how with the Jacobs Levy Markowitz Simulator “we can see the dynamics of the situation as distinguished from just the equilibrium condition.”

·  “Nobel Winners Friends of Behavioral Economics,” by Barry B. Burr, Pensions & Investments, October 17, 2005 and “Pair Awarded Nobel Economics Prize,” Pensions & Investments Online, October 10, 2005: These articles about the 2005 recipients of the Nobel Prize in Economic Sciences, Robert J. Aumann and Thomas C. Schelling, quote Bruce Jacobs, who observes that “Game theory examines how decisions come about from the interactions between parties often having competing interests. Investing is more concerned with decision theory. That is how one person, or firm, comes to a decision based on all available information, which may include the opinions and actions of others, such as Wall Street security analysts, corporate management, or other investors . . . It is sometimes useful to view market behavior through the lens of game theory. In his later research, [Mr.] Schelling looked at tipping theory, which examines the rapid movement of a system from one equilibrium to another . . . [and] may . . . be able to shed some light on information cascades and crashes in financial markets.”

·  Trouble with Fees, Pensions & Investments, August 8, 2005: This editorial critique of a New York Times story on the United Airlines pension default notes that Jacobs Levy Equity Management was at least one United pension manager that earned its fees, quoting Bruce Jacobs: For every dollar of fees the UAL plans paid, the portfolio earned $4.71 net of fees from active management by Jacobs Levy. The editorial goes on to note: If that is a money manager wreck, most pension plans would want to join this type of crash.

·
  The Public School Retirement System of Missouri and The Non-Teacher School Employee Retirement System of Missouri hire Jacobs Levy to manage $500 million in large-cap growth equity, http://www.psrs-peers.org/Board%20Minutes/April%2005%20Board%20minutes.pdf, April 11, 2005.

·  “Sixth Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2005: Top honor for 2003-2004, based on voting by Journal of Portfolio Management subscribers, goes to “Fight the Fed Model” by Clifford Asness.

·  “Minnesota Picks Managers,” Pensions & Investments, December 13, 2004: The Minnesota State Board of Investment has picked Jacobs Levy to run a portion of its $45 billion active domestic large-cap equity.

·  Review of Market Neutral Strategies, by Chetan Parikh, www.capitalideasonline.com, December 10, 2004: This reviewer of Bruce Jacobs and Ken Levy's edited volume on market neutral investing finds the book “eminently suited for investment professionals” and commends the editors “for bringing out an important reference text,” singling out for praise the chapter on merger arbitrage, the chapter “Questions and Answers About Market Neutral Investing,” and “A Tale of Two Hedge Funds” about Long-Term Capital Management and Askin Capital Management.

·  Review of Market Neutral Strategies, by Glyn Holton, Contingency Analysis, www.riskbook.com website, December 2004: According to the reviewer, There are plenty of non-technical books that describe the market-neutral and statistical arbitrage trading strategies employed by hedge funds and a few active investment managers. This is one of the best.

·  “A Long-Short Story,” by Nancy Opiela, CFA Magazine, November-December 2004: This discussion of the challenges and rewards of long-short investing references Bruce I. Jacobs and Kenneth N. Levy's “The Long and Short on Long-Short” (Journal of Investing, Spring 1997).

·
  “Lots of Market Neutral Trees and a Map for the Forest,” by Christopher Faille, HedgeWorld News, www.hedgeworld.com, November 5, 2004: This review of Market Neutral Strategies, edited by Bruce I. Jacobs and Kenneth N. Levy, notes that “the authors are to be commended.”

·
  “2 Professors Receive Nobel for Economics,” Pensions & Investments, October 18, 2004: Finn E. Kydland and Edward C. Prescott, recipients of this year's Nobel Prize in Economic Sciences, have contributed insights that may be of use to investment analysts using macroeconomics forecasts, according to Bruce Jacobs.

·
  “When Risk Avoidance Goes Too Far,” by Barry B. Burr, Pensions & Investments, July 12, 2004: This article notes that Bruce Jacobs, in “Risk Avoidance and Market Fragility,” distinguishes between traditional insurance, which protects against a specific risk, and strategies and instruments that purport to insure against a systematic risk such as a market downturn. As the latter grow in popularity, they can exacerbate volatility.

·  Indiana Public Employees, Pensions & Investments, June 14, 2004: Jacobs Levy has been hired by the Indiana Public Employees’ Retirement Fund, Indianapolis, to manage $260 million in U.S. small-cap growth equity.

·  “Weapons of Mass Panic,” by William P. Barrett, Forbes Magazine, March 15, 2004: This comment summarizes Bruce Jacobs's article in the January/February 2004 issue of the Financial Analysts Journal (“Risk Avoidance and Market Fragility”), and its argument: “financial products sold as risk reducers can leave the institutions offering them more prone to risk that they themselves cannot diversify away or hedge. This risk then could rear up and bite deeply during periods of extreme economic volatility.”

·  “Fifth Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2004: Voting by Journal of Portfolio Management subscribers resulted in a tie for first place, with awards going to “Expected Returns on Stocks and Bonds” by Antti Ilmanen and “The Hierarchy of Investment Choice” by Mark Kritzman and Sebastien Page.

·  “Trading Places—Memo to John Reed: You may have bigger problems than you thought,” by Justin Schack, Institutional Investor, November 2003: Institutional investors, resenting the relatively high transaction costs on the New York Stock Exchange (NYSE), are increasingly turning to electronic trading venues. Jacobs Levy is one of five firms cited as achieving lowest trading costs for both NYSE and NASDAQ stocks in 2002.

·  “P&I at 30—The Difference-Makers,” by Barry B. Burr, Pensions & Investments, October 27, 2003: This celebration of Pensions & Investments’ 30th anniversary highlights key figures in investing over the period, including Nobel laureates Harry M. Markowitz and William F. Sharpe. In the profile of Markowitz, Bruce Jacobs notes that he “provided the first mathematical treatment of the concept of investment diversification, thereby giving rigor to what previously had been ad hoc decisions. From that point forward, a security’s risk would not be measured separately from that of other securities, but instead as part of its contribution to an overall portfolio.” In the profile on Sharpe, Jacobs asserts that his “concept that the market portfolio of all assets is the most efficient risk-return portfolio led to the use of betas and Sharpe ratios for performance measurement, and along with the later hypothesis that the markets are informationally efficient, led to the advent of indexing.”

·  “Nobel Prize: Practical Applications for Winners’ Ideas; Economic time-series analysis earns duo academic, industry praise,” by Gregory Crawford, Pensions & Investments, October 13, 2003: This year’s Nobel Prize in Economic Sciences has been awarded to Clive Granger and Robert Engle, for work that has had direct application to investment management. Bruce Jacobs notes that Granger’s work on cointegration gives portfolio analysts and managers the tools to determine whether assets are overpriced or underpriced relative to long-term trends, while Engel’s volatility model helps institutional investors gauge future volatility. Jacobs further notes: “Pension sponsors may use time-varying volatility when making their risk budgeting decisions—when apportioning their assets across different managers or different asset classes. Banks, hedge funds and investment managers use estimates of time-varying volatility when computing value-at-risk, which is a key statistic measuring the potential losses a portfolio might experience over a given time period.”

·  “More David Than Goliath,” Russell Portfolio (Frank Russell Company), September 2003: Peter Gunning, Chief Investment Officer of Russell Investment Group, Australasia seeks out “the best investment firms . . . in whose investment philosophies, processes and people we have the highest confidence.” He cites Jacobs Levy as an example.

·  “Horizon Manager Changes: Three New Fund Managers Appointed,” Horizon Insight, July 2003: Manager of managers Russell has appointed Jacobs Levy, “whose expertise is very broad and it runs a wide range of mandates, from large capitalization growth to small capitalization value . . . [and] is widely recognised as one of the top firms in the quant industry, both in terms of theory and practice.”

·  “How to Make Volatility Pay—The Next Step Forward Could Be Portable Alpha,” by James Rutter, Global Investor, June 2003: This article notes the increased interest in portable alpha strategies and references Jacobs Levy research: “the logic for [trans]porting alpha was well laid out by Bruce Jacobs and Ken Levy in a Star Trek-inspired article in the 25th anniversary issue of the Journal of Portfolio Management” (“Alpha Transport with Derivatives,” May 1999).

 

·  “Funds SA back . . . Jacobs Levy,” Investor Weekly (Australia), April 14, 2003: Funds SA, the South Australian public sector superannuation fund, has allocated 300 million Australian dollars to U.S. equity manager Jacobs Levy. Funds SA becomes Jacobs Levy’s second-biggest Australian mandate, after Frank Russell Company’s Russell International Shares Fund.

 

·  “Fourth Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2003: Top honors for 2001-2002 go to “Do Hedge Funds Hedge?” by Clifford S. Asness, Robert J. Krail and John M. Liew.

 

·  “AIMR and ‘Best Practices’ on Ethics,” by Bruce I. Jacobs, Pensions & Investments, December 9, 2002: In this commentary, Jacobs suggests that AIMR’s research publications could follow the ethical standards of the medical community’s journals in order to minimize conflicts of interest in the research and publication process.

·  “Lessons from the Collapse of Hedge Fund, Long-Term Capital Management,” by David Shirreff, riskinstitute.ch, November 1, 2002: Bruce Jacobs is quoted on the bailout of Long-Term Capital Management: “Had LTC not been bailed out, the immediate liquidation of its leveraged . . . positions may have had effects . . . rivaling the effects on the equity market of the forced liquidations of insured stocks in 1987 . . .” 

·  “How the Top Brokerage Firms and Investment Managers Rank in Execution Costs Around the World,” Institutional Investor, November 2002: For 2001, Jacobs Levy ranks 10th in best execution among all investment managers trading on the NYSE.

·  “AIMR’s Objectivity Lesson,” Global Investor, November 2002: This highlights Bruce Jacobs’s “two-year crusade to bring to light . . . ‘very clear conflicts of interest’ at the heart” of the Association for Investment Management and Research. The editorial points to support from Jose Arau, principal investment officer of CalPERS, who backs Jacobs’s call for AIMR to adopt internal research objectivity standards. AIMR Senior Vice President Katrina Sherrerd responds that AIMR is reviewing its policies, including Jacobs’s proposal for internal objectivity standards. Global Investor concludes that “the spirit of full transparency and objectivity has not been well served.”

·  “Economics Award Seen Vindicating Validity of Behavioral Economics,” by Joel Chernoff, Pensions & Investments, October 14, 2002: An article about the recent award of the Nobel Memorial Prize in Economic Sciences to Daniel Kahneman and Vernon Smith quotes Bruce Jacobs on one application of behavioral finance: “corporate management ‘frames’ earnings for Wall Street, then tries to manipulate the outcome by beating the Street consensus or the comparable quarter from the previous year . . . How reported earnings relate to these ‘reference points’ can give rise to different return opportunities.”

·  “Letter in Support of Bruce Jacobs’s Proposal for AIMR to adopt Research Objectivity Standards for its own Publications,” by Jose Arau, www.aimr.org, October 3, 2002: Jose Arau, CalPERS Principal Investment Officer and President of the Security Analysts of Sacramento, urges AIMR to adopt the Internal Research Objectivity Standards that Jacobs has proposed, writing: “We believe a transparent editorial policy, where all potential conflicts of interest are disclosed, would ensure a level of fairness and integrity in AIMR publications and conferences that would redound to the benefit of all AIMR members and, indeed, all participants in the financial markets.”

·  “Managers of Dutch Assets,” Investment & Pensions Europe, October 2002: Jacobs Levy manages 179 million euros in Dutch pension assets.

·  “Bids & Offers: Analyst, Heal Thyself,” by William Power and Kate Kelly, Wall Street Journal, September 13, 2002: Bruce Jacobs, a member of The Association for Investment Management and Research (AIMR), finds that AIMR, the “high priests of analyst standards,” doesn’t practice what it preaches. article

 

·  “Ohio State Hires Jacobs Levy,” Money Management Letter, September 1, 2002: Ohio State Teachers Retirement Systems hires Jacobs Levy for S&P 500 mandate.

 

·  “Proposal for AIMR to adopt Research Objectivity Standards for its own Publications,” by Bruce I. Jacobs, www.aimr.org, August 12, 2002: In response to the Association for Investment Management and Research’s proposed new Research Objectivity Standards aimed at conflicts of interest at buy- and sell-side firms, corporate issuers and the media, Jacobs notes that the same types of conflicts are at work within AIMR itself. Jacobs suggests that AIMR adopt a clear, publicly stated policy explicitly governing internal conflicts of interest and suggests some specific standards.

 

·  “Comprehensive Annual Financial Report,” Maine State Retirement System,  www.msrs.org, June 30, 2002: Jacobs Levy manages $180 million in U.S. equity for Maine State Retirement System.

 

·  “New Team on Board for Russell,” by Jason Clout, Australian Financial Review, June 19, 2002: Frank Russell Company has allocated $300 million [Australian dollars] of its multimanager Australia-based Russell International Shares Fund to Jacobs Levy. Jacobs Levy will provide the core U.S. equity portfolio, to be benchmarked against the MSCI U.S. Index.

·  “Jacobs Levy hired for Russell International Shares Fund,” Russell Update, June 2002: Jacobs Levy called “one of the industry’s most compelling quantitative equity managers.”

·  “Six houses net briefs from Frank Russell,” Financial Times Mandate, February 11, 2002: Jacobs Levy chosen to co-manage Frank Russell U.S. Quantitative Fund, based on its experience, and “thorough understanding of the model and the market.”

·  “Frank Russell Adds New UK and US Quant Funds,” Investment and Pensions Europe, January 30, 2002: Frank Russell hires Jacobs Levy Equity Management, as well as Barclays Global Investors, JP Morgan Fleming Asset Management and Franklin Portfolio Associates, to run its U.S. multi-manager fund.

·  Third Annual Bernstein Fabozzi/Jacobs Levy Awards, Journal of Portfolio Management, Winter 2002: Writing on index funds and equity pricing, Burton Malkiel and Aleksander Radisich win first prize for 2000-2001.

·  “How the Top Brokerage Firms and Investment Managers Rank in Execution Costs Around the World,” by Justin Schack, Institutional Investor, November 2001: Jacobs Levy ranks Number Nine in best execution among all firms trading on NYSE.  

 

·  Fidelity Unveils US Equity Strategy in UK and Europe,” by Niki Natarajan, Financial News Online, July 23, 2001: A Callan Associates' graph showing market neutral strategies' returns plotted on returns to value, growth, small and large capitalization reveals that most strategies are biased toward one or another style; out of 12, only the Fidelity and the Jacobs Levy portfolios appear to be truly market neutral.

 

·  “Florida Starts Manager Selection for $30bn Plan,” by Roxane McMeeken, Financial Times Mandate, July 2, 2001: Jacobs Levy to manage up to $750 million in large cap growth for Florida state defined contribution plan.

 

·  “Focus on U.S. Large Caps,” www.Russell.com, June 20, 2001: In a Frank Russell interview, Jacobs Levy cofounder Ken Levy discusses the firm’s approach to investing, the impact of Regulation Fair Disclosure, and adding value in large cap U.S. equity.

 

·  “The Credit Bubble Bulletin: The Son of Portfolio Insurance,” by Doug Noland, PrudentBear.com, May 25, 2001: In applying the arguments in Bruce Jacobs’s Capital Ideas and Market Realities to interest rate derivatives, the author notes: “I would like to suggest moving Bruce Jacobs’ excellent book . . . to the top of reading lists.”

 

·  “Russell Hires Jacobs Levy for a Small Cap Value Assignment Within Its Manager-of-Managers Funds Complex,” Frank Russell press release, April 3, 2001: In selecting Jacobs Levy for its manager-of-managers complex, Frank Russell says, “As a sophisticated quantitative manager Jacobs Levy uses its deep research resources and strong professional staff to exploit investor behaviors that lead to securities mispricings. We believe their highly regarded stock-picking skills will benefit our portfolios and may help investors reach their goals amid unpredictable market conditions.”

·  “Russell Hires Small-Cap Equity Specialist,” Global Investor, March 2001: Frank Russell adds Jacobs Levy to its U.S. small cap equity multi-manager fund, saying “We believe [Jacobs Levy’s] highly regarded stock-picking skills will benefit our portfolios.”

·  “Russell Hires Three Equity Managers for Its Manager-of-Managers,” Bloomberg News, January 24, 2001: Jacobs Levy among three managers chosen for Russell U.S. Equity Fund, an institutional fund for Canadian investors.

·  “Second Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2001: Jeremy Siegel earns top honors for 1999-2000, writing on the equity premium.

·  “SuperModels: Modern portfolio theory meets the SuperModels,” by Jon Markman, MoneyCentral Investor Online, November 15, 2000: Recommends the book Equity Management: Quantitative Analysis for Stock Selection by Bruce Jacobs and Ken Levy.

·  “Economics Winner: Newest Nobel Laureate Turning His Attention to Retirement Issues,” by Barry B. Burr, Pensions & Investments, November 13, 2000: Bruce Jacobs explains how new Nobelist James J. Heckman’s work on selection bias applies to investment management: “Growth stocks respond to company earnings surprises—a shortfall—in a much more violent way than value stocks . . . You can’t study price reaction and assume it applies to all stocks the same way . . .”  

·  “Ohio State Teachers,” Pensions & Investments, October 16, 2000: Jacobs Levy to run small cap value for Ohio.

 

·  “McCall Releases Recent Common Retirement Fund Activity,” www.osc.state.ny.us, October 5, 2000: New York State allocates an additional $250 million to Jacobs Levy.

 

·  “How the Advances in Technology Will Affect the Investment Industry,” Global Pensions Supplement, October 2000: Speaking on the impact of technology on the investment business, Frank Russell’s Scott Donald notes: “Jacobs Levy . . . are masters at using technology to hone implementation.”

 

·  “On the Money,” Shares & Personal Investor, August 1, 2000: David Lee, consultant to Australian, New Zealand and Asian super funds, reviews the best investment books of the year and recommends Equity Management by Bruce Jacobs and Ken Levy for its “insight into modern portfolio theory.”

·  “2000 Hall of Fame Roundtable: Portfolio Insurance Revisited,” Derivatives Strategy, August 2000: Debating Mark Rubinstein, Professor, University of California, Berkeley and Partner, Leland O’Brien Rubinstein Associates (creators and marketers of portfolio insurance), and William Brodsky, Chairman and CEO of the Chicago Board Options Exchange, Bruce Jacobs likens portfolio insurance to atomic theory: “It can have its benefits,  . . . but it can also lead to nuclear bombs.”

·  “Hot Investment Concept Leaves Managers Cold: Behavioral Finance Mostly Gets Lip Service,” by Joel Chernoff, Pensions & Investments, June 26, 2000: Jacobs Levy is among the few money managers applying the lessons of behavioral finance to investing. Notes Bruce Jacobs: “We live in a behavioral world, securities prices are determined by human actions, and the behavior of company management, securities analysts and investors influence securities prices.”

·  “Nobel Laureate: Merton Miller Remembered as ‘Champion of Free Markets’,” by Barry B. Burr, Pensions & Investments, June 12, 2000: In this tribute to the late Merton H. Miller, Bruce Jacobs notes how the Nobel prizes awarded to Miller, and to Harry Markowitz and William Sharpe, represent a belated recognition of finance as a field of economics.

·  “Another ‘Costless’ Strategy Roils Market,” by Bruce I. Jacobs, Pensions & Investments, May 29, 2000: How the tech stock bubble’s option-like features and subsequent crash resemble the Long-Term Capital Management and portfolio insurance debacles.

·  “The Case Against Single-Stock Futures,” by Joseph Weber, Business Week, May 22, 2000: Bruce Jacobs warns that if single stock futures become popular they “could spawn great volatility in stocks.”

·  “Abstracts of NYSSA Programs: Capital Ideas and Market Realities,” New York Society of Security Analysts Newsletter, April 2000: A description of Bruce Jacobs’s prior presentation to the New York society introduces it as follows: “Dr. Bruce I. Jacobs is on a crusade . . . to educate investors about the pitfalls of some modern investment strategies—before it’s too late. He believes that option replication, dynamic hedging, and other ‘mechanistic’ trading systems based on option pricing models, are the heirs apparent to a failed strategy called ‘portfolio insurance’ . . .”

·  “The World According to Bruce Jacobs,” by Joe Kolman, Derivatives Strategy, February 2000: In this interview, Jacobs explains how trend-following, mechanistic trading strategies can ravage capital markets and calls for “more disclosure of positions, more transparency, and a greater understanding of these strategies and their impact on markets.”

·  “A Bumpy Ride to the Market,” by John Plender, Financial Times, January 3, 2000: Plender observes that Bruce Jacobs’s “recent book [Capital Ideas and Market Realities] on options trading and stock market crashes . . . argues all too plausibly that growth in over-the-counter equity derivatives will cause increasing market turbulence.”

·  “Building for the Long Term,” Investments & Pensions Europe, January 2000: As the economy in the Netherlands booms, Jacobs Levy contributes via its management of U.S. equity investments for Amsterdam’s SFB, representing the Dutch building industry.

 

·  “First Annual Bernstein Fabozzi/Jacobs Levy Awards,” Journal of Portfolio Management, Winter 2000: Thomas Philips takes top award for 1998-1999 for article on valuation ratios and long-run returns.

 

·  “1999 Comprehensive Annual Report,” Illinois Municipal Retirement Fund, www.imrf.org, December 31, 1999: Illinois Municipal Retirement Fund hires Jacobs Levy as manager of a structured growth equity portfolio.  

·  “Long-Term, The Sequel: Old Strategies,” by Mitchell Pacelle, Wall Street Journal, December 17, 1999: As John Meriwether, of Long-Term Capital Management fame, starts a new hedge fund, Bruce Jacobs notes that he is now a “fallen angel” and will have to be forthcoming about his new fund’s risk-taking and leverage.

·  “The ‘Nemesis of Portfolio Insurance’ Argues His Case,” by Porus P. Cooper, Global Investment, December 1999: The author notes that Bruce Jacobs’s book, Capital Ideas and Market Realities, “mounts a powerful argument against the notion that somehow risk can be disconnected from reward if enough professors of finance work at it.”

·  “Business: Dangers of Hedging,” by Garth Alexander, Sunday Times (London), November 28, 1999: Bruce Jacobs explains, in his book Capital Ideas and Market Realities, why hedges may not work when the great bubble market implodes. 

·  “Capital Ideas and Market Realities,” by Bruce I. Jacobs, Presentation to the New York Society of Security Analysts, November 23, 1999: “Dynamic hedging is a positive feedback strategy that amplifies the market’s volatility. It’s like a household thermostat that’s gone berserk—the more the temperature rises, the more it calls for heating. The more the temperature falls, the more it calls for cooling.”

·  “The Case for Quantitative Equity Management,” by Bruce Jacobs and Ken Levy, European Pension News, September 20, 1999: The benefits of quantitative management include breadth, discipline, and integrity. The authors note: “Quantitative management offers both the breadth and depth of analysis, as well as the discipline, needed to deliver outperformance on a consistent basis.”

·  “Why Hedge Funds Need To Be Kept in Check,” by Bruce I. Jacobs, Global Pensions, September 1999: Hedge funds whose hedges fail can have outsize impacts on financial markets. “Enhanced disclosure by hedge funds and their counterparties could help to ensure that due diligence standards are maintained. It would also increase the transparency of hedge fund activities, improving the public’s awareness of potential liquidity and volatility problems.”

·  “Jacobs’s Lather,” by Alyssa A. Lappen, Institutional Investor, August 1999: Bruce Jacobs, who steered Prudential Insurance away from selling portfolio insurance strategies in the 1980s, warns of similar strategies in today’s market: “The potential hazard of the options-based market is that the market becomes the derivative, subservient to the options.”

·  “More to Say About Crash,” by Michael J. Clowes, Pensions & Investments, July 12, 1999: Bruce Jacobs’s book Capital Ideas and Market Realities “explains more thoroughly than ever why portfolio insurance failed and how it contributed to the 1987 market crash,” says P&I Editorial Director Clowes.

·  “Mega-Cap Inefficiency” (letter), by Ken Levy, Pensions & Investments, March 22, 1999: Jacobs Levy finds value-added, even in the efficient mega-cap sector.

 

·  “Award for Outstanding Papers,” Journal of Investing, Winter 1999: Bruce Jacobs receives an award for outstanding paper for “Option Pricing Theory and its Unintended Consequences,” published in the Spring 1998 issue of the Journal of Investing.

·  “Insured? No, Not Really,” by Michael J. Clowes, Pensions & Investments, October 19, 1998: In regard to portfolio insurance, “one who issued early warnings was Bruce Jacobs . . . [who] warned the strategy was unstable and not equivalent to a true insurance policy.”

·  “Long-Term Capital’s Short-Term Memory,” by Bruce I. Jacobs, Pensions & Investments, October 5, 1998: The highly leveraged arbitrage strategies of Long-Term Capital Management resemble portfolio insurance trading in the 1980s in their creation of liquidity vacuums that roiled financial markets.

·  “To Some, August Looked Like October,” by Phyllis Feinberg, Pensions & Investments, September 21, 1998: Bruce Jacobs warns that, “this year, there are many stocks with the potential for tax-loss selling.”

·  “What Happened? Nobody Knows,” by Barry B. Burr, Pensions & Investments, September 7, 1998: The answers behind the steep fall-off in stock prices on August 31 may lie in behavioral finance; that and, Bruce Jacobs suggests, hedging and option replication: “It can’t be explained from traditional modern finance.”

·  “Buyside Listings,” Wall Street & Technology, September 1998: Jacobs Levy is rated Number Nine in investment technology.

·  “An Important Announcement,” by Peter L. Bernstein, Journal of Portfolio Management, Summer 1998: The Bernstein Fabozzi/Jacobs Levy Award for the best paper to appear annually in the Journal of Portfolio Management is established by Jacobs Levy “in honor of the editors’ twenty-five years of extraordinary contributions and to promote research excellence in the theory and practice of portfolio management.”

 

·  “Quantitative Research is King at Jacobs Levy,” Russell Portfolio (Frank Russell Investment Management Company), July 1998: Jacobs Levy eschews simple solutions. Bruce Jacobs says: “Successful money management requires increasingly sophisticated proprietary analytical and trading systems. The value added is in the creative insights gleaned from intensive research and the rapid implementation of those insights.”

·  “Option Replication and the Market’s Fragility,” by Bruce I. Jacobs, Pensions & Investments, June 15, 1998: Responding to Nobel laureates Myron Scholes and Merton Miller, Jacobs explains how mispricing can persist in financial markets and how option trading itself led to the illiquidity that Scholes blames for the 1987 market crash: “Blaming illiquidity for the crash, as Professor Scholes does, mistakes the effect for the cause.”

·  “Controlled Risk Strategies,” by Bruce I. Jacobs, Presentation to the Association for Investment Management and Research Conference Alternative Investing,” March 1998: Long-short portfolio construction can be used not only to reduce or eliminate a portfolio’s sensitivity to its underlying universe, but also to fine-tune the portfolio’s specific risk via control of long and short exposures to constituent securities.  

·  “Nobel-Winning Strategy Criticized: Jacobs Says Models Adds to Volatility,” by Barry B. Burr, Pensions & Investments, December 8, 1997: Counter to Nobel laureates Myron Scholes and Merton Miller, Bruce Jacobs argues that, “With Black-Scholes-Merton hedging can be more exact. But there is a problem because hedging activity may affect market prices and price might not be continuous . . . price changes gap, instead of declining or rising in steady, small increments.”

·  “The Darker Side of Options Pricing Theory,” by Bruce I. Jacobs, Pensions & Investments, November 24, 1997: The option pricing theory formulated by Fischer Black, Myron Scholes and Robert Merton has led to trading strategies that roil financial markets. Says Jacobs: “Risk is an unavoidable part of financial markets in the aggregate. Risk can be shifted, but it can’t be eliminated. We forget this at our peril.”

·  “Why Stock Options Are Really Dynamite,” by Roger Lowenstein, Wall Street Journal, November 6, 1997: Lowenstein references Bruce Jacobs’s forthcoming book Capital Ideas and Market Realities and states that: “Bruce Jacobs, an investment manager who predicted before the 1987 crash that portfolio insurance would trigger chain-reaction selling, recently forecast that option-strategies . . . would play a similar . . . role . . . Monday [October 27] provided damning evidence.” article

·  “On the Optimality of Long-Short Strategies,” by Bruce I. Jacobs, Presentation to the Society of Quantitative Analysts Conference Quantitative Approaches to Market Neutral Investing,” November 1997: An optimal, active long-short portfolio does not have to be dollar-neutral or even beta-neutral (although many long-short portfolios are constructed to be so). However, it must be constructed from an integrated optimization that takes into simultaneous account both long and short positions.

·  “A Decade and a Bull Ride Later, Complacency Reigns,” by Floyd Norris, New York Times, October 19, 1997: Trading strategies underlying OTC options today pose a threat similar to that posed by portfolio insurance in 1987. According to Bruce Jacobs, the amount of such trading is “a total unknown,” and capable of disrupting financial markets.

·  “Crash Showed Danger of ‘Insured’ Assets: Fragility of Market Highlighted,” by Bruce I. Jacobs, Pensions & Investments, October 13, 1997: Two chapters from Jacobs’s forthcoming book, Capital Ideas and Market Realities, discuss portfolio-protection strategies that have arisen since the 1987 crash and the dangers they pose for market stability.

·  “Jacobs Blames Portfolio Insurance,” by Barry B. Burr, Pensions & Investments, September 19, 1997: Commemorating the 1987 market crash on its tenth anniversary, the author highlights Bruce Jacobs’s theory of how portfolio insurance contributed to the market’s melt-down: “It is a positive feedback system . . . [that] will cause more volatility and a magnification of . . . uptrends and downtrends.”   

·  “How to Build a Better Equity Portfolio,” by Bruce I. Jacobs and Kenneth N. Levy, Pension Management, June 1996: Pension plans can make better decisions if they understand the “architecture” that connects selection universes and investment approaches. 

·  “Scoreboard,” Pensions & Investments, February 19, 1996: Within its size category ($1 billion to $10 billion under management), Jacobs Levy ranks Number Four in attracting new domestic equity investments, with a $677 million gain.

·  “The Long and Short on Long-Short,” by Bruce I. Jacobs, Presentation to the Institute for Quantitative Research in Finance (Q-Group) Conference Long/Short Strategies in Equities and Fixed Income,” Fall 1995: The real benefits of long-short investing emerge from an integrated optimization that considers long and short positions simultaneously. Integrated optimization frees the long-short portfolio of benchmarks constraints, giving it more flexibility to pursue returns and control risk. 

·  “Market-Neutral Strategy Limits Risk,” by Bruce I. Jacobs and Kenneth N. Levy, Pension Management, July 1995: Balancing long and short positions in a portfolio can neutralize the portfolio’s exposure to broad market movements and add flexibility in the pursuit of return.

·  “Scoreboard,” Pensions & Investments, February 20, 1995: Within its size category ($1 billion to $10 billion under management), Jacobs Levy ranks Number Five in attracting new domestic equity investments, with a $498 million gain.

·  “It Even Gets a New Name: Aggressive/Specialty Fund Restructured,” United Airlines Pilots’ DAP, February 13, 1995: Jacobs Levy is one of the managers selected for United Airlines’ Aggressive/Specialty Equity Fund, within its Directed Account Program. “One of the country’s leading quantitative managers, Jacobs Levy ‘disentangles’ security returns across different stock attributes and industry affiliations” and will invest across the entire small cap market for the Aggressive/Specialty Equity Fund.

·  “Pension Funds May Sell Short: IRS,” by Vineeta Anand, Pensions & Investments, January 9, 1995: A new ruling by the IRS holds that short sales do not give rise to unrelated business taxable income; the result, according to Bruce Jacobs, could be a “substantial broadening of interest among tax-exempt investors” in market neutral strategies.

·  “Psst, We’re Market-Neutral,” by Miriam Bensman, Institutional Investor, January 1995: In a brief survey of long-short managers that have persisted in the face of failures such as the Askin Capital Management debacle, Jacobs Levy is highlighted as one manager that has been able to provide equity-like returns at half the volatility of equity.

·  “Reuters’s Instinet Is Biting Off Chunks of Nasdaq’s Territory,” by Warren Getler, Wall Street Journal, October 4, 1994: Ken Levy notes that trading on Instinet “enables us to get better executions than if we had to just farm out the order to brokers.”

·  “Short Sale IRS Rule Due in ’94,” by Vineeta Anand, Pensions & Investments, March 21, 1994: Jacobs Levy’s market neutral equity strategies are among those that may benefit from the IRS’s clarification of the tax treatment for short sales.

·  “Floored,” by Paul Gibson, Financial World, February 15, 1994: In line with Ken Levy’s comment that “We find more and more liquidity on the electronic networks,” more fund managers bypass the major stock markets to trade amongst themselves.

·  “New Guide for Trekking Globally,” by Barry B. Burr, Pensions & Investments, October 18, 1993: In their newly published Global Investing, Roger Ibbotson and Gary Brinson discuss the application of the anomalies research undertaken by Bruce Jacobs and Ken Levy to world markets.

·  “Trading Electronically Comes of Age: Rocket Science Becomes Daily Trading Tool,” by Kenneth N. Levy, Presentation to the New York Society of Security Analysts Conference Financial Investment Management,” September 1993: Electronic trading can offer benefits of low cost and anonymity versus trading the old-fashioned way.

·  “Funds Adding Managers,” Pensions & Investments, July 26, 1993: New York State & Local Retirement Systems hires Jacobs Levy to run $50 million in equities.

·  “Two-Sided Bets,” by Martin J. Gross, Barron’s, June 7, 1993: Jacobs Levy favors a market neutral approach to long-short investing.

·  “The Long and Short of It,” by Kenneth N. Levy, Presentation to the Association for Investment Management and Research Conference The Ripple that Starts the Wave,” May 1993: Long-short portfolio management can entail complications not found in long-only management. Most of these are related to short selling. The benefits of long-short portfolios should outweigh the added effort.

·  “A Long-Plus-Short Market Neutral Strategy,” by Bruce I. Jacobs and Kenneth N. Levy, Presentation to the Association for Investment Management and Research Conference The CAPM Controversy: Policy and Strategy Implications for Investment Management,” March 1993: If investors hold diverse opinions and short selling is constrained, then the market will not be efficient and stocks that are overpriced (short sale candidates) are likely to outnumber stocks that are underpriced (purchase candidates). A long-short portfolio can take full advantage of this.

·  “Scoreboard,” Pensions & Investments, February 22, 1993: Within its size category ($1 billion to $10 billion under management), Jacobs Levy ranks Number Three in attracting new domestic equity investments, with a $645 million gain.

·  “The Biggest Percentage Gainers,” Institutional Investor, February 1993: Jacobs Levy ranks Number Four in percentage increase in tax-exempt assets under management for the year ending June 30, 1992.

·  “Instinet Secures Its Place On Desks Of Money Managers As Volume Hits Critical Mass,” Investment Management Technology, October 30, 1992: Having spent three years developing portfolio management systems, Bruce Jacobs and Ken Levy favor Instinet for efficiency of trades, especially for OTC stocks.

·  “Georgia-Pacific Hires Jacobs Levy in Shakeup,” Money Management Letter, March 30, 1992: Georgia-Pacific has hired Jacobs Levy to run a quantitative-oriented large cap account as part of a reshuffling of its equity portfolio.

·  “Magnificent or Mediocre?” by Joel Chernoff, Pensions & Investments, March 16, 1992: Alternative trading systems such as Instinet are on the rise in part, says Ken Levy, because they provide “another source of low-cost liquidity.”

·  “Structured Investing: Tomorrow’s World. The Evolution from Passive to Active,” by Chuck Epstein, Global Custodian, March 1992: Jacobs Levy routinely scans 3000 stocks through some 50 screens searching for candidates to includes in its strategies.

·  “Details of DuPont Mandates Revealed,” Global Investor, March 1992: Seeking its first external managers for a $200 million portion of its equity portfolio, du Pont assigns a piece to Jacobs Levy, a quantitative manager that uses unique research to identify multiple market anomalies.

·  “Scoreboard,” Pensions & Investments, February 3, 1992: Within its size category ($250 million to $1 billion under management), Jacobs Levy ranks Number Three in attracting new domestic equity investments, with a $391 million gain.

·  “Electronic Trading Use on the Rise,” by Joel Chernoff, Pensions & Investments, December 9, 1991: Jacobs Levy, which manages more than $800 million, trades hundreds of stocks at a time almost exclusively on electronic trading systems such as the NYSE’s DOT system, Instinet, POSIT, and Morgan Stanley’s MatchPlus, in search for liquidity and low transaction costs.

·  “Picking Stock Pickers: Budge Collins Brings Years of Experience to Finding Money Managers,” by Jaye Scholl, Barron’s, November 11, 1991: Ken Levy, “one of the leading practitioners” of market neutral investing, attended the annual conference of Budge Collins, Newport Beach, California, pension consultant.

·  “Market Neutral Equity Strategies,” by Bruce I. Jacobs, Presentation to the New York Society of Security Analysts, November 1991: An equity strategy that exploits both long and short positions can improve upon the return/risk ratio.

·  “What’s Behind Hedged Portfolios: Practical Approaches to Long-Short Strategies,” by Kenneth N. Levy, Presentation to the Society of Quantitative Analysts, November 1991: Creating a long-short equity portfolio requires purchasing securities that are expected to perform well and selling short a roughly equal dollar amount of securities that are expected to perform poorly. When the portfolio is designed so that the market sensitivities of the overall long and short positions are equal, the portfolio will be relatively insensitive to broad market movements.

·  “Market Neutral Funds Gain Fans,” by Terry Williams, Pensions & Investments, September 16, 1991: Jacobs Levy’s multidimensional approach to market neutral investing appeals to Consolidated Natural Gas and Unisys Corp. Says partner Bruce Jacobs of the firm’s approach: “We have built a multidimensional process. We build portfolios that . . . are well diversified across a large number of . . . market inefficiencies.”

·  “Has Value Investing Lost its Value?” by Julie Rohrer, Institutional Investor, June 1991: In this critique of value investing, Jacobs Levy is highlighted for its impressive performance record and for eschewing traditional value investing in favor of an approach that seeks to untangle myriad sources of return in a complex stock market. Bruce Jacobs says, “People haven’t unbundled and separated out these effects . . . that’s the true insight we’ve had—the notion of disentangling all the effects from one another; that way you can measure and monitor them all individually.”

·  “How Jacobs and Levy Crunch Stocks for Buying—and Selling,” by James A. White, Wall Street Journal, March 20, 1991: After years of research, Jacobs Levy is off to a fast start since beginning to manage portfolios for institutional investors; Jacobs Levy attribute their success to their thorough, multidimensional approach. “They were the first to bring so much of this anomaly material together,” says Charles A. D’Ambrosio, Editor of Financial Analysts Journal. article

·  “Scoreboard,” Pensions & Investments, February 4, 1991: Within its size category (under $250 in management), Jacobs Levy ranks Number Three in attracting new equity investments, with an $80 million gain. 

·  “Allocation Strategy Takes Step Beyond Value,” Pensions & Investments, September 17, 1990: Warren A. Johnson of consultant Johnson Portfolio Strategy group notes: “Work published a couple of years ago in the Financial Analysts Journal . . . by Bruce Jacobs and Kenneth Levy showed there are significant areas that are not explained by simple value measures.”

·  “Leaning Towards Tilt Funds?” by Mark Tapley and Frank Naylor, Global Investor, July/August 1990: In discussing the exploitation of market inefficiencies identified by careful analysis of equity data bases, this article notes that Bruce Jacobs and Ken Levy’s “Disentangling Equity Return Regularities: New Insights and Investment Opportunities” (Financial Analysts Journal, May/June 1988) is “a key work.”  

·  “Stock Market Complexity and Investment Opportunity,” by Bruce I. Jacobs and Kenneth N. Levy, Presentation to the Institute for Quantitative Research in Finance Conference (Q-Group) Conference New Perspectives on Equity Valuation,” Spring 1990: In a complex stock market, prices are not entirely random; but stock price behavior cannot be explained by simple rules, either. A complex market is one in which numerous, interrelated factors create regularities that offer opportunities for profitable investing. Detecting and exploiting these opportunities requires examining the factors simultaneously, in a multivariate framework.

·  “Graham and Dodd Awards for 1988,” Financial Analysts Journal, May/June 1989: Bruce Jacobs and Kenneth Levy receive a Graham and Dodd Award for “Disentangling Equity Return Regularities: New Insights and Investment Opportunities,” published in the May/June 1988 Financial Analysts Journal.

·  “Equity Evaluation Methods and Strategies: From Tried and True to New,” by Bruce I. Jacobs, Presentation to the  Financial Analysts Federation Conference Challenging the 90s,” May 1989: Simple approaches to investing, such as “buy low P/E” or “buy small cap stocks” don’t work in a stock market that is complex. A complex market requires a multidimensional, quantitative approach.

·  “That Low-P/E Gold Might Really Be Lead,” by Barbara Donnelly, Wall Street Journal, April 25, 1989: When markets turn down, Ken Levy warns, “low-P/E stocks are often the first hit because they tend to be smaller, riskier, more fragile companies. In full-blown bear markets, however, low-P/E stocks perform well, largely because these stocks’ high dividend yields cushion returns.”

·  “How Dividend Discount Models Can Be Used to Add Value,” by Bruce I. Jacobs and Kenneth N. Levy, Presentation to the Institute of Chartered Financial Analysts Conference Improving Portfolio Performance with Quantitative Models,” April 1989: The dividend discount model is only one aspect of valuation; what’s more, its performance can be perverse in some market environments. A fuller and truer picture emerges when one considers multiple factors that affect value. 

·  “Timing Stock Decisions Can Boost Returns,” by Leo Fasciocco, Investor’s Business Daily, January 24, 1989: Ken Levy notes that “A lot of the declines on Mondays have to do with psychology,” but there are more fundamental reasons, too, why Mondays tend to be down days for stocks.

·  “For Savvy Investors, Timing is Money,” by Patrick Bloomfield, Financial Post (Toronto), January 10, 1989: Bruce Jacobs and Ken Levy’s latest article in Financial Analysts Journal is recommended as “must reading” for investors interested in finding out how to take advantage of calendar and other (often psychologically-motivated) time effects.

·  “Web of ‘Regularities’ Leads to Opportunity,” by Bruce I. Jacobs and Kenneth N. Levy, Pensions & Investments, March 7, 1988: Jacobs and Levy, drawing on their work to be published in Financial Analysts Journal, discuss why return regularities exist and how understanding their sources can open the door to investment opportunities. They say: “Major tenets of conventional investment theory, including market efficiency, investor rationality and value-based pricing, are suspect. In an inefficient market, investment opportunities are bountiful, and an empirical walk down Wall Street produces new insights and novel investment ideas.”  article

·  “Viewpoint on Portfolio Insurance: It’s Prone to Failure,” by Bruce I. Jacobs, Pensions & Investment Age, November 16, 1987: Portfolio insurance failed to protect during the 1987 crash. In fact, it contributed to the market break that caused its demise. Jacobs finds that “the explosive growth of the portfolio insurance industry has exhibited the characteristics of a fad, whose bubble has now burst.”

·  “Being in S&P 500 May Affect Stock Prices,” by Barbara Donnelly, Wall Street Journal, November 12, 1987: Ken Levy says “stock investors should consider S&P 500 indexed mutual funds to be more risky than the market as a whole,” because in bear markets S&P stocks stand to lose the premium they tend to enjoy in bull markets.

·  “Disentangling Equity Return Regularities,” by Bruce I. Jacobs and Kenneth N. Levy, Presentation to the Institute of Chartered Financial Analysts Conference Equity Markets and Valuation Methods,” September 1987: Sources of return regularities are usually interrelated, so that their effects on stock price behavior are entangled. Disentangling them via multivariate analysis allows one to arrive at “pure” returns.

·  “Monday Puzzle: Stock Market Lags Other Days,” by George Anders, Wall Street Journal, April 20, 1987: Bruce Jacobs notes that the tendency of stocks to dip on Monday is one factor Jacobs Levy examines when looking to trade, but not the dominant factor. 

·  “Investment Management: Opportunities in Anomalies,” by Bruce I. Jacobs and Kenneth N. Levy, Pension World, February 1987: Jacobs and Levy discuss systematic patterns of stock price behavior that are anomalous in the context of efficient market theory and explain how disentangling these patterns would allow investors to exploit the true sources of expected return.

·  “Investors Rush for Portfolio Insurance: Skeptics Worry About Effects on Stock Markets,” by George Anders, Wall Street Journal, October 14, 1986: According to Bruce Jacobs, “In a fast-moving market, portfolio insurance users can get bagged.”

·  “Jacobs, Levy Firm,” Pensions & Investment Age, September 29, 1986: Bruce I. Jacobs and Kenneth N. Levy have left their posts as senior managing director and managing director, respectively, of Eagle Rock Asset Management, a subsidiary of the Prudential Insurance Co. of America, to start their own money management firm. Jacobs Levy Equity Management will provide quantitative equity management designed to capture stock market anomalies.

·  “Anomaly Capture Strategies,” Bruce I. Jacobs and Kenneth N. Levy, Presentation to the University of California-Berkeley Program in Finance Conference The Behavior of Security Prices: Market Efficiency, Anomalies and Trading Strategies,” September 1986: Detecting and exploiting anomalies in stock price behavior requires a multidimensional approach.

·  “Hidden Risks in Portfolio Insurance,” by Daniel Forbes, Dun’s Business Month, September 1986: In this assessment of portfolio insurance, Bruce Jacobs talks of the strategy’s shortfalls and has the last word: “Portfolio insurance is performance insurance for money managers. . . .”

·  “Flocking to Hear the Dynamic ‘Gospel’,” Futures, August 1986: Coverage of the New York City conference at which Bruce Jacobs debated John O’Brien of Leland O’Brien Rubinstein Associates.

·  “Portfolio Insurance’s Merits Spur Debate,” by Trudy Ring, Pensions & Investment Age, July 7, 1986: In debating John O’Brien of portfolio insurance purveyor Leland O’Brien Rubinstein Associates, Bruce Jacobs notes that: “If one chooses to lock in gains today, one may be locking out gains tomorrow.”

·  “Broader Indexes Widen Horizons,” by Kenneth N. Levy and Bruce I. Jacobs, Pensions & Investment Age, August 20, 1984: The S&P 500 is not truly representative of the U.S. equity market, and this has implications for investing. According to the authors, “the more stable and well-defined characteristics of broad-based index funds render them superior to S&P 500 index funds for asset allocation decision-making.” 

·  “The Portfolio Insurance Puzzle,” by Bruce I. Jacobs, Pensions & Investment Age, August 22, 1983: Bruce Jacobs describes portfolio insurance’s shortfalls and warns, “while investors may be comforted by limiting losses for short intervals, they should recognize that the opportunity costs of the hedged position in cash equivalents will seriously hinder longer-term performance of their portfolio.”

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