- Hardcover: 284 pages
- Publisher: John Wiley & Sons (23 Nov 2004)
- Language English
- ISBN-10: 0471268682
- ISBN-13: 978-0471268680
- Product Dimensions: 23.7 x 16.1 x 2.7 cm
- Amazon Bestsellers Rank: 982,850 in Books (See Top 100 in Books)
- See Complete Table of Contents
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More About the Author
Product Description
Product Description
An inside view of what makes market neutral strategies tick and how they can be implemented
Market neutral strategies have gained attention for their potential to deliver positive returns regardless of the direction of underlying markets. As these strategies have built a record of good performance in recent years, their benefits have become apparent. Market Neutral Strategies draws on the wisdom and experience of professional practitioners to describe strategies that are being utilized by some of today′s leading institutional investors. This book provides readers with an insider′s view of what makes these strategies work and how they can be implemented successfully. Topics covered include long–short equity and convertibles, fixed income and merger arbitrage; the tax and ERISA implications of market neutral investing; and the failure of two notorious "market neutral" ventures, Askin Capital Management and Long–Term Capital Management.
Bruce I. Jacobs (Florham Park, NJ) and Kenneth N. Levy are cofounders and principals of Jacobs Levy Equity Management, in Florham Park, New Jersey. They are coauthors of Equity Management: Quantitative Analysis for Stock Selection. Bruce Jacobs holds a PhD in finance from the Wharton School of the University of Pennsylvania. He is also the author of Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes.
From the Inside Flap
Market neutral strategies offer new tools for enhancing investment return and controlling risk; new avenues for diversifying the risks of investing in stocks and bonds; and new flexibility in asset allocation and funds management. As market neutral strategies have built a record of good performance, these benefits have become more evident, attracting the interest of institutional investors, as well as sophisticated individuals.
The book draws on the wisdom and experience of professional practitioners to describe the types of market neutral strategies in use today. These include market neutral equity, convertible arbitrage, merger arbitrage, government fixed–income arbitrage, and mortgage arbitrage. Related topics covered include how to "transport" the alpha available from a market neutral strategy to different asset classes in order to maximize both security selection and asset allocation; the tax implications of market neutral investing for taxable investors; and tax and ERISA concerns for tax–exempt investors.
An in–depth look at the failures of two notorious "market neutral" ventures—Askin Capital Manage–ment and Long–Term Capital Management—offers a checklist of "do nots."
Filled with practical insight and useful advice, Market Neutral Strategies provides investors with insiders′ views of what makes these strategies tick.
Inside This Book
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First Sentence
As the cofounders and principals of Jacobs Levy Equity Management, we have been designing, managing, and writing about marker neutral equity strategies since 1990. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
As the cofounders and principals of Jacobs Levy Equity Management, we have been designing, managing, and writing about marker neutral equity strategies since 1990. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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