Firm Profile
Jacobs Levy Equity Management, founded in 1986, is
an independent, leading-edge quantitative equity manager focused exclusively on
U.S. equity portfolios offered in separate accounts. Based in New Jersey, the
firm currently manages over $20 billion for a prestigious global roster of more than
50 corporate pension plans, public retirement systems, multi-employer funds,
endowments, and foundations, including over 25 of Pensions & Investments'
“Top 200 Pension Funds/Sponsors.” Clients are served by a staff of
55, one-half
of whom are professionals dedicated to research, quantitative systems, and
implementation.
Commitment
to Innovative Equity Research
Prior to accepting assets in 1990, Bruce Jacobs and
Ken Levy devoted three years to researching market inefficiencies and analyzing
the complex economic and behavioral factors underlying security returns. As part
of this endeavor, they pioneered a proprietary process of “disentangling”
return-predictor relationships. Disentangling examines numerous inefficiencies
in a multifactor framework, providing “pure” returns that amplify predictive
power. The revolutionary findings resulting from this research led to the
development of a unique multidimensional, dynamic approach to investing. Based
on two decades of research and experience, this approach is designed to
achieve consistent outperformance through numerous small exposures to many
different market opportunities simultaneously.
The groundbreaking concepts that form the foundation for their investment
philosophy and approach are articulated in the numerous articles Bruce and Ken
have written over the years. These have received awards from the Financial
Analysts Journal, The Journal of Portfolio Management, and The
Journal of Investing. Many have become required reading for the CFA program
and M.B.A. courses. Equity Management: Quantitative Analysis for Stock
Selection, published by McGraw-Hill in 2000, collects 15 of Bruce and Ken's
articles, including their works on engineering portfolios, long-short investing,
and what Nobel laureate Harry Markowitz has called their “seminal work” on
disentangling.
Bruce and Ken are the editors of Market Neutral Strategies, published by
Wiley in 2005. This book provides readers with insiders' views of the
implementation, the risks, and the benefits of long-short equity investing and
other strategies. It also covers tax and ERISA concerns for tax-exempt
investors, the “transportation” of alpha from a particular market neutral
strategy to other asset classes, and the failure of two notorious “market
neutral” hedge funds.
The care taken in the Jacobs Levy investment process is well represented by
Bruce's incisive analysis of modern capital ideas in his critically acclaimed
book, Capital Ideas and Market Realities, published by Blackwell in 1999.
This work discusses the pitfalls in translating financial ideas into practice.
Since 1999, Jacobs Levy has sponsored the Bernstein Fabozzi/Jacobs Levy Award
for best paper to appear annually in The Journal of Portfolio Management.
The firm supports other research to benefit the investment community by
contributing to the Research Foundation of CFA Institute, the New York
University Salomon Center, and the Fischer Black Memorial Foundation.
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