Market Neutral
Strategies
Bruce I. Jacobs and Kenneth N. Levy, Editors
Endorsements
"Market Neutral Strategies surpasses its mission. Bruce Jacobs, Ken Levy, and their contributing authors elucidate the sources of potential alpha for a breadth of strategies, as well as the origins of prior miscues. At long last there is a single volume that is a practical and comprehensive guide for investors who want to explore or to learn more about market neutral and a valuable reference for seasoned investors."
Edgar J. Sullivan, Ph.D., CFA, Managing Director, Absolute Return Strategies, General Motors Asset Management
"Jacobs and Levy have once again shown their commitment to advancing the practice of investment management by producing a comprehensive, thought-leading treatment of market neutral investing. The well-selected authors provide timely guidance on what we as institutional investors are challenged to think and act
upon—namely, a clear understanding of the various sources of risk, the decisions to be taken between market (beta) and active (alpha) risk, and the application of the same in the prudent allocation of risk within our portfolios."
Thomas F. Obsitnik, CFA, Investment Advisor, Pension and Benefit Investments,
Eli Lilly and Company
"Many institutional investors are attracted to market neutral strategies, not only because of their impressive performance, but also because they enable investors to separate management of market risk (beta) from selection risk (alpha). In
Market Neutral Strategies, an impressive line-up of respected practitioners provides an excellent overview of all major aspects of these strategies. Importantly, the book underscores that their power lies in an integrated approach and not a simple combination of long and short
portfolios—a fact too often ignored. This excellent and highly relevant publication provides practical answers to practical problems, and I recommend it to every investor interested in implementing a market neutral approach."
Hans de Ruiter, Senior Portfolio Manager, ABP Investments
"Bruce Jacobs and Ken Levy's latest book addresses its subject in a characteristically clear, rigorous, and comprehensive fashion. It contains a wealth of insights about market neutral investing from a range of real-life practitioners. I would commend
Market Neutral Strategies to anyone with the desire or need to gain a sound understanding of the practicalities and potential uses, advantages, and risks of this approach to investing."
Rick Harper, Chief Executive Officer, Superannuation Funds of South Australia
"Serious about market neutral investing? This is the best book to date on the nearest of kin to classic arbitrage. The authors are expert, clear, and balanced. The content is rich. The style is rigorous without being academic, and free of superfluous jargon. The autopsies of two failed hedge funds are worth the price of admission. Bruce Jacobs and Ken Levy blazed the trail for institutional market neutral investing; now they illuminate it."
Richard M. Ennis, CFA, Principal, Ennis Knupp + Associates
"As arbitrageurs move from the back office to the front page, investors must have resources to guide them. Jacobs and Levy provide a guide that is dense with information, background, and examples. They handle the complex subject of investing in markets while remaining neutral to the whims of those markets at a level the intelligent investor will understand. Moreover, they place market neutral investing in the context of alpha generation and explain its role in asset allocation. Finally, they aid the taxable and tax-exempt investor in navigating the rules of the game. This book is an important tool for maneuvering through market neutral strategies."
Leola Ross, Ph.D., CFA, Senior Research Analyst, Russell Investment Group
"At last. A comprehensive book on the challenges and opportunities in market neutral investing, and a roadmap of pitfalls that many would find only by stumbling into them. This would make a nice text for an MBA in finance, and provides a valuable reference for anyone considering investments in the market neutral arena."
Robert D. Arnott, Chairman, Research Affiliates, LLC, and Editor, Financial Analysts Journal
"Because they have little or no correlation with broad markets, market neutral strategies are sought after by investors who desire active returns that can diversify traditional investment portfolios.
Market Neutral Strategies provides a comprehensive review of the risks, potential returns, and mechanics of such strategies, drawing on the theoretical and hands-on knowledge of industry experts."
Harry M. Markowitz, 1990 Nobel Laureate in Economics
"Bruce Jacobs and Ken Levy have done a masterful job of collecting information useful to market neutral investors. The presentation is clear and concise. The topics covered are wide-ranging and up to date, including the current hot topic of alpha transport. My favorite features are the unique question-and-answer sections, which provide answers to typical investor questions in an easily accessible format. Anyone who plans to invest in market neutral strategies should read this book."
Brian Bruce, Editor-In-Chief, The Journal of Investing
"This book contains intuitive, informative, and insightful discussions of major market neutral strategies. Jacobs, Levy, and the other contributors share their own rich and diverse experiences in implementing these strategies in real life. Written in plain English, the book is an invaluable resource for investment professionals dealing with hedge fund strategies."
Professor Narayan Y. Naik, Director, Centre for Hedge Fund Research and Education, London Business School
"While managing several billion dollars in equities, I became frustrated by the value that I was not allowed to add, because of long-only mandates. The quant models actually worked even better on 'dog' stocks than on 'stars,' but without short selling, the additional information was useless. Even worse were the tracking error constraints that forced me to go down with the market as it collapsed.
Market Neutral Strategies will do much to promote and increase the acceptability of alternative strategies, to the benefit of all investors. As always, Bruce Jacobs and Ken Levy are clear, focused, sharp, and insightful. Combine this with their plain English expositions and avoidance of esoteric theory, and you have a 'must read' for any serious investor."
Les Balzer, Professor of Finance, The University of New South Wales and Head of Research, Hedge Funds of Australia Limited
"This book is a must read for all contemplating market neutral strategies. It shows how an optimized combination of long and short positions can exploit both quantitative and qualitative insights about relative security valuations. Because many investors cannot act on negative insights by selling short, there are more opportunities on the short side. Thus those who can sell short, and who know how to integrate their short positions with their long positions, are at a major advantage."
Edward M. Miller, Research Professor of Economics and Finance, University of New Orleans
"Transparency is rare in financial markets, but you will find it in this book. Jacobs, Levy, and their coauthors are lucid in their descriptions of the benefits of market neutral strategies, and they are equally lucid in their descriptions of the risks and failures. I enjoyed
Market Neutral Strategies and highly recommend it."
Meir Statman, Glenn Klimek Professor of Finance, Santa Clara University
"For decades, Bruce Jacobs and Ken Levy have provided awesome thought leadership to the financial industry in an easy-to-read format. This book continues that marvelous tradition, giving readers an insider's look at market neutral investing."
Wayne H. Wagner, Chairman, Plexus Group, Inc.
"Market Neutral Strategies illuminates for the serious investor the techniques, benefits, and risks of the various methods of market neutral investing. It also shows the many possible gains from using market neutral strategies as part of an investor's total portfolio. The insights are valuable for understanding all types of hedge funds."
Edward O. Thorp, Ph.D., Edward O. Thorp Associates, and Author of Beat the Dealer
"As Bruce I. Jacobs and Kenneth N. Levy . . . use the term . . . 'market neutral' is a broad heading that can include anything
non-directional—market neutral equity . . . along with the arbitraging of government bonds, corporate convertibles, asset backed securities and the two sides of a merger . . . the authors are to be commended."
Christopher Faille, "Lots of Market Neutral Trees and a Map for the Forest," HedgeWorld News
(www.hedgeworld.com), November 5, 2004.