·  “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’ 30^th 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 10^th 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.

·  “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, The 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.”

·  “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.

·  “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.”