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Modern Portfolio Management "Active Long/Short 130/30 Equity Strategies"

Active Long/Short 130/30 Equity Strategies

Modern Portfolio Management "Active Long/Short 130/30 Equity Strategies". Active Long/Short 130/30 Equity Strategies

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  • ISBN:9780470398531
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:512
  • Idiomas:Ingles

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Active 130/30 Extensions is the newest wave of disciplined investment strategies that involves asymmetric decision-making on long/short portfolio decisions, concentrated investment risk-taking in contrast to diversification, systematic portfolio risk management, and flexibility in portfolio design. This strategy is the building block for a number of 130/30 and 120/20 investment strategies offered to institutional and sophisticated high net worth individual investors who want to manage their portfolios actively and aggressively to outperform the market.

Foreword The High and Low of 130/30 Investing
Introduction Evolution of the Active Extension Concept 1
Pt. 1 Active 130/30 Extensions and Diversified Asset Allocations 9
Ch. 1 Active 130/30 Extensions and Diversified Asset Allocations 11
Pt. 2 The Role of Quantitative Strategies in Active 130/30 Extensions 45
Ch. 2 Active Extension - Portfolio Construction 47
Ch. 3 Managing Active Extension Portfolios 50
Pt. 3 Special Topics Relating to Active 130/30 Extensions 71
Ch. 4 Active Extension Portfolios: An Exploration of the 120/20 Concept 73
Ch. 5 Alpha Ranking Models and Active Extension Strategies 91
Ch. 6 The Tracking Error Gap 103
Ch. 7 Correlation Effects in Active 120/20 Extension Strategies 119
Ch. 8 Alpha Returns and Active Extensions 135
Ch. 9 An Integrated Analysis of Active Extension Strategies 149
Ch. 10 Portfolio Concentration 167
Ch. 11 Generic Shorts in Active 130/30 Extensions 185
Ch. 12 Beta-Based Asset Allocation 197
Ch. 13 Beta Targeting: Tapping into the Appeal of Active 130/30 Extensions 215
Ch. 14 Activity Ratios: Alpha Drivers in Long/Short Funds 237
Ch. 15 Generalizations of the Active 130/30 Extension Concept 257
Pt. 4 Key Journal Articles 267
Ch. 16 On the Optimality of Long/Short Strategies 269
Ch. 17 The Efficiency Gains of Long/Short Investing 297

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