Modern Portfolio Management

MARTIN L. LEIBOWITZ is Managing Director on the U.S. Equity Strategy team at Morgan Stanley. Prior to joining Morgan Stanley in 2004, he was vice chairman and chief investment officer of TIAA-CREF. Leibowitz is a leading authority in the fields of security analysis and overall portfolio allocation strategies. He is the author of four books, including Franchise Value (Wiley), and 138 articles, ten of which have won the prestigious Graham and Dodd Award for excellence in financial writing. Leibowitz serves on a number of endowment and foundation investment committees, including Harvard University, University of Chicago, Rockefeller Foundation, Carnegie Corporation, and the Institute for Advanced Study.
 
SIMON EMRICH is Head of Quantitative and Derivative Strategies North America at Morgan Stanley. Most recently, he has worked on issues related to alpha-beta separation and the optimization of alpha views in a benchmark-relative portfolio context, as well as on the implications of the quant meltdown during the second half of 2007. He holds degrees from the London School of Economics and Université Catholique de Louvain, in Louvain-la-Neuve, Belgium.
 
ANTHONY BOVA, CFA, is a vice president with Morgan Stanley Equity Research's Global Strategy team, focusing on institutional portfolio strategy. Prior to his current role, Bova spent four years covering commodity chemicals at Morgan Stanley. Leibowitz and Bova recently received the ninth annual Bernstein Fabozzi/Jacobs Levy Awards for coauthoring "Gathering Implicit Alphas in a Beta World," cited as the best paper in the 2007 Journal of Portfolio Management.

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.

Active 130/30 Extensions is the newest wave of disciplined investment strategies that involve asymmetric decision making on long/short portfolio decisions, investment risk taking in contrast to indexing based diversification, systematic portfolio risk management, and flexibility in portfolio design.

Foreword: The High and Low of 130/30 Investing.
 
Structure of the Book.
 
Acknowledgments.
 
INTRODUCTION: Evolution of the Active Extension Concept.
 
PART ONE: Active 130/30 Extensions and Diversified Asset Allocations.
 
CHAPTER 1: Active 130/30 Extensions and Diversified Asset Allocations.
 
PART TWO: The Role of Quantitative Strategies in Active 130/30 Extensions.
 
CHAPTER 2: Active Extension--Portfolio Construction.
 
CHAPTER 3: Managing Active Extension Portfolios.
 
PART THREE: Special Topics Relating to Active 130/30 Extensions.
 
CHAPTER 4: Active Extension Portfolios: An Exploration of the 120/20 Concept.
 
CHAPTER 5: Alpha Ranking Models and Active Extension Strategies.
 
CHAPTER 6: The Tracking Error Gap.
 
CHAPTER 7: Correlation Effects in Active 120/20 Extension Strategies.
 
CHAPTER 8: Alpha Returns and Active Extensions.
 
CHAPTER 9: An Integrated Analysis of Active Extension Strategies.
 
CHAPTER 10: Portfolio Concentration.
 
CHAPTER 11: Generic Shorts in Active 130/30 Extensions.
 
CHAPTER 12: Beta-Based Asset Allocation.
 
CHAPTER 13: Beta Targeting: Tapping into the Appeal of Active 130/30 Extensions.
 
CHAPTER 14: Activity Ratios: Alpha Drivers in Long/Short Funds.
 
CHAPTER 15: Generalizations of the Active 130/30 Extension Concept.
 
PART FOUR: Key Journal Articles.
 
CHAPTER 16: On the Optimality of Long/Short Strategies.
 
CHAPTER 17: The Efficiency Gains of Long/Short Investing.
 
CHAPTER 18: Toward More Information-Efficient Portfolios.
 
CHAPTER 19: Allocation Betas.
 
CHAPTER 20: Alpha Hunters and Beta Grazers.
 
CHAPTER 21: Gathering Implicit Alphas in a Beta World: New Questions about Alternative Assets.
 
CHAPTER 22: Optimal Gearing: Not All Long/Short Portfolios Are Efficient.
 
CHAPTER 23: 20 Myths about Enhanced Active 120/20 Strategies.
 
CHAPTER 24: Active 130/30 Extensions: Alpha Hunting at the Fund Level.
 
CHAPTER 25: Long/Short Extensions: How Much Is Enough?
 
About the Authors.
 
Index.

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