Modern 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 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 xiStructure of the Book xxiiiAcknowledgments xxixINTRODUCTION Evolution of the Active Extension Concept 1PART ONE Active 130/30 Extensions and Diversified Asset Allocations 9CHAPTER 1 Active 130/30 Extensions and Diversified Asset Allocations 11PART TWO The Role of Quantitative Strategies in Active 130/30 Extensions 45CHAPTER 2 Active Extension--Portfolio Construction 47CHAPTER 3 Managing Active Extension Portfolios 59PART THREE Special Topics Relating to Active 130/30 Extensions 71CHAPTER 4 Active Extension Portfolios: An Exploration of the 120/20 Concept 73CHAPTER 5 Alpha Ranking Models and Active Extension Strategies 91CHAPTER 6 The Tracking Error Gap 103CHAPTER 7 Correlation Effects in Active 120/20 Extension Strategies 119CHAPTER 8 Alpha Returns and Active Extensions 135CHAPTER 9 An Integrated Analysis of Active Extension Strategies 149CHAPTER 10 Portfolio Concentration 167CHAPTER 11 Generic Shorts in Active 130/30 Extensions 185CHAPTER 12 Beta-Based Asset Allocation 197CHAPTER 13 Beta Targeting: Tapping into the Appeal of Active 130/30 Extensions 215CHAPTER 14 Activity Ratios: Alpha Drivers in Long/Short Funds 237CHAPTER 15 Generalizations of the Active 130/30 Extension Concept 257PART FOUR Key Journal Articles 267CHAPTER 16 On the Optimality of Long/Short Strategies 269CHAPTER 17 The Efficiency Gains of Long/Short Investing 297CHAPTER 18 Toward More Information-Efficient Portfolios 323CHAPTER 19 Allocation Betas 343CHAPTER 20 Alpha Hunters and Beta Grazers 365CHAPTER 21 Gathering Implicit Alphas in a Beta World: New Questions about Alternative Assets 379CHAPTER 22 Optimal Gearing: Not All Long/Short Portfolios Are Efficient 395CHAPTER 23 20 Myths about Enhanced Active 120/20 Strategies 413CHAPTER 24 Active 130/30 Extensions: Alpha Hunting at the Fund Level 429CHAPTER 25 Long/Short Extensions: How Much Is Enough? 467About the Authors 497Index 501