Equity Management: Quantitative Analysis for Stock Selection

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9780071346863: Equity Management: Quantitative Analysis for Stock Selection

Two pioneers and innovators in the money management field present their choice of groundbreaking, peer-reviewed articles on subjects including portfolio engineering and long-short investment strategy. More than just a collection of classic review pieces, however, Equity Management provides new material to introduce, interpret, and integrate the pieces, with an introduction that provides an authoritative overview of the chapters. Important and innovative, it is destined to become the "Graham and Dodd" of quantitative equity investing.

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From the Publisher:

“Equity Management: Quantitative Analysis for Stock Selection” includes a foreword by Harry M. Markowitz, recipient of the Nobel Prize in Economic Sciences for his pioneering work developing modern portfolio theory.

Praise for “Equity Management”

“’Equity Management’ should be mandatory reading for any equity investor interested in quantitative techniques.” - Richard Bernstein, Chief Quantitative Strategist, Merrill Lynch & Co.

“Demonstrates how investors can combine economic and company fundamentals and qualitative factors successfully in the investment process.” - Jon A. Christopherson, Research Fellow, Frank Russell Company

“A book that every serious student of stock selection and portfolio management should read and devour.” - David K. Whitcomb, Professor Emeritus of Finance, Rutgers University and Founder and CEO, Automated Trading Desk, Inc.

“This insightful book demonstrates how the exceptional investor can profit by taking advantage of the cognitive errors of normal investors.” - Meir Statman, Glenn Klimek Professor of Finance, Santa Clara University

“The thoroughness and originality of Jacobs and Levy’s thinking should inspire and challenge every investment manager.” - Wayne H. Wagner, Chairman, Plexus Group, Inc.

“Jacobs and Levy combine rigorous academic research with valuable insights into the real world of investment practice.” - Edward M. Miller, Research Professor of Economics and Finance, University of New Orleans

"An abundant source of ideas for any investor interested in winning stock selection techniques." - Brian Bruce, Editor, “The Journal of Investing”

“A virtual encyclopedia of techniques and strategies to outperform the market, it's destined to take its place among the classics.” - Frank J. Fabozzi, Adjunct Professor of Finance, Yale University, and Editor, “The Journal of Portfolio Management”

From the Inside Flap:

Bruce Jacobs and Ken Levy have long been recognized as pioneers in quantitative equity management. As principals of Jacobs Levy Equity Management, a leading-edge quantitative money manager, Jacobs and Levy have devoted over 12 years to state-of-the-art research into security pricing, portfolio construction, and sophisticated trading techniques. Their groundbreaking work on "disentangling" return regularities, "engineering" portfolios to performance benchmarks, and "long-short" investing has been featured at professional forums such as the Institute of Chartered Financial Analysts’ Continuing Education seminars and in the pages of Institutional Investor and the Wall Street Journal.

In the 1980s, Jacobs and Levy began to publish a series of articles in the peer-reviewed Financial Analysts Journal, Journal of Portfolio Management, and Journal of Investing. These articles are based on the authors’ own research into and experience with detecting and exploiting the recurring profit opportunities available in a supposedly "efficient" marketplace. They changed the course of modern money management by giving active investment management the tools needed to beat the market consistently. Equity Management assembles these articles for the first time ever. The book groups these 15 articles, from 1988’s "Disentangling Equity Return Regularities" through 1999’s "Alpha Transport with Derivatives," into three parts that cover the range of Jacobs and Levy’s investment philosophy and strategies, from selecting securities to managing portfolios to expanding opportunities with short-selling and derivatives. New introductory material provides a perspective on the articles, placing each within the broader context of the authors’ whole body of knowledge. The end result is a fascinating review of the concepts that form the foundation of modern active equity management, and the contributions the authors’ works have made to that foundation.

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