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Contents xi Implications 272 High-Definition Management 276 Benefits of High-Definition Style 278 PART THREE Expanding Opportunities 283 Chauter 11 Long-ShortEquity Investing 289 Long-Short Equity Strategies 289 Societal Advantages of Short-Selling 290 Equilibrium Models, Short-Selling, and Security Prices 291 Practical Benefits of Long-Short Investing 293 ' Portfolio Payoff Patterns 294 Long-Short Mechanics and Returns 297 Theoretical Tracking Error 300 Advantages of the Market-Neutral Strategy over Long Manager plus Short Manager 301 Advantages of the Equitized Strategy over Traditional Long Equity Management 301 Implementation of Long-Short Strategies: Quantitative versus Judgmental 303 Implementation of Long-Short Strategies: Portfolio Construction Alternatives 303 Practical Issues and Concerns 304 Shorting Issues 304 Trading Issues 305 Custody Issues 306 Legal Issues 306 Morality Issues 307 What Asset Class Is Long-Short? 307 Concluding Remarks 309
xii Contents Chauter 12 20 Myths about Long-Short 311 Chapter 13 The Long and Short on Long-Short 321 Building a Market-Neutral Portfolio 322 A Question of Efficiency 326 Benefits of Long-Short 328' Equitiziig Long-Short 331 Trading Long-Short 334 Evaluating Long-Short 339 Chapter 14 Long-Short Portfolio Management: An Integrated Approach 349 Long-Short: Benefits and Costs 350 The Real Benejits of Long-Short 352 Costs: Perception versus Reality 353 The Optimal Portfolio 355 Neutral Portfolios 358 Optimal Equitization 361 Conclusion 364 Chapter 15 Alpha Transport . with Derivatives 369 Asset Allocation or security Selection 370 Asset Allocation and Security Selection 372 Transporter Malfunctions 374 Matter-Antimatter Warp Drive 377 To Boldly Go 379 Index 381
Page 2 and 3: EQUITY MANAGEMENT.
Page 4 and 5: EQUITY MANAGEMENT Quantitative Anal
Page 6 and 7: To Ilene, Lauren, Julie, Sam, and E
Page 8 and 9: CONTENTS Foreword by Harry M. Marko
Page 10 and 11: Contents ix Chapter 4 Calendar Anom
Page 14 and 15: FOREWORD by Harry M. Markowitz, Nob
Page 16 and 17: Foreword xv In practice, of course,
Page 18 and 19: Foreword xvii that an RDM would con
Page 20 and 21: xix
Page 22 and 23: INTRODUCTION Life on the Leading Ed
Page 24 and 25: Life on the Leading Edge 3 tion abo
Page 26 and 27: Life on the Leading Edge 5 clude th
Page 28 and 29: Life on the Edge Leading 7 stocks t
Page 30 and 31: Life on the Leading Edge 9 . Quanti
Page 32 and 33: Life on the Leading Edge 11 By the
Page 34 and 35: Life on the Leading Edge 13 ple, st
Page 36 and 37: Life on the Leading Edge 15 find be
Page 38 and 39: Life on the Leading Edge 17 equal t
Page 40 and 41: P A R T ONE Selecting Securities A
Page 42 and 43: Selectine Securities 21 stocks. Suc
Page 44 and 45: selecting secunties 23 unmoved by s
Page 46 and 47: CHAPTER 1 The Complexity of the Sto
Page 48 and 49: The Complexity of the Stock Market
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The Complexity of the Stock Market
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The Comdexitv of the Stock Market 4
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The Complexity of the Stock Market
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V 7
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Disentangling Equity Return Regular
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Disentangling Equity Rehun Regulari
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Disentangling Equity Rehun Regulari
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64 selecting securities aged 59 bas
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66 selecting Securities FIGURE 2-2
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68 selecting securities FIGURE 2-3
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70 selecting securities tic of 17.8
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72 selecting securities Some Implic
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74 selecting securities Table 2-2 d
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I l
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82 Seleaine Securities these time-s
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84 selecting securities of 9.7. The
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86 selecting securities 2. There ar
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and deferring gains [as per Constan
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90 selecting securities 35. For exa
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92 selecting securities 49. Before
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94 selecting securities Ball, R. 19
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96 selecting securities Iowa, Ames.
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98 Seleaine securities James, W. an
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100 selecting securities Nicholson,
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102 selecting securities Tinic, S.
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104 selecting securities VALUE AND
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106 selecting securities Street Jou
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108 Selectine Securities This is no
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110 selecting securities plaining s
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112
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114 selecting securities transient
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116 selecting securities Na'ive Exp
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118 selecting securities (1988c)l.
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l20 selecting securities average of
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124 selecting securities We have de
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126 selecting securities movements
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l28 selecting securities 34. Pensio
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130 selecting securities Einhom, S.
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132 Selectine securities Poterba, J
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This Page Intentionally Left Blank
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136 selecting securities The availa
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138 selecting securities subsequent
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142 Selectine securities FIGURE 4-2
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144 selecting securities others usi
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146 Selectine Securities FIGURE 4-3
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l48 SelectirlE securities a market
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150 . selecringsecurities There is
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152 selecting securities 1981 and 1
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154 seleding securities Chari,V., R
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156 Selectine securities McNichols,
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160 selecting securities that betwe
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162 selecting securities Handa, Kot
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164 selecting securities risk does
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166 selecting securities returns ac
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168 selecting securities ket return
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~ more 170 Selectine securities tiv
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h h h h W v ) 000000 m N m w r "80q
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~~~ ~ ~~ 174 selecting securities A
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176 selecting securities hibit feed
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178 Seledine securities multivariat
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-2 1982 1983 1984 1985 1986 1987 18
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182 selecting securities rate produ
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184 Seledine Securities 11. Further
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186 Seleaine securities REFERENCES
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188 selecting securities Fama, E. a
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190 selecting securities Miller, E.
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194 Selectine Securities modeling p
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196 selecting securities surement e
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Earnings Estimates, Predictor Speaf
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Earnings Estimates, Predictor Speci
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0 a I "F c2 . 2 0
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216 selecting securities The Return
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U) J U) C Q) U) C S r jo-0 eke I C
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?68% $1-0 I 220
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222 Seleaine Securitiff ings data f
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224 selecting securities 4. The dif
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226 selecting securities 20. Note t
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230 Managing Portfolios have concen
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232 Managing Portfolios portfolios.
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234 Manaeine Portfolios of investme
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236 Managing Portfolios There is, n
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238 Managing Portfolios bound to ig
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240 Managing Portfolios expected to
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242 Managing Portfolios mance attri
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244 Managing Portfolios those inves
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246 Managing Portfolios vide a bigg
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248 Managing Portfolios If the firm
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250 Managing Portfolios REFERENCE J
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252 Managing Portfolios This invest
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254 Managing Portfolios FIGURE S-l
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256 Managing Portfolios manager‘s
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258 Managing Portfolios FIGURE S 4
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260 Managing Portfolios Imposition
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264 Managing Portfolios Recent stud
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High-Definition Style Rotation 267
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0 N
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272 Managing Portfolios TABLE 10-2
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274 Managing Portfolios ing pure re
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276 Managing Portfolios HIGH-DEFINI
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278 Managing Portfolios - FIGURE 10
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280 Managing Portfolios FIGURE 10-S
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282 Managing Portfolios REFERENCES
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284 Expanding Opportunities and “
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286 Expanding Opportunities such as
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290 ExpandingOpprtunities vided sho
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292 Expandingoppo~ties F I G U R E
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294 Expanding Opportunities F I G U
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2% ExpandingOpportunities FIGURE 11
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298 Expanding Opportunities Typical
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300 Expandingopportunities F I G U
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302 Expanding Opportunities news st
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304 ExpandingOpportunities dinate l
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306 ExpandingOpportunities Also, ma
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308 Expanding Opportunities FIGURE
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310 Expanding oppo~ties -and- . 199
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312 ExpandingOpportunities applied
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314 Expanding Opportunities A secur
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316 ExpandingOpportunities in 1987,
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318 Expanding Opportunities the $4.
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320 Expanding Opportunities portfol
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322 Expanding Opportunities managem
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324 Expanding Opportunities The sec
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326 Expanding Opportunities Overall
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328 Expanding Opportunities risen o
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330 Expanding Opportunities lio and
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332 Expanding Opportunities FIGURE
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334 Expanding Opportunities , use o
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The Long and Short on Long-Short 33
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340
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Uptick rules can delay, or in some
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344 Expanding Opportunities expecte
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Nonsymmetrical distributions of sec
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11. We assume a futures margin of 4
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350 Expanding Opportunities see, lo
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352 Expanding Opportunities case, t
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Trading Costs Some other costs of l
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356 Expanding Opportunities We use
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358 Expanding The optimal portfolio
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360 Expanding Opportunities N H = C
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362 Expanding Opportunities . Consi
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364 Expanding Opportunities mark se
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366 Expanding Opportunities not be
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370 Expanding Opportunities securit
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372 Expanding Opportunities maximiz
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374 ExpandingOpportunities uity ret
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376 Expanding Opportunities may be
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378 Expanding Opportunities from se
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hance good performance, but they ca
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382 Name Index Clarke, Roger G., 25
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384 Name Index Levis, M., 174,175,1
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386 Name Index Swanson, H., 183,188
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388 Subject Index Disentangling equ
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390 Subied Index MAE, 170,182 Marke
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392 Subiect Jndex Security analysis
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