【Fabozzi】Market Neutral Strategies.pdf

【Fabozzi】Market Neutral Strategies.pdf

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时间:2019-03-12

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1、ffirs.frmPageiThursday,January13,20051:45PMAdditionalPraiseforMarketNeutralStrategies“MarketNeutralStrategiessurpassesitsmission.BruceJacobs,KenLevy,andtheircontributingauthorselucidatethesourcesofpotentialalphaforabreadthofstrategies,aswellastheoriginsofpriormiscues.Atlonglastt

2、hereisasinglevolumethatisapracticalandcomprehensiveguideforinvestorswhowanttoexploreortolearnmoreaboutmarketneutralandavaluablereferenceforseasonedinvestors.”—EdgarJ.Sullivan,Ph.D.,CFA,ManagingDirector,AbsoluteReturnStrategies,GeneralMotorsAssetManagement“JacobsandLevyhaveonceag

3、ainshowntheircommitmenttoadvancingthepracticeofinvestmentmanagementbyproducingacomprehensive,thought-leadingtreatmentofmarketneutralinvesting.Thewell-selectedauthorsprovidetimelyguidanceonwhatweasinstitutionalinvestorsarechallengedtothinkandactupon—namely,aclearunderstandingofth

4、evarioussourcesofrisk,thedecisionstobetakenbetweenmarket(beta)andactive(alpha)risk,andtheapplicationofthesameintheprudentalloca-tionofriskwithinourportfolios.”—ThomasF.Obsitnik,CFA,InvestmentAdvisor,PensionandBenefitInvestments,EliLillyandCompany“Manyinstitutionalinvestorsareattr

5、actedtomarketneutralstrategies,notonlybecauseoftheirimpressiveperformance,butalsobecausetheyenableinvestorstoseparatemanagementofmarketrisk(beta)fromselectionrisk(alpha).InMarketNeutralStrategies,animpressiveline-upofrespectedpractitionersprovidesanexcellentoverviewofallmajorasp

6、ectsofthesestrategies.Importantly,thebookunderscoresthattheirpowerliesinanintegratedapproachandnotasimplecombinationoflongandshortport-folios—afacttoooftenignored.Thisexcellentandhighlyrelevantpublica-tionprovidespracticalanswerstopracticalproblems,andIrecommendittoeveryinvestor

7、interestedinimplementingamarketneutralapproach.”—HansdeRuiter,SeniorPortfolioManager,ABPInvestmentsffirs.frmPageiiThursday,January13,20051:45PM“BruceJacobsandKenLevy’slatestbookaddressesitssubjectinacharac-teristicallyclear,rigorous,andcomprehensivefashion.Itcontainsawealthofins

8、ightsaboutmarketneutralinvestingfromarangeofrea

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