Bruce I. Jacobs - Equity Management

Praise for Equity Management: The Art and Science of Modern Quantitative Investing

Investors buy and sell securities in a complex world full of interrelated variables tied to economic fundamentals, information flow, and human behavior. Parsing all of these variables in a systematic fashion is a task almost beyond comprehension. Yet Jacobs and Levy establish a framework for making sense of a marketplace filled with increasingly complex interrelationships. Equity Management is a guidebook to disentangling these variables in a manner that can be comprehended while also being comprehensive.

Mark Anson,
Chief Investment Officer, Commonfund

Bruce Jacobs and Ken Levy have provided us a thoughtful collection of articles covering essential aspects of active equity management, from portfolio construction to long-short investing and beyond. As one of the early players in so-called smart beta, Im more of a believer in this concept than the authors. That said, this book will make a valued reference for anyone involved in equity portfolio management.

Rob Arnott,
Chairman, Research Affiliates

Quant is hot these days. But a lot of it is rediscovering and relabeling things we already knew. So why not learn it from two guys who helped create it and are still innovating today. I learned a lot from this new edition by Bruce Jacobs and Ken Levy, as will any fan of systematic investing.

Cliff Asness,
Managing & Founding Principal, AQR Capital Management

The second edition of Equity Management: The Art and Science of Modern Quantitative Investing showcases the amazing breadth of research done by Bruce Jacobs and Ken Levy. Bruce and Ken have put together a remarkable collection of 39 of their articles, many ahead of their time, including several on the red-hot topic of factor investing. This volume should be part of every investors library.

Brian Bruce,
Chief Executive Officer & Chief Investment Officer, Hillcrest Asset Management, and Editor-in-Chief, The Journal of Investing

Jacobs and Levy provide a rigorous approach to leading-edge strategies. This book is a highly important read for the innovative investor.

Jane Buchan,
Chief Executive Officer, Pacific Alternative Asset Management Company (PAAMCO)

Essential reading for practitioners, this book reflects 30 years of Jacobs and Levys unparalleled experience in quantitative research and asset management. The articles provide an excellent, cohesive explanation of their integrated approach to quantitative investing, as well as a look at the latest state-of-the-art practices for building a factor model for security selection and constructing a portfolio that gets the most out of those insights. They also describe a simulation approach to understanding market behavior that, as markets become increasingly coupled, is likely to become a key source of future innovations.

Sebastian Ceria,
Chief Executive Officer, Axioma

Not only have Bruce Jacobs and Ken Levy run a successful asset management firm for three decades, they have been willing to share some of their insights with the investment community through their writings. This compendium of their work demonstrates how investors can combine economic and company fundamentals and qualitative factors in the investment process. Few would be bold enough to disregard their insights or argue with their success.

Jon Christopherson,
Research Fellow Emeritus, Russell Investments

Bruce Jacobs and Ken Levys Equity Management breaks important new ground in the estimation of expected returns and the optimization of portfolios with short positions and leverage. They extol the virtues of an integrated approach to the optimization of long-short portfolios, investigate the optimality of different types of long-short portfolios, and introduce mean-variance-leverage optimization, which takes into account the unique risks of leverage, such as margin call risk. I highly recommend this book for serious students of the market and investment professionals.

Grard Cornujols,
IBM University Professor of Operations Research, Tepper School of Business, Carnegie Mellon University

Jacobs and Levy have done it again, wonderfully contributing to the best of both industry and academia. This second edition of Equity Management is filled with invaluable new insights for optimizing equity portfolio returns, including impressive new material on long-short portfolios, leverage aversion, market fragility, optimal short positions, and more. Their new book should be on the shelf of every serious investor and investment manager.

Francis X. Diebold,
Paul F. and Warren S. Miller Professor of Economics, University of Pennsylvania, Professor of Finance and Statistics, The Wharton School

This volume is a treat for professional and amateur investors. It presents some of the most influential work of two pioneering and successful money managers. The authors provide a menu dgustation from which the reader can select inspired articles on a variety of quant investment topics. When you have finished this dazzling collection, you will want to read your favorite chapters all over again.

Elroy Dimson,
Professor of Finance, University of Cambridge, Judge Business School, and Emeritus Professor, London Business School

Equity Management artfully categorizes and places in context 30 years of influential research and writing from Bruce Jacobs and Ken Levy. Their disciplined investment approach, infused with a balance of theory and practice, resonates throughout each chapter.

Ian Domowitz,
Chief Executive Officer, ITG Solutions Network, and Managing Director, ITG

Jacobs and Levy have composed a virtual encyclopedia of techniques and strategies to outperform the stock market. It is destined to take its place among the classics of the field.

Frank J. Fabozzi,
Professor of Finance, EDHEC Business School, Visiting Fellow at Princeton University, Department of Operations Research and Financial Engineering, and Editor, The Journal of Portfolio Management

Despite the stock markets highly competitive and efficient nature, there are inefficiencies that can be harvested. These inefficiencies, however, are not just lying around for the taking. It takes a great deal of effort and discipline to tease them out of the market, disentangle them from one another, separate them from all the noise, and understand their dynamic nature. It has been my honor to work with Bruce Jacobs and Ken Levy for nearly 25 years. Over this time, I have found their market research to be pioneering, insightful, and rigorous. If you want to truly understand how the market works, the nature of these inefficiencies, and how a sophisticated and disciplined investor can capitalize on them, I highly recommend their research.

Jim Failor,
Chief Investment Officer, Sonoma County Employees Retirement Association

This second edition of Jacobs and Levys Equity Management covers the development of quant investing up to and including the current state of the art. This is a compelling read for disciplined investors; it should be especially so for quant mavens!

James L. Farrell, Jr.,
Chairman, The Q Group (The Institute for Quantitative Research in Finance)

This collection of articles is rich testament to the rigor and sophistication Bruce Jacobs and Ken Levy bring to their decades-long research into the dynamics of quantitative finance. The acuity of their insights will add meaningfully to the perspectives of even the savviest investors.