Market neutral strategies have gained attention for their potential to deliver positive returns regardless of the direction of underlying markets. As these strategies have built a record of good performance in recent years, their benefits have become apparent. Market Neutral Strategies draws on the wisdom and experience of professional practitioners to describe strategies that are being utilized by some of today’s leading institutional investors.
Introduction:
This book provides a forum in which some of the industry’s leading market neutral practitioners discuss the implementation, the benefits, and the risks of market neutral investing. The discussion is directed toward institutional investors, sophisticated individual investors, and investment consultants who seek a deeper understanding of how these strategies can contribute to the pursuit of investment return and the
control of investment risk.
In this context, the book assumes that readers are familiar with basic investment concepts and practices. Every attempt has been made, however, to explain these strategies in plain English, with minimal resort to mathematics or arcane financial theory. This book focuses on five market neutral strategies:
- Market neutral equity
- Convertible bond arbitrage
- Government bond arbitrage
- Mortgage-backed securities arbitrage
- Merger arbitrage
These strategies fall within a broad definition of arbitrage in the sense that each makes use of instruments that are related in some fundamental way. The equities held long and sold short in equity market neutral portfolios, for example, are fundamentally related through their exposures to the broad underlying market, while the bonds and fixed-income derivatives used in sovereign fixed-income arbitrage are fundamentally related through their exposures to interest rate movements, and the instruments employed in merger arbitrage are related through the expected convergence of the two companies’ share prices. These strategies have also developed performance histories and liquidity adequate for institutional investors.
Contents:
- Questions and Answers About Market Neutral Investing
- Market Neutral Equity Investing
- Convertible Bond Hedging
- Sovereign Fixed-Income Arbitrage
- Market Neutral Strategies with Mortgage-Backed Securities
- Merger Arbitrage
- Transporting Alpha
- A Tale of Two Hedge Funds
- Significant Tax Considerations for Taxable Investors in Market Neutral Strategies
- Tax-Exempt Organizations and Other Special Categories of Investors: Tax and ERISA Concerns
Market Neutral Strategies By Bruce I. Jacobs, Kenneth N. Levy pdf
Khari Rowe (verified owner) –
A must read. Investors who know how to integrate short positions with long positions are at a major advantage.
Rosemary May (verified owner) –
Contains intuitive, informative, and insightful discussions of major market neutral strategies―an invaluable resource.
Dani Choi (verified owner) –
Anyone who plans to invest in market neutral strategies should read this book.
Salvador Hendricks (verified owner) –
Pros
– Interesting thoughts and explained well.
Cons
– Chapters are extremely repitious. It feels like you reading the same page over and over.
– No actual, worked out examples.
– Not updated recently.
– Computational complexity of large portfolio is not discussed.
Overall, a concise 20 page whitepaper might have covered the subject succinctly.
Van Wong (verified owner) –
Jacobs and Levy handle the complex subject of market neutral investing at a level the intelligent investor will understand.
Matilda Hurley (verified owner) –
Elucidates the sources of potential alpha for a breadth of strategies, as well as the origins of prior miscues.
Alexia Koch (verified owner) –
This excellent and highly relevant publication provides practical answers to practical problems.
Finley Snow (verified owner) –
A comprehensive, thought-leading treatment of market neutral investing.