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<p>Foreword The High and Low of 130/30 Investing xi</p> <p>Structure of the Book xxiii</p> <p>Acknowledgments xxix</p> <p>INTRODUCTION Evolution of the Active Extension Concept 1</p> <p><b>PART ONE Active 130/30 Extensions and Diversified Asset Allocations 9</b></p> <p>CHAPTER 1 Active 130/30 Extensions and Diversified Asset Allocations 11</p> <p><b>PART TWO The Role of Quantitative Strategies in Active 130/30 Extensions 45</b></p> <p>CHAPTER 2 Active Extension—Portfolio Construction 47</p> <p>CHAPTER 3 Managing Active Extension Portfolios 59</p> <p><b>PART THREE Special Topics Relating to Active 130/30 Extensions 71</b></p> <p>CHAPTER 4 Active Extension Portfolios: An Exploration of the 120/20 Concept 73</p> <p>CHAPTER 5 Alpha Ranking Models and Active Extension Strategies 91</p> <p>CHAPTER 6 The Tracking Error Gap 103</p> <p>CHAPTER 7 Correlation Effects in Active 120/20 Extension Strategies 119</p> <p>CHAPTER 8 Alpha Returns and Active Extensions 135</p> <p>CHAPTER 9 An Integrated Analysis of Active Extension Strategies 149</p> <p>CHAPTER 10 Portfolio Concentration 167</p> <p>CHAPTER 11 Generic Shorts in Active 130/30 Extensions 185</p> <p>CHAPTER 12 Beta-Based Asset Allocation 197</p> <p>CHAPTER 13 Beta Targeting: Tapping into the Appeal of Active 130/30 Extensions 215</p> <p>CHAPTER 14 Activity Ratios: Alpha Drivers in Long/Short Funds 237</p> <p>CHAPTER 15 Generalizations of the Active 130/30 Extension Concept 257</p> <p><b>PART FOUR Key Journal Articles 267</b></p> <p>CHAPTER 16 On the Optimality of Long/Short Strategies 269</p> <p>CHAPTER 17 The Efficiency Gains of Long/Short Investing 297</p> <p>CHAPTER 18 Toward More Information-Efficient Portfolios 323</p> <p>CHAPTER 19 Allocation Betas 343</p> <p>CHAPTER 20 Alpha Hunters and Beta Grazers 365</p> <p>CHAPTER 21 Gathering Implicit Alphas in a Beta World: New Questions about Alternative Assets 379</p> <p>CHAPTER 22 Optimal Gearing: Not All Long/Short Portfolios Are Efficient 395</p> <p>CHAPTER 23 20 Myths about Enhanced Active 120/20 Strategies 413</p> <p>CHAPTER 24 Active 130/30 Extensions: Alpha Hunting at the Fund Level 429</p> <p>CHAPTER 25 Long/Short Extensions: How Much Is Enough? 467</p> <p>About the Authors 497</p> <p>Index 501</p> <p> </p> <p> </p>

<p><b>MARTIN L. LEIBOWITZ</b> is Managing Director on the U.S. Equity Strategy team at Morgan Stanley. Prior to joining Morgan Stanley in 2004, he was vice chairman and chief investment officer of TIAA-CREF. Leibowitz is a leading authority in the fields of security analysis and overall portfolio allocation strategies. He is the author of four books, including <i>Franchise Value</i> (Wiley), and 138 articles, ten of which have won the prestigious Graham and Dodd Award for excellence in financial writing. Leibowitz serves on a number of endowment and foundation investment committees, including Harvard University, University of Chicago, Rockefeller Foundation, Carnegie Corporation, and the Institute for Advanced Study. <p><b>SIMON EMRICH</b> is Head of Quantitative and Derivative Strategies North America at Morgan Stanley. Most recently, he has worked on issues related to alpha-beta separation and the optimization of alpha views in a benchmark-relative portfolio context, as well as on the implications of the quant meltdown during the second half of 2007. He holds degrees from the London School of Economics and Université Catholique de Louvain, in Louvain-la-Neuve, Belgium. <p><b>ANTHONY BOVA, CFA,</b> is a vice president with Morgan Stanley Equity Research's Global Strategy team, focusing on institutional portfolio strategy. Prior to his current role, Bova spent four years covering commodity chemicals at Morgan Stanley. Leibowitz and Bova recently received the ninth annual Bernstein Fabozzi/Jacobs Levy Awards for coauthoring "Gathering Implicit Alphas in a Beta World," cited as the best paper in the 2007 <i>Journal of Portfolio Management.</i>

<p><b>Modern Portfolio Management</b> <p>"Investment professionals know that performance is determined not just by their overweights, but also by the positions that they choose to underweight." With this brief statement, Martin Leibowitz captures the essence of what both institutional and individual investors must accomplish for active risk-taking to achieve superior results. <p>In <i>Modern Portfolio Management</i>, Leibowitz and his coauthors offer new strategies for institutional investors who want to manage their portfolios more actively by using 130/30 investment techniques. The 130/30 framework is a natural extension of the basic long-only benchmark- relative strategy that is so widely practiced. This approach seeks to exploit the opportunities that exist between the more efficient long only market and the less efficient short market. This book shows how 130/30 strategies allow asset owners and asset managers to more fully exploit an active manager's information set. The in-depth ideas presented in this volume also go well beyond the strict confines of 130/30's to shed important new light on other types of active management, including fundamental and quantitative long-only as well as the various forms of more flexible long/short funds. <i>Modern Portfolio Management</i> offers institutional investors many insights and exciting new ways to think about alpha generation.

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