QES Academic Review

by Goldman Sachs, January 2025: An overview of Bruce Jacobs and Ken Levy’s article, “Portfolio Insurance, Portfolio Theory, Market Simulation, and Risks of Portfolio Leverage,” was featured in the January 2025 issue of QES Academic Review, a publication of Goldman Sachs’ Quantitative Execution Services... The article originally appeared in the July 2024 Journal of Portfolio Management (JPM) Special Issue Dedicated to Harry Markowitz, which was co-edited by Jacobs, Levy, and JPM Editor Frank Fabozzi, and was reprinted in the Annals of Operations Research Special Issue Dedicated to Harry Markowitz. The QES Academic Review identifies new research directly applicable to Goldman Sachs’ clients’ investment and trading processes as well as theoretical contributions that promise to shape the current academic debate.

How Misunderstanding Factor Models Set Unreasonable Expectations for Smart Beta

by Bruce I. Jacobs, Kenneth N. Levy, and Sangwoo Lee, Journal of Portfolio Management, January 2025: The poor performance of some smart beta strategies in recent years is due to shortcomings of standard factor pricing models, from which the strategies draw their well-known factors... Inevitably, these factors include some that may fall out of favor, sometimes for extended periods, as market conditions change. Smart beta strategies also are limited by the standard factor models’ narrow focus on a handful of generic factors and a failure to take into account correlations between factors. Overcoming these limitations requires further steps toward a fully active, dynamic, multifactor approach, aka “smart alpha.”

Jacobs Levy Selected in Pensions & Investments’ Best Places to Work in 2024

by Caryl Anne Francia, Pensions & Investments, December 9, 2024: Jacobs Levy Equity Management has been recognized as a distinguished winner in Pensions & Investments’ Best Places to Work in Money Management for 2024, among firms... with 50-99 employees. The award is based on employee surveys. The firm’s collegial, collaborative, and innovative culture, with a focus on achieving the best for clients, are a few of the reasons why Jacobs Levy was among this year’s winners.