News

Oct 09, 2017

Richard Thaler, Famed for ‘Nudge' Theory, Wins Nobel Economics Prize

by Rob Kozlowski, Pensions & Investments, October 9, 2017: Bruce Jacobs notes in this article that Thaler, one of the founders of behavioral finance, “documents the many shortcuts humans take when confronted with more information than can be processed quickly. These shortcuts can explain why... stock prices reflect investor fads and herd instincts rather than cool calculation, leading to phenomena such as momentum bubbles and subsequent crashes.” Additionally, Bruce comments “models that assume investors act rationally can be blindsided by irrational markets because they fail to account for investor biases.”

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Sep 01, 2017

A First-Class Catastrophe: The Road to Black Monday, The Worst Day in Wall Street History

by Diana B. Henriques, Henry Holt, September 2017: The book chronicles the events leading up to the 1987 stock market crash. It refers to Bruce Jacobs’s “prescient” 1983 Prudential memo warning that portfolio insurance could have a “snowball effect” on market prices and mentions his 1986 debate... with portfolio insurance provider Leland O'Brien and Rubenstein (LOR). It also cites Jacobs's book Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes and his Financial Analysts Journal article “Risk Avoidance and Market Fragility.”

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Aug 22, 2017

Jacobs, Levy, and Markowitz on Portfolios

by Christopher Faille, AllAboutAlpha, August 22, 2017: The author reviews the “new and considerably thickened edition of Jacobs and Levy’s classic collection of articles,” Equity Management: The Art and Science of Modern Quantitative Investing, with a Foreword by Harry Markowitz.

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May 29, 2017

The Largest Managers of Low-Volatility Equity Strategies

Pensions & Investments, May 29, 2017: Jacobs Levy ranks 15th among managers of U.S. institutional tax-exempt low-volatility equity strategies.

Mar 06, 2017

Stephen A. Ross, Father of Arbitrage Pricing Theory, Dies at 73

by Rob Kozlowski, Pensions & Investments, March 6, 2017: Ross “was a brilliant theorist and sought-after adviser who never lost sight of the need for practical solutions to real problems,” said Bruce Jacobs. “Over four decades, he produced a number of influential theories and models that have become integral to finance as it operates today.”

Jan 01, 2017

18th Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2017: "What Is an Index?" by Andrew W. Lo was voted best article of 2016 by Journal of Portfolio Management subscribers. Lo "dug deeply into what, on its surface, appeared to be a simple, commonplace financial product, and he found a host of cutting edge issues that deserve our attention,”... said Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management.

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Nov 01, 2016

NJ Gives at Third Annual Great Oak Awards

by Maryrose Mullen, New Jersey Monthly, November 2016: At the Great Oak Awards dinner on September 19, Jacobs Levy Equity Management was one of 10 companies honored by New Jersey Monthly for their exceptional support of worthy causes including local arts as well as medical and education efforts. At the ceremony,... Bruce Jacobs noted of the firm’s support for local arts organizations: “With these programs, we can help foster creativity in young children and a proclivity in the arts, and allow them to express themselves and help with their self-realization.”

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Oct 10, 2016

Harvard, MIT Professors Win Nobel Prize in Economics for Research on Contract Theory

by Barry B. Burr, Pensions & Investments, October 10, 2016: Bruce Jacobs said the work of Harvard’s Oliver Hart “illuminates the link between corporate finance decisions and corporate governance,” while the research of MIT’s Bengt Holmström “suggests that one way agents can be motivated to work in the interests of principals... is to tie their remuneration to signals that provide reliable information about their actions.”

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Aug 01, 2016

Hats Off to New Jersey’s Most Generous Companies

New Jersey Monthly, August 2016: Jacobs Levy Equity Management was chosen by New Jersey Monthly as a finalist for their Great Oak Awards. The Awards recognize New Jersey-based companies for their contributions to the state’s social and charitable causes and non-profits.

May 13, 2016

Jack Treynor, Who Pioneered Modern Investment Theory, Dies at 86

by Bloomberg and Barry Burr, Pensions & Investments, May 13, 2016: Regarding Treynor, who wrote extensively on a wide variety of scholarly topics and was an editor of the Financial Analysts Journal, Bruce Jacobs noted, “Everyone in quantitative finance today owes a debt to Jack Treynor.” He added: “Jack had incredible... insights about the markets and models and helped bring quantitative finance into practical application.”

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May 01, 2016

Money Masters: The 2016 U.S. Investment Management Awards

by Julie Segal, Institutional Investor, May 2016: Based on voting by over 1000 institutional investors, an Institutional Investor U.S. Investment Management Award for 2016 was presented to Jacobs Levy Equity Management for its... Midcap Core Equity Strategy. Winners for other strategies included J.P. Morgan,Fidelity, and AllianceBernstein.

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Jan 01, 2016

17th Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2016: “Backtesting” by Campbell R. Harvey and Yan Liu was named the best article to appear in the Journal of Portfolio Management in 2015 by the journal’s subscribers. Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management, said Harvey and Liu “continue to contribute... vital insights into a very important issue: how to tell if the findings obtained from research ‘in the lab’ will hold up to deliver like results in the real world.”

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Oct 16, 2015

Bruce I. Jacobs’s Remarks at Harry M. Markowitz XXV Nobel Prize Anniversary Celebration, “The Journey of Modern Portfolio Theory: Past, Present, and Future"

The Rady School of Management, University of California, San Diego, October 16, 2015: Bruce Jacobs was the keynote speaker on the topic “Future Projections of Modern Portfolio Theory” at an event commemorating the 25th anniversary of the awarding of the Nobel Prize in economic sciences to Harry Markowitz. Bruce called Modern Portfolio Theory "a revolutionary way of thiking about the problem of investment uncertainty," and discussed his and Ken Levy's research on incorporating the unique risks of leverage into portfolio optimization.

Bruce Jacobs – Keynote on Future Projections of Modern Portfolio Theory – Harry M. Markowitz XXV Nobel Prize Anniversary Celebration
The Rady School of Management
University of California, San Diego
October 16, 2015
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Oct 12, 2015

Princeton Academic Wins Nobel Prize in Economics

by Barry B. Burr, Pensions & Investments, October 12, 2015: Princeton Professor Angus Deaton, whose work links income and consumption to capital formation and business cycles, “has drawn together micro- and macroeconomics, with significant practical implications for economic policy in developed and developing... nations,” said Bruce Jacobs.

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Jul 27, 2015

Assessing the Impact of Dodd-Frank 5 Years Later

Pensions & Investments, July 27, 2015: Bruce Jacobs is quoted extensively on where the industry stands today vis-à-vis the regulations passed in the aftermath of the financial crisis. He notes that “regulations can have unintended consequences,” such as pushing financial activity toward less regulated and less transparent... corners of the industry, and that, further, “the next financial crisis is as likely to arise outside the banking sector as inside it.” Nevertheless, he asserts, “certain aspects of the law [such as moving trading of over-the-counter derivatives to clearinghouses] may benefit institutional investors.”

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May 05, 2015

Smart Beta Doesn’t Look That Smart to Some U.S. Stock Investors

by David Wilson, Bloomberg.com, May 5, 2015: In an article highlighting the variability of smart beta index performance, the author quotes from Bruce Jacobs and Ken Levy’s article, “Smart Beta: Too Good to be True?” appearing in the Journal of Financial Perspectives, July 2015: “A constant exposure to a factor regardless of... underlying conditions leaves a portfolio vulnerable when that factor underperforms, as it inevitably will.”

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Jan 01, 2015

16th Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2015: Subscribers chose “Evaluating Trading Strategies” by Campbell R. Harvey and Yan Liu as the best article to appear in the Journal of Portfolio Management in 2014. “This year’s winning article addresses an issue that is at the core of all financial modeling—separating the wheat from the... chaff,” said Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management. “Armed with important new insights from this article, researchers will be able to better evaluate new investment models.”

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Nov 12, 2014

World Too Complex for Smart Beta

by James Saft, Reuters, November 12, 2014: Columnist Saft quotes extensively from a forthcoming Financial Analysts Journal editorial, “Investing in a Multidimensional Market,” by Bruce Jacobs and Ken Levy, who observe that smart beta strategies assume a stock market in which a few chosen factors produce persistent returns... “This assumption is not a good approximation of what is observed in reality,” they warn.

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Oct 13, 2014

French Academic Awarded Nobel Prize in Economics

by Barry B. Burr, Pensions & Investments, October 13, 2014: Bruce Jacobs says that Jean Tirole, this year’s honoree, “has enriched economic theory by creating models that better reflect the complexity of real-world practice and thus provides more effective guidance for the regulation of economic and financial systems.”

Sep 15, 2014

Smart Beta Might Not Live Up to Its Promises

by Barry B. Burr, Pensions & Investments, September 15, 2014: Smart beta strategies “exhibit all the characteristics of a great fad,” says Bruce Jacobs, adding that fads “can lead to unwelcome outcomes.” He also notes that smart beta strategies are little more than a repackaging of small-cap and value effects.

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May 12, 2014

Becker Legacy Found in DC Target-Date Modeling

by Rick Baert, Pensions & Investments, May 12, 2014: Bruce Jacobs lauds Nobel laureate behavioral economist Gary Becker for his “path-breaking, cross-disciplinary work, extending economic analysis to human behavior and interaction.”

Apr 14, 2014

Absorption Ratio Getting New Converts

by Barry B. Burr, Pensions & Investments Online, April 14, 2014: In an article about the “absorption ratio,” a measure of market fragility, Bruce Jacobs notes that it may provide an opportunity for early adopters but should be used with care, as it could “cause its own crashes much as portfolio insurance did” if enough investors adopt it.

Jan 01, 2014

15th Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2014: Voting by subscribers for the best article to appear in the Journal of Portfolio Management in 2013 resulted in a tie between “Volatility, Correlation, and Diversification in a Multi-Factor World” by Richard Roll and “The Devil in HML’s Details” by Clifford Asness and Andrea Frazzini... Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management, noted: “Among the emerging issues dealt with in these articles are the effects of price discontinuities and illiquidity, how and why alternative index benchmarks work, and portfolio management for the individual investor.”

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Oct 14, 2013

Fama, Shiller, Hansen Win Nobel for Security-Price Prediction Analyses

by Barry B. Burr, Pensions & Investments, October 14, 2013: This year’s winners of the Nobel Memorial Prize in Economic Sciences, Bruce Jacobs notes in this article, “helped explain the extent to which prices can be explained by the rational—and irrational—behavior of investors. The concept of market efficiency and the... implications of behavioral finance have had profound effects on investing, both fundamental and quantitative.”

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Oct 14, 2013

Witnesses to a Revolution

by Barry B. Burr and Arleen Jacobus, Pensions & Investments, October 14, 2013: For its 40th anniversary issue, Pensions & Investments chronicles the most important developments in finance since 1973. Bruce Jacobs is quoted throughout. On Modern Portfolio Theory: The “first risk management system for portfolios.”... On systematic risk: “Systematic risk cannot be eliminated through diversification.” On leverage: “Leverage has contributed to or caused many … financial crises we have experienced.” On behavioral finance: “Cognitive biases … can lead to prices responding irrationally.”

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Sep 18, 2013

The Wharton School of the University of Pennsylvania Announces Inaugural Recipient of the Wharton-Jacobs Levy Prize for Quantitative Financial Innovation, Harry Markowitz

Press Release, September 18, 2013: Harry Markowitz is the first recipient of the Wharton-Jacobs Levy Prize. The biennial Prize, which includes an $80,000 award, recognizes a person or persons who have published articles that demonstrate outstanding research that has contributed to innovation in the practice of... quantitative financial analysis and asset management. Markowitz is being recognized for groundbreaking innovations in individual retirement planning. The Prize will be presented on October 23, 2013 at the first Forum on Quantitative Finance of the Jacobs Levy Equity Management Center for Quantitative Financial Research.

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May 13, 2013

New Tools for a Post-Financial Crisis Era

by Barry B. Burr, Pensions & Investments, May 13, 2013: This article on risk management in the wake of the credit crisis quotes Bruce Jacobs on the problems with value-at-risk analysis, as well as the dangers posed by nonlinearities in pricing and interconnections between firms. Bruce states: “Controlling risk at the individual... entity level might not necessarily prevent systemic risk.” Bruce suggests that network analysis and agent-based modeling could improve risk management; in addition, “leverage risk should be recognized in portfolio construction.”

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Feb 04, 2013

Pair Sees MPT Flaw Over Risks of Leverage

by Barry B. Burr, Pensions & Investments, February 4, 2013: This article discusses Bruce Jacobs and Ken Levy’s proposal for a new risk model, one that transforms the mean-variance framework of traditional portfolio theory and practice into mean-variance-leverage optimization. As Bruce explains, “If investors were to recognize in... their portfolio optimizations their aversion to the … unique risks of leverage, there would be less leverage in the system and possibly fewer systemic events.” Nobel laureate Harry Markowitz notes: “If you are leveraged, there is a … chance … you could … get wiped out or sold out at very bad prices... [That’s] motivation for thinking about not leveraging too much...” Axioma CEO Sebastián Ceria finds that the idea of incorporating leverage aversion into portfolio construction “is theoretically promising.” Mehmet Bayraktar, Head of Equity Analytics Research at MSCI’s Barra, agrees: “I like the idea of using leverage as a separate parameter of control because it allows investors to make the trade-off decisions between investment opportunities, leverage and (volatility) risk.”

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Jan 01, 2013

14th Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2013: “The Death of Diversification Has Been Greatly Exaggerated,” by Antti Ilmanen and Jared Kizer, has been chosen by subscribers as the best article to appear in the Journal of Portfolio Management in 2012. “The winning articles this year examine a question at the core of investment... management—in particular, how to combine assets so as to maximize the tradeoff between return expected and risk taken,” said Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management. “Given the evolving nature of financial markets, this is a question that demands to be revisited periodically.”

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Oct 15, 2012

UCLA, Harvard Professors Share Nobel Prize in Economics

Barry B. Burr, Pensions & Investments, October 15, 2012: Lloyd Shapley and Alvin E. Roth receive this year’s prize for their work in the development of matching theory and its application to market design. Bruce Jacobs, quoted in the article, notes that “in financial markets, both buyers and sellers make decisions based on... prices... But there are markets without prices.… When there are no pricing signals, Shapley and Roth showed how to design a market mechanism to allocate resources so that the results best satisfy the preferences of both parties.”

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Sep 22, 2012

Borrowing Against Yourself

by Jason Zweig, Wall Street Journal, September 22, 2012: This column references Bruce Jacobs and Ken Levy's article, "Leverage Aversion and Portfolio Optimality" (Financial Analysts Journal, September/October 2012), which suggests that modern portfolio theory be updated to account for the risks of leverage... The column quotes Jacobs: "Conventional portfolio theory says not to hold all your eggs in one basket; using leverage is like piling baskets of eggs on top of one another until the pile becomes unsteady." Harry Markowitz agrees, noting that, while diversification works in the long run, "if you're leveraged, then you can get wiped out before the long run comes."

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Jan 01, 2012

13th Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2012: Subscribers have voted Wai Lee’s “Risk-Based Asset Allocation: A New Answer to an Old Question?” the best article to appear in the Journal of Portfolio Management in 2011. Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management, noted that this year’s submissions... reflect a year of dramatic volatility in financial markets. “Each article examines risk at some level, whether that of the individual portfolio or the broad economy. This kind of examination is more important than ever, as we are continually reminded that we live in a world in which financial markets are critically interlinked with economic activity.”

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Oct 10, 2011

Research on Economic Policy Effects Earns Nobel

by Barry B. Burr, Pensions & Investments, October 10, 2011: Bruce Jacobs notes that Thomas J. Sargent’s and Christopher A. Sims’s “seminal work incorporated rational expectations into macroeconomics,” “led to more dynamic models,” and had a “large impact” on quantitative finance.

Sep 19, 2011

Jacobs Levy Co-CIOs Endow New Finance Center at Wharton

by Barry B. Burr, Pensions & Investments, September 19, 2011: The new Jacobs Levy Equity Management Center for Quantitative Financial Research will “focus on innovation in finance.” The center, together with a prize for author(s) of articles that have contributed to innovations in the practice of finance, is funded by a personal gift... from Bruce Jacobs and Ken Levy, co-founders of Jacobs Levy Equity Management. According to Bruce, “With the markets as tumultuous as they are, there is great need for a greater understanding of finance and financial markets.”

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Sep 07, 2011

Research Center, Prize to Foster Financial Analysis

by Melanie Grayce West, Wall Street Journal, September 7, 2011: Bruce Jacobs and Ken Levy, co-founders of Jacobs Levy Equity Management and alumni of the Wharton School at the University of Pennsylvania, have contributed $12 million to Wharton to establish a research center and a prize for quantitative innovation... in finance. The gift honors the 25th anniversary of their firm. The Jacobs Levy Equity Management Center for Quantitative Financial Research and the Wharton-Jacobs Levy Prize for Quantitative Financial Innovation will provide “a way to invest in new ‘maps’ that . . . will provide insight into how financial markets do and don’t work. There’s plenty of wilderness out there to explore,” according to Bruce.

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Sep 07, 2011

The Wharton School at the University of Pennsylvania Announces a $12 Million Gift from Alumni Bruce Jacobs and Kenneth Levy to Establish the Jacobs Levy Equity Management Center for Quantitative Financial Research and the Wharton-Jacobs Levy Prize for Quantitative Financial Innovation

Press Release, September 7, 2011: The Jacobs Levy Center will support faculty research, fund Ph.D. dissertations in quantitative finance, and sponsor a White Paper series and annual conference. Two million dollars of the gift will fund the Wharton-Jacobs Levy Prize; the Prize, which includes an $80,000 award, will be... presented biennially to a person or persons who have published articles that demonstrate outstanding research that has contributed to innovation in the practice of quantitative financial analysis and asset management. Bruce Jacobs notes: “We believe that establishing a research center and a prize for innovation will foster the advancement of quantitative financial research and practice. Given recent market volatility and economic uncertainty we think the timing of this gift could not be more critical as investors are seeking new solutions to meet their growing funding gaps.” Ken Levy adds that he and Bruce created their firm, Jacobs Levy Equity Management, “to apply the academic ideas and tools we had learned at Wharton, expand upon them, and put our proprietary research into practice in the real-world pursuit of value-added investing for clients. Our firm’s success is a testament to the usefulness of quantitative financial research."

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Jan 01, 2011

12th Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2011: Based on voting by Journal of Portfolio Management subscribers, the top award for 2009-2010 is given to “Active Portfolio Management and Positive Alphas: Fact or Fantasy?” by Robert A. Jarrow. “The winning article, examines the nature of the elusive alpha from active management,”... said Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management.

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Nov 10, 2010

3 Receive Nobel for Supply-and-Demand Research

by Barry B. Burr, Pensions & Investments Online, October 11, 2010: Commenting on Peter Diamond, Dale Mortensen, and Christopher Pissarides, the 2010 Nobel laureates in Economics, Bruce Jacobs points out that their work demonstrates how the economics of labor and financial markets has evolved from the theoretical... “assumption of perfect markets … to more realistic models” in which “information is costly … to obtain.”

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Nov 01, 2010

Traders Thrive on Life in the Fast Lane

by John Aidan Byrne, Institutional Investor, November 2010: Based on the Institutional Investor transaction cost survey for 2010, Jacobs Levy ranks ninth among the top investment managers in trading efficiency.

May 01, 2010

Graham & Dodd Awards of Excellence for 2009

Financial Analysts Journal, May/June 2010: Bruce Jacobs's article, "Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis," published in the March/April 2009 Financial Analysts Journal, receives the Graham & Dodd Readers' Choice Award.

Apr 29, 2010

New Collection of Essays Examines Causes of Economic Meltdown

by Barry Burr, Pensions & Investments Online, April 29, 2010: Insights into the Global Financial Crisis (Research Foundation of CFA Institute, 2009), including Bruce Jacobs’s “Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis,” is lauded as “a masterful collection of essays on the market and economic meltdown.”

Mar 30, 2010

CFA Research Foundation Takes a First Crack at Writing the History Book of the 2008 Financial Crisis

by Steve Deutsch, AllAboutAlpha.com, March 30, 2010: This review of Insights into the Global Financial Crisis (Research Foundation of CFA Institute, 2009) quotes from Bruce Jacobs’s contribution, “Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis.”

Jan 01, 2010

11th Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2010: The Best Article award for 2008-2009, based on voting by Journal of Portfolio Management subscribers, goes to Robert E. Whaley’s “Understanding the VIX.” “This was the last year in which The Journal of Portfolio Management, its contributors, and its readers were able to benefit... from the guidance and wisdom of founder Peter Bernstein, who passed away in June 2009, said Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management. “This year's winners extend Peter's legacy. Like him, they demonstrate a marked ability to bring clear-sighted thinking to practical issues of importance to professionals in the investment industry.”

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Dec 14, 2009

Samuelson, 1st American Nobel Economic Prize Winner, Dead at 94

by Barry B. Burr, Pensions & Investments Online, December 14, 2009: Bruce Jacobs notes that Paul Samuelson’s seminal paper, “Proof That Properly Anticipated Prices Fluctuate Randomly,” “set the scene for efficient market theory, although Samuelson did maintain that investors capable of beating the market might exist but... would probably remain undetected as they would tend to stay out of the limelight in order to avoid attracting ‘free riders’ whose competition would jeopardize gains.”

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Oct 19, 2009

Nobel Economics Prize Winner Includes 1st Woman Recipient

by Barry B. Burr, Pensions & Investments, October 19, 2009: In regard to Nobel winners Elinor Ostrom and Oliver Williamson, Bruce Jacobs notes that: “In the wake of the credit crisis, and in the presence of limits on investor rationality and market efficiency, the Nobel committee focused on ways of organizing economic... activity outside of financial markets.”

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Oct 01, 2009

Bruce I. Jacobs’s Remarks in Honor of Nobel Laureate Harry M. Markowitz, Q Group Fall 2009 Seminar

Bruce Jacobs, along with Nobel laureate Bill Sharpe and others, spoke at a dinner banquet honoring Harry Markowitz. Bruce Jacobs and Ken Levy have collaborated with Harry on the optimization of long-short portfolios with realistic short positions and on the development of a financial market simulator... Bruce discussed their long-standing relationship and their interaction with Harry while working on this research.

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Sep 21, 2009

Luminaries Pause to Pay Tribute to Peter

by Joel Chernoff, Pensions & Investments, September 21, 2009: Bruce Jacobs was among the “luminaries of the investment world” who honored Peter Bernstein at a September 15th memorial.

Aug 10, 2009

Mortgage Market Needs Tougher Standards

by Bruce I. Jacobs, Pensions & Investments, August 10, 2009: Drawing on his article, “Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis” (Financial Analysts Journal, March/April 2009), Bruce says, “The current financial market crisis has revealed the inadequacy of a system of patchwork regulations... We need a regulatory regime that is consistent across our large and integrated asset markets, one that can regulate financial products with a focus on their potential effects on systemic risk.”

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Jul 01, 2009

A Tribute to Peter L. Bernstein

by Bruce I. Jacobs and Kenneth N. Levy, Journal of Portfolio Management, Summer 2009: Bruce Jacobs and Ken Levy join Paul Samuelson, Harry Markowitz, William Sharpe, Myron Scholes, Robert Merton, Martin Leibowitz and others in paying tribute to the late Peter Bernstein.

Jun 15, 2009

A Giant Loss for Investment World

by Joel Chernoff and Barry B. Burr, Pensions & Investments, June 15, 2009: “Many professional investors today were introduced to the more sophisticated and quantitatively oriented concepts underlying modern portfolio management through the work of Peter Bernstein. Peter seemed able to translate the most abstract, arcane... ideas into language that was accessible … and able to do so in a lively, informal style,” notes Bruce Jacobs in this tribute to the late Mr. Bernstein.

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Mar 31, 2009

Local Government Investment Pool Participant Newsletter

Commonwealth of Virginia, Department of the Treasury, March 31, 2009: An explanation of the current economic crisis quotes from Bruce Jacobs’s article “Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis” (Financial Analysts Journal, March/April 2009): “…shifting risk does not eliminate or even... reduce it…The underlying systematic risk represented by housing-price declines merely shifted the risk from borrower to lender, ... from lender to investor, from investor to guarantor. Although hidden, the risk remains, and it eventually brought down the entire financial edifice.”

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Jan 01, 2009

Tenth Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2009: Based on voting by Journal of Portfolio Management subscribers, “Dynamic Portfolio Analysis” by Richard Grinold is selected as Best Article for 2007-2008. Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management, said Grinold “presents a framework that... allows one to estimate the efficiency of a portfolio whose holdings change as new information arrives and old information ages.”

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Nov 01, 2008

Turning Point for Trading Costs

by Tom Groenfeldt, Institutional Investor, November 2008: Institutional Investor’s annual survey of money managers cites Jacobs Levy as having the second lowest costs for Nasdaq trading and the eighth lowest costs for NYSE trading.

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Oct 27, 2008

'New Geography’ Work Puts Nobel Winner on Map

by Barry B. Burr, Pensions & Investments, October 27, 2008: In an article on Paul Krugman, winner of the 2008 Nobel Memorial Prize in Economic Sciences, Bruce Jacobs notes that Krugman hypothesizes a trade-off between economies of scale on the firm level and desire for diversity on the part of consumers... Just as investors seek diversity in their portfolios, in terms of stock selection, and in domestic, international and global portfolios, individuals seek diversity in choices among consumption goods to provide the desired consumption basket.

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Jul 17, 2008

Short Positions Throwing a Wrench in the Works for Traditional (long-only) Institutional Investors

AllAboutAlpha.com, July 17, 2008: An article on the importance of integrated optimization for a long-short portfolio notes that “in essence, BNY Mellon is following the recommendations of Bruce Jacobs and Ken Levy,” made in their article, “On the Optimality of Long-Short Strategies” (Financial Analysts Journal, March/April 1998).

May 27, 2008

Quantitative Hedge Funds

Strategy Focus, www.infovest21.com, May 27, 2008: A review of How I Became a Quant (John Wiley & Sons, 2007) notes that Bruce Jacobs is among the major names featured in the book.

May 12, 2008

Cutting-Edge Academics: The Smart Money

by Barry B. Burr, Pensions & Investments, May 12, 2008: When asked by P&I to name current academics who might have an impact on investment practice with cutting-edge research, Bruce Jacobs cited Jeffrey Wurgler and Malcolm Baker: “Wurgler and Baker's work doesn't attempt to find new irrational tendencies or biases,... but looks at stock prices themselves for what they can tell us about behavioral quirks. This type of work is important especially in today’s markets, which has been characterized by wave after wave of investor sentiment—the tech bubble, the bursting of the tech bubble, the housing bubble, the bursting of the housing bubble, the credit bubble and the bursting of the credit bubble.”

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Mar 01, 2008

Graham & Dodd Awards of Excellence for 2007

Financial Analysts Journal, March/April 2008: Bruce Jacobs and Kenneth Levy receive a Graham & Dodd Award for “20 Myths About Enhanced Active 120-20 Strategies,” published in the July/August 2007 Financial Analysts Journal. This article also received the 2007 Graham & Dodd Readers' Choice Award.

Feb 01, 2008

Scaling the 130/30 Opportunity for Asset Managers, Brokers and Custodians

by Josh Galper, Vodia Group, February 2008: Jacobs Levy is listed as one of the top five 130-30 managers in 2007.

Jan 14, 2008

130/30 Fanbase Grows as Investors Cut Managers Free

Laura Cohn, Financial Times, January 14, 2008: Jacobs Levy is mentioned as one of the top firms managing 130/30 strategies. In a sidebar, Bruce Jacobs notes that part of the attraction of 130/30 strategies is that shorting and leverage allow institutional managers with the “necessary skills and experience … to manage... portfolios with fewer constraints.”

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Jan 01, 2008

Ninth Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2008: Subscribers to the Journal of Portfolio Management vote “Gathering Implicit Alphas in a Beta World” by Martin Leibowitz and Anthony Bova as Best Article for 2006-2007. “In the current period of market volatility and retrenchment, the winning articles revisit some of the... basics of investing and bring back refreshing, and practical, insights,” said Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management.

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Jan 01, 2008

Come Together

by Kris Devasabai, International Custody & Fund Administration Magazine, January 2008: As institutional investment managers take on more alternative strategies from the hedge fund world, Jacobs Levy is cited as “an early leader” in 130-30 strategies.

Nov 12, 2007

Hirings: Illinois State Universities

Pensions & Investments, November 12, 2007: Jacobs Levy has been hired by State Universities Retirement System of Illinois for a $300 million Russell 3000 mandate.

Nov 01, 2007

Addition by Subtraction

by Justin Schack, Institutional Investor, November 2007: In an annual survey of institutional investment managers, Jacobs Levy is cited as having the lowest costs for Nasdaq trading and the fifth-lowest costs for NYSE trading.

Oct 29, 2007

Work on Mechanism Design Theory Earns Nobel

by Barry Burr, Pensions & Investments, October 29, 2007: Nobel laureates Leonid Hurwicz, Eric S. Maskin, and Roger B. Myerson look at how to arrive at the best economic solutions under imperfect conditions. According to Bruce Jacobs, “this is an approach that is not only applicable but necessary when it comes to managing... money. While there are many theories … that seem to work fine when conditions are just so, you can’t bet the farm on them without making adjustments for the many vicissitudes of real-world markets.”

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Oct 29, 2007

130/30 Assets Surge 77%

by Jay Cooper, Pensions & Investments, October 29, 2007: Jacobs Levy is identified as one of the top six managers responsible for 61% of the assets now invested in enhanced active strategies.

Oct 22, 2007

Natural State Teachers Select Pvt. Equity Consultant

Money Management Letter, October 22, 2007: Among other changes, the Arkansas Teachers Retirement System is transferring assets to a 130/30 strategy at Jacobs Levy.

Oct 14, 2007

120-20 Reaches Mythical Proportions?

AllAboutAlpha.com, October 14, 2007: Bruce Jacobs and Ken Levy’s article “20 Myths about Enhanced Active 120-20 Strategies,” a follow-up to their seminal “20 Myths about Long-Short,” is a “comprehensive, easy-to-read review of the state of an emerging industry,” says author Christopher Holt.

Oct 01, 2007

What Did We Learn? 20 Years Later

by Jay Cooper and Barry B. Burr, Pensions & Investments, October 1, 2007: In this article comparing the crash of 1987 with the market turmoil in August, Bruce Jacobs notes that “The risk of a strategy may not seem all that great when you think you’re the only one doing it, but when every firm is offering portfolio insurance, or every... highly leveraged multistrategy hedge fund is following a similar strategy, risk goes way up.”

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Oct 01, 2007

The Long & Short of 130/30

by Jo Wrighton, Institutional Investor, October 2007: Jacobs and Levy is mentioned as one of the primary providers of 130/30-type strategies.

Sep 06, 2007

FAJ Article Dispels ‘20 Myths About Enhanced Active 120-20 Strategies'

CFA Institute Press Release, September 6, 2007: During his September 19 Webcast based on the Financial Analysts Journal article "20 Myths About Enhanced Active 120-20 Strategies" (July/August 2007), Bruce Jacobs dispels common misconceptions about enhanced active equity 120-20 strategies, which allow equity... managers to sell short individual stocks worth up to 20 percent of portfolio value and invest the proceeds in additional long share purchases.

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Aug 20, 2007

Indiana State Teachers Hires 7 Equity Managers

Pensions & Investments, August 20, 2007: Indiana State Teachers’ Retirement Fund has picked Jacobs Levy to run $85 million in U.S. equity small and mid cap value portfolios.

May 14, 2007

Ideas Roiling Efficient Market

by Joel Chernoff, Pensions & Investments, May 14, 2007: A review of Peter Bernstein’s new book, Capital Ideas Evolving, notes that many of the leading theoreticians who were the subjects of Bernstein’s previous work, Capital Ideas, are now focusing on the real world. They include Harry Markowitz, father of mean-variance... analysis. With “Bruce I. Jacobs and Kenneth N. Levy, principals at Jacobs Levy Equity Management Inc., [he is] ... developing a simulation that builds in behavioral finance concepts, such as overconfidence and loss aversion.”

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Apr 16, 2007

130/30s Pull In $30 Billion

by Jay Cooper, Pensions & Investments, April 16, 2007: Assets in 130-30 and similar enhanced active strategies now amount to $30 billion. With $4.2 billion, Jacobs Levy is cited as an early leader, placing second among money managers offering these types of strategies.

Feb 09, 2007

Illinois SURS Eyes Long/Short, 130/30

Pensions & Investments Online, February 9, 2007: On February 1, the $15.3 billion Illinois State Universities Retirement System board met with Bruce Jacobs of Jacobs Levy for an educational discussion about long-short strategies, including 130-30 portfolios.

Jan 24, 2007

Sonoma County Hires Equity Managers

FINdaily, January 24, 2007: California-based Sonoma County Employees Retirement System hired Jacobs Levy to manage a $170 million U.S. equity Russell 3000 mandate.

Jan 01, 2007

Eighth Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2007: Based on voting by Journal of Portfolio Management subscribers, the top award for 2005-2006 is given to “Five Myths about Fees” by Ronald N. Kahn, Matthew Scanlan, and Laurence B. Siegel. “Mssrs. Kahn, Scanlan, and Siegel are showing us new ways of looking at how investing is... practiced. That was one of our aims in establishing the awards,” noted Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management.

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Dec 01, 2006

Keep the Change

by Pierre Paulden, Institutional Investor, December 2006: Advances in electronic trading continue to push transaction costs lower. Among institutional investment managers, Jacobs Levy is cited as having the lowest costs for NYSE trading and the third lowest costs for NASDAQ trading.

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Nov 27, 2006

Defender of Capitalism Dies

by Barry B. Burr, Pensions & Investments, November 27, 2006: On the passing of Milton Friedman, Bruce Jacobs notes, “Many believe his economic ideas … underpinned the robust economic growth and extraordinary stock market gains of the 1980s and 1990s.” Bruce also points out that Friedman's early work on risk aversion... “contributed to currently accepted notions of investor utility.”

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Nov 01, 2006

Short Selling Hits Optimistic Sentiment

by Makoto Kajiwara, Nikkei Financial Daily, November 1, 2006: This article on the increasing popularity of investment strategies that use short selling quotes Bruce Jacobs, “a pioneer in research into 120-20,” on the benefits of short selling for the market and economy, “Short selling monitors the irregularities of executives... and is also linked to increased market efficiency and social prosperity.”

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Oct 09, 2006

Columbia University Professor Gets Nobel in Economics

Pensions & Investments Online, October 9, 2006: According to Bruce Jacobs, “[Edmund S.] Phelps' work on inflation and unemployment … has had a large impact on policy-making.”

Aug 14, 2006

Press Release

CalPERS, August 14, 2006: CalPERS, the nation's largest public pension fund, hired Jacobs Levy as one of four new active growth U.S. equity managers. According to Charles Valdes, Chair of CalPERS Investment Committee, “We have confidence in all of these managers, based on their performance track records,... professional staffs and organization, and the ability to implement research and strategies that are vital for sound investments.”

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Aug 07, 2006

Hirings

Pensions & Investments, August 7, 2006: Arizona State Retirement System has hired Jacobs Levy to manage $200 million in active domestic long-short 120-20 equities.

Jun 12, 2006

New Approach Gets Hedge Fund Returns with Traditional Risk

by Barry B. Burr, Pensions and Investments, June 12, 2006: Motivated by a recent article in the Journal of Portfolio Management, in which Bruce Jacobs and Ken Levy describe a new strategy that can "enhance performance by permitting meaningful underweight positions that are simply not achievable in long-only... portfolios," Burr's Portfolio Strategies column quotes Bruce Jacobs: "I've never seen such a dramatic interest in something new before." Jacobs goes on to say that the strategy, often called a 120-20 or a 130-30 portfolio, "is a better way to run money. Any manager, given their insights into equities, should be able to do better than they do with long only."

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Apr 03, 2006

Structured Products: Taking the Next Step

by Joel Chernoff, Pensions & Investments, April 3, 2006: Bruce Jacobs and other active investment product innovators are referenced in this look at the future of quantitative management.

Apr 01, 2006

Seventh Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Spring 2006: The top honor for 2004-2005, based on voting by Journal of Portfolio Management subscribers, goes to Robert Litterman for “The Active Risk Puzzle.”

Feb 07, 2006

Teacher Investments Show Gain

by Michael R. Wickline, Arkansas Democrat Gazette, February 7, 2006: Jacobs Levy hired by Arkansas Teacher Retirement System to manage $267 million in domestic large cap growth stocks.

Jan 23, 2006

Top 200 Defined Benefit Managers

Pensions & Investments Online, January 23, 2006: Jacobs Levy is on the top 10 list of the domestic equity managers most frequently used by the Top 200 plan sponsors.

Nov 01, 2005

Most Nobel Minds

CFA Magazine, November-December 2005: In a roundtable discussion with four other Nobel laureates, Harry Markowitz discusses how with the Jacobs Levy Markowitz Simulator “we can see the dynamics of the situation as distinguished from just the equilibrium condition.”

Oct 17, 2005

Nobel Winners Friends of Behavioral Economics

by Barry B. Burr, Pensions & Investments, October 17, 2005 and “Pair Awarded Nobel Economics Prize,” Pensions & Investments Online, October 10, 2005: These articles about the 2005 recipients of the Nobel Prize in Economic Sciences, Robert J. Aumann and Thomas C. Schelling, quote Bruce Jacobs, who observes... that “Game theory examines how decisions come about from the interactions between parties often having competing interests. Investing is more concerned with decision theory. That is how one person, or firm, comes to a decision based on all available information, which may include the opinions and actions of others, such as Wall Street security analysts, corporate management, or other investors ... It is sometimes useful to view market behavior through the lens of game theory. In his later research, [Mr.] Schelling looked at tipping theory, which examines the rapid movement of a system from one equilibrium to another ... [and] may ... be able to shed some light on information cascades and crashes in financial markets.”

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Aug 08, 2005

Trouble with Fees

Pensions & Investments, August 8, 2005: This editorial critique of a New York Times story on the United Airlines pension default notes that Jacobs Levy Equity Management was at least one United pension manager that earned its fees, quoting Bruce Jacobs: “For every dollar of fees the UAL plans paid, the portfolio earned $4.71... net of fees” from active management by Jacobs Levy. The editorial goes on to note: “If that is a money manager wreck, most pension plans would want to join this type of crash.”

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Apr 11, 2005

The Public School Retirement System of Missouri and The Non-Teacher School Employee Retirement System of Missouri Hire Jacobs Levy

The Public School Retirement System of Missouri and The Non-Teacher School Employee Retirement System of Missouri hire Jacobs Levy to manage $500 million in large-cap growth equity.

Jan 01, 2005

Sixth Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2005: Top honor for 2003-2004, based on voting by Journal of Portfolio Management subscribers, goes to “Fight the Fed Model” by Clifford Asness.

Dec 13, 2004

Minnesota Picks Managers

Pensions & Investments, December 13, 2004: The Minnesota State Board of Investment has picked Jacobs Levy to run a portion of its $45 billion active domestic large-cap equity.

Dec 10, 2004

Review of Market Neutral Strategies

by Chetan Parikh, www.capitalideasonline.com, December 10, 2004; This reviewer of Bruce Jacobs and Ken Levy's edited volume on market neutral investing finds the book “eminently suited for investment professionals” and commends the editors “for bringing out an important reference text,” singling out for praise the chapter... on merger arbitrage, the chapter “Questions and Answers About Market Neutral Investing,” and “A Tale of Two Hedge Funds” about Long-Term Capital Management and Askin Capital Management.

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Dec 01, 2004

Review of Market Neutral Strategies

by Glyn Holton, Contingency Analysis, www.riskbook.com website, December 2004: According to the reviewer, “There are plenty of non-technical books that describe the market-neutral and statistical arbitrage trading strategies employed by hedge funds and a few active investment managers. This is one of the best.”

Nov 05, 2004

Lots of Market Neutral Trees and a Map for the Forest

by Christopher Faille, HedgeWorld News, www.hedgeworld.com, November 5, 2004: This review of Market Neutral Strategies, edited by Bruce I. Jacobs and Kenneth N. Levy, notes that “the authors are to be commended.”

Nov 01, 2004

A Long-Short Story

by Nancy Opiela, CFA Magazine, November-December 2004: This discussion of the challenges and rewards of long-short investing references Bruce I. Jacobs and Kenneth N. Levy's “The Long and Short on Long-Short” (Journal of Investing, Spring 1997).

Oct 18, 2004

2 Professors Receive Nobel for Economics

Pensions & Investments, October 18, 2004: Finn E. Kydland and Edward C. Prescott, recipients of this year's Nobel Prize in Economic Sciences, have contributed insights that may be of use to investment analysts using macroeconomics forecasts, according to Bruce Jacobs.

Oct 08, 2004

American Finance Association – Masters of Finance: Harry Markowitz Interview

In a 2004 interview conducted by the American Finance Association, recently published on the Internet, Nobel laureate Harry Markowitz says: “One of the things I am doing with some colleagues, Bruce Jacobs and Ken Levy, is that we are building a large asynchronous market model where there are entities like statisticians, portfolio... analysts, investors and traders.” Dr. Markowitz also notes that he, Jacobs, and Levy are addressing the optimization of long-short portfolios that are subject to Reg T.

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Jul 12, 2004

When Risk Avoidance Goes Too Far

by Barry B. Burr, Pensions & Investments, July 12, 2004: This article notes that Bruce Jacobs, in “Risk Avoidance and Market Fragility,” distinguishes between traditional insurance, which protects against a specific risk, and strategies and instruments that purport to insure against a systematic risk such as a market downturn... As the latter grow in popularity, they can exacerbate volatility.

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Jun 14, 2004

Indiana Public Employees

Pensions & Investments, June 14, 2004: Jacobs Levy has been hired by the Indiana Public Employees’ Retirement Fund, Indianapolis, to manage $260 million in U.S. small-cap growth equity.

Mar 15, 2004

Weapons of Mass Panic

by William P. Barrett, Forbes Magazine, March 15, 2004: This comment summarizes Bruce Jacobs's article in the January/February 2004 issue of the Financial Analysts Journal (“Risk Avoidance and Market Fragility”), and its argument: “financial products sold as risk reducers can leave the institutions offering them more prone to... risk that they themselves cannot diversify away or hedge. This risk then could rear up and bite deeply during periods of extreme economic volatility.”

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Jan 01, 2004

Fifth Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2004: Voting by Journal of Portfolio Management subscribers resulted in a tie for first place, with awards going to “Expected Returns on Stocks and Bonds” by Antti Ilmanen and “The Hierarchy of Investment Choice” by Mark Kritzman and Sebastien Page.

Nov 01, 2003

Trading Places—Memo to John Reed: You May Have Bigger Problems Than You Thought

by Justin Schack, Institutional Investor, November 2003: Institutional investors, resenting the relatively high transaction costs on the New York Stock Exchange (NYSE), are increasingly turning to electronic trading venues. Jacobs Levy is one of five firms cited as achieving lowest trading costs for both NYSE and NASDAQ... stocks in 2002.

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Oct 27, 2003

P&I at 30—The Difference-Makers

by Barry B. Burr, Pensions & Investments, October 27, 2003: This celebration of Pensions & Investments’ 30th anniversary highlights key figures in investing over the period, including Nobel laureates Harry M. Markowitz and William F. Sharpe. In the profile of Markowitz, Bruce Jacobs notes that he “provided the first... mathematical treatment of the concept of investment diversification, thereby giving rigor to what previously had been ad hoc decisions. From that point forward, a security’s risk would not be measured separately from that of other securities, but instead as part of its contribution to an overall portfolio.” In the profile on Sharpe, Jacobs asserts that his “concept that the market portfolio of all assets is the most efficient risk-return portfolio led to the use of betas and Sharpe ratios for performance measurement, and along with the later hypothesis that the markets are informationally efficient, led to the advent of indexing.”

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Oct 13, 2003

Nobel Prize: Practical Applications for Winners’ Ideas; Economic Time-Series Analysis Earns Duo Academic, Industry Praise

by Gregory Crawford, Pensions & Investments, October 13, 2003: This year’s Nobel Prize in Economic Sciences has been awarded to Clive Granger and Robert Engle, for work that has had direct application to investment management. Bruce Jacobs notes that Granger’s work on cointegration gives portfolio analysts and managers... the tools to determine whether assets are overpriced or underpriced relative to long-term trends, while Engel’s volatility model helps institutional investors gauge future volatility. Jacobs further notes: “Pension sponsors may use time-varying volatility when making their risk budgeting decisions—when apportioning their assets across different managers or different asset classes. Banks, hedge funds and investment managers use estimates of time-varying volatility when computing value-at-risk, which is a key statistic measuring the potential losses a portfolio might experience over a given time period.”

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Sep 01, 2003

More David Than Goliath

Russell Portfolio (Frank Russell Company), September 2003: Peter Gunning, Chief Investment Officer of Russell Investment Group, Australia seeks out “the best investment firms ... in whose investment philosophies, processes and people we have the highest confidence.” He cites Jacobs Levy as an example.

Jul 01, 2003

Horizon Manager Changes: Three New Fund Managers Appointed

Horizon Insight, July 2003: Manager of managers Russell has appointed Jacobs Levy, “whose expertise is very broad and it runs a wide range of mandates, from large capitalization growth to small capitalization value...[and] is widely recognised as one of the top firms in the quant industry, both in terms of theory and practice.”

Jun 01, 2003

How to Make Volatility Pay—The Next Step Forward Could Be Portable Alpha

by James Rutter, Global Investor, June 2003: This article notes the increased interest in portable alpha strategies and references Jacobs Levy research: “the logic for [transporting alpha was well laid out by Bruce Jacobs and Ken Levy in a Star Trek-inspired article in the 25th anniversary issue of the... Journal of Portfolio Management (“Alpha Transport with Derivatives,” May 1999).

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Apr 14, 2003

Funds SA back ... Jacobs Levy

Investor Weekly (Australia), April 14, 2003: Funds SA, the South Australian public sector superannuation fund, has allocated 300 million Australian dollars to U.S. equity manager Jacobs Levy. Funds SA becomes Jacobs Levy’s second-biggest Australian mandate, after Frank Russell Company’s Russell International Shares Fund.

Jan 01, 2003

Fourth Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2003: Top honors for 2001-2002 go to “Do Hedge Funds Hedge?” by Clifford S. Asness, Robert J. Krail and John M. Liew.

Dec 09, 2002

AIMR and ‘Best Practices’ on Ethics

by Bruce I. Jacobs, Pensions & Investments, December 9, 2002: In this commentary, Jacobs suggests that AIMR’s research publications could follow the ethical standards of the medical community’s journals in order to minimize conflicts of interest in the research and publication process.

Nov 01, 2002

AIMR’s Objectivity Lesson

Global Investor, November 2002: This highlights Bruce Jacobs’s two-year crusade to bring to light ... "very clear conflicts of interest" at the heart of the Association for Investment Management and Research. The editorial points to support from Jose Arau, principal investment officer of CalPERS, who backs Jacobs’s call for AIMR... to adopt internal research objectivity standards. AIMR Senior Vice President Katrina Sherrerd responds that AIMR is reviewing its policies, including Jacobs’s proposal for internal objectivity standards. Global Investor concludes that the spirit of full transparency and objectivity has not been well served.

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Nov 01, 2002

Lessons from the Collapse of Hedge Fund, Long-Term Capital Management

by David Shirreff, riskinstitute.ch, November 1, 2002: Bruce Jacobs is quoted on the bailout of Long-Term Capital Management: “Had LTC not been bailed out, the immediate liquidation of its leveraged ... positions may have had effects ... rivaling the effects on the equity market of the forced liquidations of insured stocks in 1987.

Nov 01, 2002

How the Top Brokerage Firms and Investment Managers Rank in Execution Costs Around the World

Institutional Investor, November 2002: For 2001, Jacobs Levy ranks 10th in best execution among all investment managers trading on the NYSE.

Oct 14, 2002

Economics Award Seen Vindicating Validity of Behavioral Economics

by Joel Chernoff, Pensions & Investments, October 14, 2002: An article about the recent award of the Nobel Memorial Prize in Economic Sciences to Daniel Kahneman and Vernon Smith quotes Bruce Jacobs on one application of behavioral finance: "corporate management ‘frames’ earnings for Wall Street, then tries to... manipulate the outcome by beating the Street consensus or the comparable quarter from the previous year... How reported earnings relate to these ‘reference points’ can give rise to different return opportunities."

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Oct 03, 2002

Letter in Support of Bruce Jacobs’s Proposal for AIMR to adopt Research Objectivity Standards for its own Publications

by Jose Arau, www.aimr.org, October 3, 2002: Jose Arau, CalPERS Principal Investment Officer and President of the Security Analysts of Sacramento, urges AIMR to adopt the Internal Research Objectivity Standards that Jacobs has proposed, writing: We believe a transparent editorial policy, where all potential conflicts of interest... are disclosed, would ensure a level of fairness and integrity in AIMR publications and conferences that would redound to the benefit of all AIMR members and, indeed, all participants in the financial markets.

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Oct 01, 2002

Managers of Dutch Assets

Investment & Pensions Europe, October 2002: Jacobs Levy manages 179 million euros in Dutch pension assets.

Sep 13, 2002

Bids & Offers: Analyst, Heal Thyself

by William Power and Kate Kelly, Wall Street Journal, September 13, 2002: Bruce Jacobs, a member of The Association for Investment Management and Research (AIMR), finds that AIMR, the high priests of analyst standards, doesn’t practice what it preaches.

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Sep 01, 2002

Ohio State Hires Jacobs Levy

Money Management Letter, September 1, 2002: Ohio State Teachers Retirement Systems hires Jacobs Levy for S&P 500 mandate.

Aug 12, 2002

Proposal for AIMR to adopt Research Objectivity Standards for its own Publications

by Bruce I. Jacobs, www.aimr.org, August 12, 2002: In response to the Association for Investment Management and Research’s proposed new Research Objectivity Standards aimed at conflicts of interest at buy- and sell-side firms, corporate issuers and the media, Jacobs notes that the same types of conflicts are at work within AIMR... itself. Jacobs suggests that AIMR adopt a clear, publicly stated policy explicitly governing internal conflicts of interest and suggests some specific standards.

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Jun 30, 2002

Comprehensive Annual Financial Report, Maine State Retirement System

www.msrs.org, June 30, 2002: Jacobs Levy manages $180 million in U.S. equity for Maine State Retirement System.

Jun 19, 2002

New Team on Board for Russell

by Jason Clout, Australian Financial Review, June 19, 2002: Frank Russell Company has allocated $300 million [Australian dollars] of its multimanager Australia-based Russell International Shares Fund to Jacobs Levy. Jacobs Levy will provide the core U.S. equity portfolio, to be benchmarked against the MSCI U.S. Index.

Jun 01, 2002

Jacobs Levy hired for Russell International Shares Fund

Russell Update, June 2002: Jacobs Levy called one of the industry’s most compelling quantitative equity managers.

Feb 11, 2002

Six houses net briefs from Frank Russell

Financial Times Mandate, February 11, 2002: Jacobs Levy chosen to co-manage Frank Russell U.S. Quantitative Fund, based on its experience, and thorough understanding of the model and the market.

Jan 30, 2002

Frank Russell Adds New UK and US Quant Funds

Investment and Pensions Europe, January 30, 2002: Frank Russell hires Jacobs Levy Equity Management, as well as Barclays Global Investors, JP Morgan Fleming Asset Management and Franklin Portfolio Associates, to run its U.S. multi-manager fund.

Jan 01, 2002

Third Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2002: Burton Malkiel and Aleksander Radisich win first prize for 2000-2001 for “The Growth of Index Funds and the Pricing of Equity Securities.”

Nov 01, 2001

How the Top Brokerage Firms and Investment Managers Rank in Execution Costs Around the World

by Justin Schack, Institutional Investor, November 2001: Jacobs Levy ranks Number Nine in best execution among all firms trading on NYSE.

Jul 23, 2001

Fidelity Unveils US Equity Strategy in UK and Europe

by Niki Natarajan, Financial News Online, July 23, 2001: A Callan Associates' graph showing market neutral strategies' returns plotted on returns to value, growth, small and large capitalization reveals that most strategies are biased toward one or another style; out of 12, only the Fidelity and the Jacobs Levy portfolios appear to be... truly market neutral.

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Jul 02, 2001

Florida Starts Manager Selection for $30bn Plan

by Roxane McMeeken, Financial Times Mandate, July 2, 2001: Jacobs Levy to manage up to $750 million in large cap growth for Florida state defined contribution plan.

Jun 20, 2001

Focus on U.S. Large Caps

www.Russell.com, June 20, 2001: In a Frank Russell interview, Jacobs Levy cofounder Ken Levy discusses the firm’s approach to investing, the impact of Regulation Fair Disclosure, and adding value in large cap U.S. equity.

May 25, 2001

The Credit Bubble Bulletin: The Son of Portfolio Insurance

by Doug Noland, PrudentBear.com, May 25, 2001: In applying the arguments in Bruce Jacobs’s Capital Ideas and Market Realities to interest rate derivatives, the author notes: "I would like to suggest moving Bruce Jacobs’ excellent book ... to the top of reading lists."

Apr 03, 2001

Russell Hires Jacobs Levy for a Small Cap Value Assignment Within Its Manager-of-Managers Funds Complex

Frank Russell press release, April 3, 2001: In selecting Jacobs Levy for its manager-of-managers complex, Frank Russell says, "As a sophisticated quantitative manager Jacobs Levy uses its deep research resources and strong professional staff to exploit investor behaviors that lead to securities mispricings. We believe their highly... regarded stock-picking skills will benefit our portfolios and may help investors reach their goals amid unpredictable market conditions."

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Mar 01, 2001

Russell Hires Small-Cap Equity Specialist

Global Investor, March 2001: Frank Russell adds Jacobs Levy to its U.S. small cap equity multi-manager fund, saying "We believe [Jacobs Levy’s] highly regarded stock-picking skills will benefit our portfolios."

Jan 24, 2001

Russell Hires Three Equity Managers for Its Manager-of-Managers Funds Complex

Bloomberg News, January 24, 2001: Jacobs Levy among three managers chosen for Russell U.S. Equity Fund, an institutional fund for Canadian investors.

Jan 01, 2001

Second Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2001: Jeremy Siegel earns top honors for 1999-2000 for “The Shrinking Equity Premium.”

Nov 15, 2000

SuperModels: Modern portfolio theory meets the SuperModels

by Jon Markman, MoneyCentral Investor Online, November 15, 2000: Recommends the book Equity Management: Quantitative Analysis for Stock Selection by Bruce Jacobs and Ken Levy.

Nov 13, 2000

Economics Winner: Newest Nobel Laureate Turning His Attention to Retirement Issues

by Barry B. Burr, Pensions & Investments, November 13, 2000: Bruce Jacobs explains how new Nobelist James J. Heckman’s work on selection bias applies to investment management. "Growth stocks respond to company earnings surprises—a shortfall—in a much more violent way than value stocks... You can’t study price... reaction and assume it applies to all stocks the same way ..."

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Oct 16, 2000

Ohio State Teachers

Pensions & Investments, October 16, 2000: Jacobs Levy to run small cap value for Ohio.

Oct 05, 2000

McCall Releases Recent Common Retirement Fund Activity

www.osc.state.ny.us, October 5, 2000: New York State allocates an additional $250 million to Jacobs Levy.

Oct 01, 2000

How the Advances in Technology Will Affect the Investment Industry

Global Pensions Supplement, October 2000: Speaking on the impact of technology on the investment business, Frank Russell’s Scott Donald notes: "Jacobs Levy ... are masters at using technology to hone implementation."

Aug 01, 2000

2000 Hall of Fame Roundtable: Portfolio Insurance Revisited

Derivatives Strategy, August 2000: Debating Mark Rubinstein, Professor, University of California, Berkeley and Partner, Leland O’Brien Rubinstein Associates (creators and marketers of portfolio insurance), and William Brodsky, Chairman and CEO of the Chicago Board Options Exchange, Bruce Jacobs likens portfolio... insurance to atomic theory: "It can have its benefits, ... but it can also lead to nuclear bombs."

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Aug 01, 2000

On the Money

Shares & Personal Investor, August 1, 2000: David Lee, consultant to Australian, New Zealand and Asian super funds, reviews the best investment books of the year and recommends Equity Management by Bruce Jacobs and Ken Levy for its insight into modern portfolio theory.

Jun 26, 2000

Hot Investment Concept Leaves Managers Cold: Behavioral Finance Mostly Gets Lip Service

by Joel Chernoff, Pensions & Investments, June 26, 2000: Jacobs Levy is among the few money managers applying the lessons of behavioral finance to investing. Notes Bruce Jacobs: "We live in a behavioral world, securities prices are determined by human actions, and the behavior of company management, securities... analysts and investors influences securities prices."

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Jun 12, 2000

Nobel Laureate: Merton Miller Remembered as ‘Champion of Free Markets'

by Barry B. Burr, Pensions & Investments, June 12, 2000: In this tribute to the late Merton H. Miller, Bruce Jacobs notes how the Nobel prizes awarded to Miller, and to Harry Markowitz and William Sharpe, represent a belated recognition of finance as a field of economics.

May 29, 2000

Another ‘Costless’ Strategy Roils Market

by Bruce I. Jacobs, Pensions & Investments, May 29, 2000: How the tech stock bubble’s option-like features and subsequent crash resemble the Long-Term Capital Management and portfolio insurance debacles.

May 22, 2000

The Case Against Single-Stock Futures

by Joseph Weber, Business Week, May 22, 2000: Bruce Jacobs warns that if single stock futures become popular they "could spawn great volatility in stocks."

Apr 01, 2000

Abstracts of NYSSA Programs: Capital Ideas and Market Realities

New York Society of Security Analysts Newsletter, April 2000: A description of Bruce Jacobs’s prior presentation to the New York society introduces it as follows: "Dr. Bruce I. Jacobs is on a crusade ... to educate investors about the pitfalls of some modern investment strategies—before it’s too late. He believes that option... replication, dynamic hedging, and other ‘mechanistic’ trading systems based on option pricing models, are the heirs apparent to a failed strategy called ‘portfolio insurance’..."

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Feb 01, 2000

The World According to Bruce Jacobs

by Joe Kolman, Derivatives Strategy, February 2000: In this interview, Jacobs explains how trend-following, mechanistic trading strategies can ravage capital markets and calls for more disclosure of positions, more transparency, and a greater understanding of these strategies and their impact on markets.

Jan 03, 2000

A Bumpy Ride to the Market

Financial Times, January 3, 2000: Plender observes that Bruce Jacobs’s recent book [Capital Ideas and Market Realities] on options trading and stock market crashes ... argues all too plausibly that growth in over-the-counter equity derivatives will cause increasing market turbulence.

Jan 01, 2000

First Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2000: Thomas K. Philips takes top award for 1998-1999 for his article, “Why Do Valuation Ratios Forecast Long-Run Equity Returns?”

Jan 01, 2000

Building for the Long Term

Investments & Pensions Europe, January 2000: As the economy in the Netherlands booms, Jacobs Levy contributes via its management of U.S. equity investments for Amsterdam’s SFB, representing the Dutch building industry.

Dec 31, 1999

1999 Comprehensive Annual Report

Illinois Municipal Retirement Fund, www.imrf.org, December 31, 1999: Illinois Municipal Retirement Fund hires Jacobs Levy as manager of a structured growth equity portfolio.

Dec 17, 1999

Long-Term, The Sequel: Old Strategies

by Mitchell Pacelle, Wall Street Journal, December 17, 1999: As John Meriwether, of Long-Term Capital Management fame, starts a new hedge fund, Bruce Jacobs notes that he is now a "fallen angel" and will have to be forthcoming about his new fund’s risk-taking and leverage.

Dec 01, 1999

The ‘Nemesis of Portfolio Insurance’ Argues His Case

by Porus P. Cooper, Global Investment, December 1999: The author notes that Bruce Jacobs’s book, Capital Ideas and Market Realities,"mounts a powerful argument against the notion that somehow risk can be disconnected from reward if enough professors of finance work at it."

Nov 28, 1999

Business: Dangers of Hedging

by Garth Alexander, Sunday Times (London), November 28, 1999: Bruce Jacobs explains, in his book Capital Ideas and Market Realities, why hedges may not work when the great bubble market implodes.

Nov 23, 1999

Capital Ideas and Market Realities

by Bruce I. Jacobs, Presentation to the New York Society of Security Analysts, November 23, 1999: "Dynamic hedging is a positive feedback strategy that amplifies the market’s volatility. It’s like a household thermostat that’s gone berserk—the more the temperature rises, the more it calls for heating. The more the temperature... falls, the more it calls for cooling."

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Sep 20, 1999

The Case for Quantitative Equity Management

by Bruce Jacobs and Ken Levy, European Pension News, September 20, 1999: The benefits of quantitative management include breadth, discipline, and integrity. The authors note: "Quantitative management offers both the breadth and depth of analysis, as well as the discipline, needed to deliver outperformance on a consistent basis."

Sep 01, 1999

Why Hedge Funds Need to Be Kept in Check

by Bruce I. Jacobs, Global Pensions, September 1999: Hedge funds whose hedges fail can have outsize impacts on financial markets. "Enhanced disclosure by hedge funds and their counterparties could help to ensure that due diligence standards are maintained. It would also increase the transparency of hedge fund activities,... improving the public’s awareness of potential liquidity and volatility problems."

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Aug 01, 1999

Jacobs’s Lather

by Alyssa A. Lappen, Institutional Investor, August 1999: Bruce Jacobs, who steered Prudential Insurance away from selling portfolio insurance strategies in the 1980s, warns of similar strategies in today’s market: "The potential hazard of the options-based market is that the market becomes the derivative, subservient to the options."

Jul 12, 1999

More to Say About Crash

by Michael J. Clowes, Pensions & Investments, July 12, 1999: Bruce Jacobs’s book Capital Ideas and Market Realities "explains more thoroughly than ever why portfolio insurance failed and how it contributed to the 1987 market crash," says P&I Editorial Director Clowes.

Mar 22, 1999

Mega-Cap Inefficiency (letter)

by Ken Levy, Pensions & Investments, March 22, 1999: Jacobs Levy finds value-added, even in the efficient mega-cap sector.

Jan 01, 1999

Award for Outstanding Papers

Journal of Investing, Winter 1999: Bruce Jacobs receives an award for outstanding paper for "Option Pricing Theory and its Unintended Consequences," published in the Spring 1998 issue of the Journal of Investing.

Oct 19, 1998

Insured? No, Not Really

by Michael J. Clowes, Pensions & Investments, October 19, 1998: In regard to portfolio insurance, "one who issued early warnings was Bruce Jacobs ... [who] warned the strategy was unstable and not equivalent to a true insurance policy."

Oct 05, 1998

Long-Term Capital’s Short-Term Memory

by Bruce I. Jacobs, Pensions & Investments, October 5, 1998: The highly leveraged arbitrage strategies of Long-Term Capital Management resemble portfolio insurance trading in the 1980s in their creation of liquidity vacuums that roiled financial markets.

Sep 21, 1998

To Some, August Looked Like October

by Phyllis Feinberg, Pensions & Investments, September 21, 1998: Bruce Jacobs warns that, "this year, there are many stocks with the potential for tax-loss selling."

Sep 07, 1998

What Happened? Nobody Knows

by Barry B. Burr, Pensions & Investments, September 7, 1998: The answers behind the steep fall-off in stock prices on August 31 may lie in behavioral finance; that and, Bruce Jacobs suggests, hedging and option replication: "It can’t be explained from traditional modern finance."

Sep 01, 1998

Buyside Listings

Wall Street & Technology, September 1998: Jacobs Levy is rated Number Nine in investment technology.

Jul 01, 1998

Quantitative Research is King at Jacobs Levy

Russell Portfolio (Frank Russell Investment Management Company), July 1998: Jacobs Levy eschews simple solutions. Bruce Jacobs says: "Successful money management requires increasingly sophisticated proprietary analytical and trading systems. The value added is in the creative insights gleaned from intensive research and... the rapid implementation of those insights."

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Jul 01, 1998

An Important Announcement

by Peter L. Bernstein, Journal of Portfolio Management, Summer 1998: The Bernstein Fabozzi/Jacobs Levy Award for the best paper to appear annually in the Journal of Portfolio Management is established by Jacobs Levy "in honor of the editors’ twenty-five years of extraordinary contributions and to promote research excellence... in the theory and practice of portfolio management."

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Jun 15, 1998

Option Replication and the Market’s Fragility

by Bruce I. Jacobs, Pensions & Investments, June 15, 1998: Responding to Nobel laureates Myron Scholes and Merton Miller, Jacobs explains how mispricing can persist in financial markets and how option trading itself led to the illiquidity that Scholes blames for the 1987 market crash: "Blaming illiquidity for the crash, as Professor... Scholes does, mistakes the effect for the cause."

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Mar 01, 1998

Controlled Risk Strategies

by Bruce I. Jacobs, Presentation to the Association for Investment Management and Research Conference Alternative Investing, March 1998: Long-short portfolio construction can be used not only to reduce or eliminate a portfolio’s sensitivity to its underlying universe,... but also to fine-tune the portfolio’s specific risk via control of long and short exposures to constituent securities.

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Dec 08, 1997

Nobel-Winning Strategy Criticized: Jacobs Says Models Adds to Volatility

by Barry B. Burr, Pensions & Investments, December 8, 1997: Counter to Nobel laureates Myron Scholes and Merton Miller, Bruce Jacobs argues that, "With Black-Scholes-Merton hedging can be more exact. But there is a problem because hedging activity may affect market prices and price might not be continuous ... price... changes gap, instead of declining or rising in steady, small increments."

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Nov 24, 1997

The Darker Side of Options Pricing Theory

by Bruce I. Jacobs, Pensions & Investments, November 24, 1997: The option pricing theory formulated by Fischer Black, Myron Scholes, and Robert Merton has led to trading strategies that roil financial markets. Says Jacobs: "Risk is an unavoidable part of financial markets in the aggregate. Risk can be shifted, but it can’t be... eliminated. We forget this at our peril."

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Nov 06, 1997

Why Stock Options Are Really Dynamite

by Roger Lowenstein, Wall Street Journal, November 6, 1997: Lowenstein references Bruce Jacobs’s forthcoming book Capital Ideas and Market Realities and states that "Bruce Jacobs, an investment manager who predicted before the 1987 crash that portfolio insurance would trigger chain-reaction selling, recently forecast... that option-strategies ... would play a similar ... role ... Monday [October 27] provided damning evidence."

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Nov 01, 1997

On the Optimality of Long-Short Strategies

by Bruce I. Jacobs, Presentation to the Society of Quantitative Analysts Conference "Quantitative Approaches to Market Neutral Investing," November 1997: An optimal, active long-short portfolio does not have to be dollar-neutral or even beta-neutral (although many long-short portfolios are constructed to be so)... However, it must be constructed from an integrated optimization that takes into simultaneous account both long and short positions.

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Oct 19, 1997

A Decade and a Bull Ride Later, Complacency Reigns

by Floyd Norris, New York Times, October 19, 1997: Trading strategies underlying OTC options today pose a threat similar to that posed by portfolio insurance in 1987. According to Bruce Jacobs, the amount of such trading "is a total unknown," and capable of disrupting financial markets.

Oct 13, 1997

Crash Showed Danger of ‘Insured’ Assets: Fragility of Market Highlighted

by Bruce I. Jacobs, Pensions & Investments, October 13, 1997: Two chapters from Jacobs’s forthcoming book, Capital Ideas and Market Realities, discuss portfolio-protection strategies that have arisen since the 1987 crash and the dangers they pose for market stability.

Sep 19, 1997

Jacobs Blames Portfolio Insurance

by Barry B. Burr, Pensions & Investments, September 19, 1997: Commemorating the 1987 market crash on its tenth anniversary, the author highlights Bruce Jacobs’s theory of how portfolio insurance contributed to the market’s melt-down: “It is a positive feedback system ... [that] will cause more volatility and a magnification... of ... uptrends and downtrends.”

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Jun 01, 1996

How to Build a Better Equity Portfolio

by Bruce I. Jacobs and Kenneth N. Levy, Pension Management, June 1996: Pension plans can make better decisions if they understand the “architecture” that connects selection universes and investment approaches.

Feb 19, 1996

Scoreboard

Pensions & Investments, February 19, 1996: Within its size category ($1 billion to $10 billion under management), Jacobs Levy ranks Number Four in attracting new domestic equity investments, with a $677 million gain.

Oct 01, 1995

The Long and Short on Long-Short

by Bruce I. Jacobs, Presentation to the Institute for Quantitative Research in Finance (Q Group) Conference “Long/Short Strategies in Equities and Fixed Income,” Fall 1995: The real benefits of long-short investing emerge from an integrated optimization that considers long and short positions simultaneously... Integrated optimization frees the long-short portfolio of benchmarks constraints, giving it more flexibility to pursue returns and control risk.

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Jul 01, 1995

Market-Neutral Strategy Limits Risk

by Bruce I. Jacobs and Kenneth N. Levy, Pension Management, July 1995: Balancing long and short positions in a portfolio can neutralize the portfolio’s exposure to broad market movements and add flexibility in the pursuit of return.

Feb 20, 1995

Scoreboard

Pensions & Investments, February 25, 1995: Within its size category ($1 billion to $10 billion under management), Jacobs Levy ranks Number Five in attracting new domestic equity investments, with a $498 million gain.

Feb 13, 1995

It Even Gets a New Name: Aggressive/Specialty Fund Restructured

Jacobs Levy is one of the managers selected for United Airlines’ Aggressive/Specialty Equity Fund, within its Directed Account Program. “One of the country’s leading quantitative managers, Jacobs Levy ‘disentangles’ security returns across different stock attributes and industry affiliations” and will invest across the entire small... cap market for the Aggressive/Specialty Equity Fund.

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Jan 09, 1995

Pension Funds May Sell Short: IRS

by Vineeta Anand, Pensions & Investments, January 9, 1995: A new ruling by the IRS holds that short sales do not give rise to unrelated business taxable income; the result, according to Bruce Jacobs, could be a “substantial broadening of interest among tax-exempt investors” in market neutral strategies.

Jan 01, 1995

Psst, We’re Market-Neutral

by Miriam Bensman, Institutional Investor, January 1995: In a brief survey of long-short managers that have persisted in the face of failures such as the Askin Capital Management debacle, Jacobs Levy is highlighted as one manager that has been able to provide equity-like returns at half the volatility of equity.

Oct 04, 1994

Reuters’s Instinet Is Biting Off Chunks of Nasdaq’s Territory

by Warren Getler, Wall Street Journal, October 4, 1994: Ken Levy notes that trading on Instinet “enables us to get better executions than if we had to just farm out the order to brokers.”

Mar 21, 1994

Short Sale IRS Rule Due in ’94

by Vineeta Anand, Pensions & Investments, March 21, 1994: Jacobs Levy’s market neutral equity strategies are among those that may benefit from the IRS’s clarification of the tax treatment for short sales.

Feb 15, 1994

Floored

by Paul Gibson, Financial World, February 15, 1994: In line with Ken Levy’s comment that “We find more and more liquidity on the electronic networks,” more fund managers bypass the major stock markets to trade amongst themselves.

Oct 18, 1993

New Guide for Trekking Globally

by Barry B. Burr, Pensions & Investments, October 18, 1993: In their newly published Global Investing, Roger Ibbotson and Gary Brinson discuss the application of the anomalies research undertaken by Bruce Jacobs and Ken Levy to world markets.

Sep 01, 1993

Trading Electronically Comes of Age: Rocket Science Becomes Daily Trading Tool

by Kenneth N. Levy, Presentation to the New York Society of Security Analysts Conference “Financial Investment Management,” September 1993: Electronic trading can offer benefits of low cost and anonymity versus trading the old-fashioned way.

Jul 26, 1993

Funds Adding Managers

Pensions & Investments, July 26, 1993: New York State & Local Retirement Systems hires Jacobs Levy to run $50 million in equities.

Jun 07, 1993

Two-Sided Bets

by Martin J. Gross, Barron’s, June 7, 1993: Jacobs Levy favors a market neutral approach to long-short investing.

May 01, 1993

The Long and Short of It

by Kenneth N. Levy, Presentation to the Association for Investment Management and Research Conference “The Ripple that Starts the Wave,” May 1993: Long-short portfolio management can entail complications not found in long-only management. Most of these are related to short selling. The benefits of long-short... portfolios should outweigh the added effort.

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Mar 01, 1993

A Long-Plus-Short Market Neutral Strategy

by Bruce I. Jacobs and Kenneth N. Levy, Presentation to the Association for Investment Management and Research Conference "The CAPM Controversy: Policy and Strategy Implications for Investment Management," March 1993: If investors hold diverse opinions and short selling is constrained, then the... market will not be efficient and stocks that are overpriced (short sale candidates) are likely to outnumber stocks that are underpriced (purchase candidates). A long-short portfolio can take full advantage of this.

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Feb 22, 1993

Scoreboard

Pensions & Investments, February 22, 1993: Within its size category ($1 billion to $10 billion under management), Jacobs Levy ranks Number Three in attracting new domestic equity investments, with a $645 million gain.

Feb 01, 1993

The Biggest Percentage Gainers

Institutional Investor, February 1993: Jacobs Levy ranks Number Four in percentage increase in tax-exempt assets under management for the year ending June 30, 1992.

Oct 30, 1992

Instinet Secures Its Place On Desks Of Money Managers As Volume Hits Critical Mass

Investment Management Technology, October 30, 1992: Having spent three years developing portfolio management systems, Bruce Jacobs and Ken Levy favor Instinet for efficiency of trades, especially for OTC stocks.

Mar 30, 1992

Georgia-Pacific Hires Jacobs Levy in Shakeup

Money Management Letter, March 30, 1992: Georgia-Pacific has hired Jacobs Levy to run a quantitative-oriented large cap account as part of a reshuffling of its equity portfolio.

Mar 16, 1992

Magnificent or Mediocre?

by Joel Chernoff, Pensions & Investments, March 16, 1992: Alternative trading systems such as Instinet are on the rise in part, says Ken Levy, because they provide "another source of low-cost liquidity."

Mar 01, 1992

Details of DuPont Mandates Revealed

Global Investor, March 1992: Seeking its first external managers for a $200 million portion of its equity portfolio, du Pont assigns a piece to Jacobs Levy, a quantitative manager that uses unique research to identify multiple market anomalies.

Mar 01, 1992

Structured Investing: Tomorrow’s World. The Evolution from Passive to Active

by Chuck Epstein, Global Custodian, March 1992: Jacobs Levy routinely scans 3000 stocks through some 50 screens searching for candidates to includes in its strategies.

Feb 03, 1992

Scoreboard

Pensions & Investments, February 3, 1992: Within its size category ($250 million to $1 billion under management), Jacobs Levy ranks Number Three in attracting new domestic equity investments, with a $391 million gain.

Dec 09, 1991

Electronic Trading Use on the Rise

by Joel Chernoff, Pensions & Investments, December 9, 1991: Jacobs Levy, which manages more than $800 million, trades hundreds of stocks at a time almost exclusively on electronic trading systems such as the NYSE’s DOT system, Instinet, POSIT, and Morgan Stanley’s MatchPlus, in search for liquidity and low transaction costs.

Nov 11, 1991

Picking Stock Pickers: Budge Collins Brings Years of Experience to Finding Money Managers

by Jaye Scholl, Barron’s, November 11, 1991: Ken Levy, "one of the leading practitioners" of market neutral investing, attended the annual conference of Budge Collins, Newport Beach, California, pension consultant.

Nov 01, 1991

What’s Behind Hedged Portfolios: Practical Approaches to Long-Short Strategies

by Kenneth N. Levy, Presentation to the Society of Quantitative Analysts, November 1991: Creating a long-short equity portfolio requires purchasing securities that are expected to perform well and selling short a roughly equal dollar amount of securities that are expected to perform poorly. When the portfolio is designed so that... the market sensitivities of the overall long and short positions are equal, the portfolio will be relatively insensitive to broad market movements.

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Nov 01, 1991

Market Neutral Equity Strategies

by Bruce I. Jacobs, Presentation to the New York Society of Security Analysts, November 1991: An equity strategy that exploits both long and short positions can improve upon the return/risk ratio.

Sep 16, 1991

Market Neutral Funds Gain Fans

by Terry Williams, Pensions & Investments, September 16, 1991: Jacobs Levy’s multidimensional approach to market neutral investing appeals to Consolidated Natural Gas and Unisys Corp. Says partner Bruce Jacobs of the firm’s approach: "We have built a multidimensional process. We build portfolios that ... are well diversified... across a large number of ... market inefficiencies."

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Jun 01, 1991

Has Value Investing Lost its Value?

by Julie Rohrer, Institutional Investor, June 1991: In this critique of value investing, Jacobs Levy is highlighted for its impressive performance record and for eschewing traditional value investing in favor of an approach that seeks to untangle myriad sources of return in a complex stock market. Bruce Jacobs says, "People haven’t... unbundled and separated out these effects...that’s the true insight we’ve had—the notion of disentangling all the effects from one another; that way you can measure and monitor them all individually."

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Mar 20, 1991

How Jacobs and Levy Crunch Stocks for Buying—and Selling

by James A. White, Wall Street Journal, March 20, 1991: After years of research, Jacobs Levy is off to a fast start since beginning to manage portfolios for institutional investors; Jacobs Levy attribute their success to their thorough, multidimensional approach. "They were the first to bring so much of this anomaly material... together," says Charles A. D’Ambrosio, Editor of Financial Analysts Journal.

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Feb 04, 1991

Scoreboard

Pensions & Investments, February 4, 1991: Within its size category (under $250 in management), Jacobs Levy ranks Number Three in attracting new equity investments, with an $80 million gain.

Sep 17, 1990

Allocation Strategy Takes Step Beyond Value

Pensions & Investments, September 17, 1990: Warren A. Johnson of consultant Johnson Portfolio Strategy group notes: "Work published a couple of years ago in the Financial Analysts Journal ... by Bruce Jacobs and Kenneth Levy showed there are significant areas that are not explained by simple value measures."

Jul 01, 1990

Leaning Towards Tilt Funds?

by Mark Tapley and Frank Naylor, Global Investor, July/August 1990: In discussing the exploitation of market inefficiencies identified by careful analysis of equity data bases, this article notes that Bruce Jacobs and Ken Levy’s "Disentangling Equity Return Regularities: New Insights and Investment Opportunities"... (Financial Analysts Journal, May/June 1988) is "a key work."

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Apr 01, 1990

Stock Market Complexity and Investment Opportunity

by Bruce I. Jacobs and Kenneth N. Levy, Presentation to the Institute for Quantitative Research in Finance (Q Group) Conference "New Perspectives on Equity Valuation," Spring 1990: In a complex stock market, prices are not entirely random; but stock price behavior cannot be explained by simple rules, either... A complex market is one in which numerous, interrelated factors create regularities that offer opportunities for profitable investing. Detecting and exploiting these opportunities requires examining the factors simultaneously, in a multivariate framework.

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May 01, 1989

Equity Evaluation Methods and Strategies: From Tried and True to New

by Bruce I. Jacobs, Presentation to the Financial Analysts Federation Conference "Challenging the 90s," May 1989: Simple approaches to investing, such as "buy low P/E" or "buy small cap stocks" don’t work in a stock market that is complex. A complex market requires a multidimensional, quantitative approach.

May 01, 1989

Graham and Dodd Awards for 1988

Financial Analysts Journal, May/June 1989: Bruce Jacobs and Kenneth Levy receive a Graham and Dodd Award for "Disentangling Equity Return Regularities: New Insights and Investment Opportunities", published in the May/June 1988 Financial Analysts Journal.

Apr 25, 1989

That Low-P/E Gold Might Really Be Lead

by Barbara Donnelly, Wall Street Journal, April 25, 1989: When markets turn down, Ken Levy warns, "low-P/E stocks are often the first hit because they tend to be smaller, riskier, more fragile companies. In full-blown bear markets, however, low-P/E stocks perform well, largely because these stocks’ high dividend yields cushion returns."

Apr 01, 1989

How Dividend Discount Models Can Be Used to Add Value

by Bruce I. Jacobs and Kenneth N. Levy, Presentation to the Institute of Chartered Financial Analysts Conference "Improving Portfolio Performance with Quantitative Models," April 1989: The dividend discount model is only one aspect of valuation; what’s more, its performance can be perverse in some market... environments. A fuller and truer picture emerges when one considers multiple factors that affect value.

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Jan 24, 1989

Timing Stock Decisions Can Boost Returns

by Leo Fasciocco, Investor’s Business Daily, January 24, 1989: Ken Levy notes that "A lot of the declines on Mondays have to do with psychology," but there are more fundamental reasons, too, why Mondays tend to be down days for stocks.

Jan 10, 1989

For Savvy Investors, Timing is Money

by Patrick Bloomfield, Financial Post (Toronto), January 10, 1989: Bruce Jacobs and Ken Levy’s latest article in Financial Analysts Journal is recommended as "must reading" for investors interested in finding out how to take advantage of calendar and other (often psychologically-motivated) time effects.

Mar 07, 1988

Web of ‘Regularities’ Leads to Opportunity

by Bruce I. Jacobs and Kenneth N. Levy, Pensions & Investments, March 7, 1988: Jacobs and Levy, drawing on their work to be published in Financial Analysts Journal, discuss why return regularities exist and how understanding their sources can open the door to investment opportunities. They say: "Major tenets of... conventional investment theory, including market efficiency, investor rationality and value-based pricing, are suspect. In an inefficient market, investment opportunities are bountiful, and an empirical walk down Wall Street produces new insights and novel investment ideas."

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Nov 16, 1987

Viewpoint on Portfolio Insurance: It’s Prone to Failure

by Bruce I. Jacobs, Pensions & Investment Age, November 16, 1987: Portfolio insurance failed to protect during the 1987 crash. In fact, it contributed to the market break that caused its demise. Jacobs finds that "the explosive growth of the portfolio insurance industry has exhibited the characteristics of a fad, whose bubble has now burst."

Nov 12, 1987

Being in S&P 500 May Affect Stock Prices

by Barbara Donnelly, Wall Street Journal, November 12, 1987: Ken Levy says "stock investors should consider S&P 500 indexed mutual funds to be more risky than the market as a whole," because in bear markets S&P stocks stand to lose the premium they tend to enjoy in bull markets.

Sep 01, 1987

Disentangling Equity Return Regularities

by Bruce I. Jacobs and Kenneth N. Levy, Presentation to the Institute of Chartered Financial Analysts Conference "Equity Markets and Valuation Methods," September 1987: Sources of return regularities are usually interrelated, so that their effects on stock price behavior are entangled... Disentangling them via multivariate analysis allows one to arrive at "pure" returns.

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Apr 20, 1987

Monday Puzzle: Stock Market Lags Other Days

by George Anders, Wall Street Journal, April 20, 1987: Bruce Jacobs notes that the tendency of stocks to dip on Monday is one factor Jacobs Levy examines when looking to trade, but not the dominant factor.

Feb 01, 1987

Investment Management: Opportunities in Anomalies

by Bruce I. Jacobs and Kenneth N. Levy, Pension World, February 1987: Jacobs and Levy discuss systematic patterns of stock price behavior that are anomalous in the context of efficient market theory and explain how disentangling these patterns would allow investors to exploit the true sources of expected return.

Oct 14, 1986

Investors Rush for Portfolio Insurance: Skeptics Worry About Effects on Stock Markets

by George Anders, Wall Street Journal, October 14, 1986: According to Bruce Jacobs, "In a fast-moving market, portfolio insurance users can get bagged."

Sep 29, 1986

Jacobs, Levy Firm

Pensions & Investment Age, September 29, 1986: Bruce I. Jacobs and Kenneth N. Levy have left their posts as senior managing director and managing director, respectively, of Eagle Rock Asset Management, a subsidiary of the Prudential Insurance Co. of America, to start their own money management firm... Jacobs Levy Equity Management will provide quantitative equity management designed to capture stock market anomalies.

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Sep 01, 1986

Hidden Risks in Portfolio Insurance

by Daniel Forbes, Dun’s Business Month, September 1986: In this assessment of portfolio insurance, Bruce Jacobs talks of the strategy’s shortfalls and has the last word: "Portfolio insurance is performance insurance for money managers ..."

Sep 01, 1986

Anomaly Capture Strategies

Bruce I. Jacobs and Kenneth N. Levy, Presentation to the University of California-Berkeley Program in Finance Conference "The Behavior of Security Prices: Market Efficiency, Anomalies and Trading Strategies," September 1986: Detecting and exploiting anomalies in stock price behavior requires a multidimensional approach.

Aug 01, 1986

Flocking to Hear the Dynamic ‘Gospel’

Futures, August 1986: Coverage of the New York City conference at which Bruce Jacobs debated John O’Brien of Leland O’Brien Rubinstein Associates.

Jul 07, 1986

Portfolio Insurance’s Merits Spur Debate

by Trudy Ring, Pensions & Investment Age, July 7, 1986: In debating John O’Brien of portfolio insurance purveyor Leland O’Brien Rubinstein Associates, Bruce Jacobs notes that: "If one chooses to lock in gains today, one may be locking out gains tomorrow."

Aug 20, 1984

Broader Indexes Widen Horizons

by Kenneth N. Levy and Bruce I. Jacobs, Pensions & Investment Age, August 20, 1984: The S&P 500 is not truly representative of the U.S. equity market, and this has implications for investing. According to the authors, "the more stable and well-defined characteristics of broad-based index funds render them superior to S&P 500... index funds for asset allocation decision-making."

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Aug 22, 1983

The Portfolio Insurance Puzzle

by Bruce I. Jacobs, Pensions & Investment Age, August 22, 1983: Bruce Jacobs describes portfolio insurance’s shortfalls and warns, "while investors may be comforted by limiting losses for short intervals, they should recognize that the opportunity costs of the hedged position in cash equivalents will seriously hinder... longer-term performance of their portfolio."

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