News

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

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

Bruce I. Jacobs’s Keynote Presentation: Building on Finance Theory to Forge the Future of Investment Practice

Journal of Portfolio Management (JPM) 50th Anniversary Symposium, Union League Club, New York, November 14, 2024: Bruce Jacobs’s keynote address to more than 150 investment professionals to celebrate JPM’s 50th Anniversary discussed recent advancements and refinements in finance theory and application and how they are transforming the landscape of investment strategies. These new approaches include smart alpha, an active, dynamic, multifactor approach that accounts for a wide range of proprietary factors and changing market conditions; an extension of modern portfolio theory that accounts for investor aversion to leverage-related risks; enhanced active equity long-short extension strategies that can improve portfolio efficiency; and asynchronous, discrete-time dynamic simulations of financial markets to better reflect market realities. The keynote presentation is based on two articles published by JPM, “Building on Finance Theory to Forge the Future of Investment Practice,” by Jacobs and Ken Levy, and “How Misunderstanding Factor Models Set Unreasonable Expectations for Smart Beta,” by Jacobs, Levy, and Sangwoo Lee.

Volume Five of the Bernstein Fabozzi/Jacobs Levy Awards Book Published

by Editors Bruce I. Jacobs, Kenneth N. Levy, and Frank J. Fabozzi, November 1, 2024: The Bernstein Fabozzi/Jacobs Levy Awards: Five Years of Award-Winning Articles from The Journal of Portfolio Management, Volume Five (2019-2023) collects, every five years, the award-winning articles along with commentaries by the authors for this anthology series... The commentaries discuss the motivation behind the articles and their ongoing research. This fifth volume includes all the articles that received Best Article or Outstanding Article Awards from 2019 through 2023. Each volume also features an introduction by editors Bruce Jacobs, Ken Levy, and Frank Fabozzi that provides perspective on the research topics covered, the historical setting, and the impactful contribution of each author. Jacobs and Levy established the Bernstein Fabozzi/Jacobs Levy Awards in 1999, on the 25th anniversary of the Journal of Portfolio Management, to honor Editors Peter Bernstein and Frank Fabozzi for their extraordinary contributions to the field of finance and to promote research excellence in the theory and practice of portfolio management.

Building on Finance Theory to Forge the Future of Investment Practice

by Bruce I. Jacobs and Kenneth N. Levy, Journal of Portfolio Management, Special 50th Anniversary Issue, November 2024: Neoclassical assumptions and a preference for parsimony have diminished the usefulness of academic pricing research when applied directly to complex, dynamic, and behavioral real-world markets... This article challenges those assumptions and presents examples of the authors’ research highlighting efforts to bridge the gap between theory and application. An active, dynamic, multifactor approach called smart alpha will help overcome the limitations of smart beta by accounting for a wider range of factors and changing market conditions. Mean-variance analysis will not yield optimal portfolios for leverage-averse investors, but mean-variance-leverage analysis will by accounting for investor aversion to leverage risk. Enhanced active equity long-short strategies provide improved efficient frontiers and portfolio efficiency by relaxing the long-only constraint while maintaining full benchmark index exposure. Asynchronous, discrete-time, dynamic simulations are more useful than continuous-time finance models for explaining the behavior of financial markets.

How Misunderstanding Factor Models Set Unreasonable Expectations for Smart Beta

by Bruce I. Jacobs, Kenneth N. Levy, and Sangwoo Lee, Journal of Portfolio Management, January 2025 (published online on November 1, 2024): The poor performance of some smart beta strategies in recent years is due to shortcomings of standard factor pricing models, from which the strategies draw their well-known factors... Inevitably, these factors include some that may fall out of favor, sometimes for extended periods, as market conditions change. Smart beta strategies also are limited by the standard factor models’ narrow focus on a handful of generic factors and a failure to take into account correlations between factors. Overcoming these limitations requires further steps toward a fully active, dynamic, multifactor approach, aka “smart alpha.”

Nobel Economics Prize Goes to 3 Professors for Research into Economic Consequences of Colonialism

by Rob Kozlowski, Pensions & Investments, October 14, 2024: Economists Daron Acemoglu, Simon Johnson, and James Robinson were awarded the Nobel Prize in Economics for research explaining how institutions created by European colonizers affected the long-term prosperity of their colonies. “When focused on the... extraction of resources, colonizers created inefficient economic and social institutions that persisted due to a ‘commitment problem’ — a belief that promises of political reform could not be trusted,” Bruce Jacobs said. “Whether a population was able to mobilize and become a threat determined whether it became trapped or was able to transition to more equitable institutions.” The laureates’ research “reinforces the conclusion that emphasizing democracy and inclusive institutions goes hand-in-hand with the goals of fighting poverty and promoting economic development,” Jacobs added.

Wharton’s Jacobs Levy Center to Investigate AI in Finance at Annual Conference

Press Release, September 17, 2024: The Jacobs Levy Equity Management Center for Quantitative Financial Research will explore the potential impact of artificial intelligence on the financial sector at its annual conference on Friday, September 20, at Jon M. Huntsman Hall on the University of Pennsylvania’s campus... in Philadelphia. The conference will hear presentations from scholars discussing recent advances in the application of AI to return prediction and feature a keynote session with Nobel laureate Robert Shiller and Wharton Professor Emeritus Jeremy Siegel. “Generative artificial intelligence is an exciting new technology with great promise,” said Bruce Jacobs, chair of the Jacobs Levy Center Advisory Board. “The insights from our distinguished speakers will help our industry adapt and benefit.”

Portfolio Insurance, Portfolio Theory, Market Simulation, and Risks of Portfolio Leverage

by Bruce I. Jacobs and Kenneth N. Levy, Journal of Portfolio Management, Special Issue Dedicated to Harry Markowitz, July 2024: Bruce Jacobs and Ken Levy recall their decades-long working relationship with Nobel laureate Harry Markowitz, which began when Harry took an interest in Bruce’s efforts to debunk portfolio insurance... Harry adopted Bruce and Ken’s methodology for estimating security expected returns using cross-sectional analysis, and Bruce and Ken used Harry’s methods for portfolio construction. The three went on to collaborate on numerous projects, including exploring the value of using constraints in portfolio optimization, addressing the optimality and optimization of long-short portfolios, and developing JLMSim, an asynchronous, discrete-time, dynamic market simulator. Later, Bruce and Ken extended Harry’s portfolio theory to account for the unique risks of leverage through their mean-variance-leverage model. Bruce and Ken used the mean-variance-leverage model to address the optimal amount of leverage in 130-30-type portfolio strategies. The article delves into their collaborations and highlights how they drew inspiration from each other.

The Birth of Portfolio Theory

by Frank J. Fabozzi, Bruce I. Jacobs, and Kenneth N. Levy, Journal of Portfolio Management, Special Issue Dedicated to Harry Markowitz, July 2024: The introduction to this special issue dedicated to Nobel laureate Harry Markowitz, co-edited by Frank Fabozzi, Bruce Jacobs, and Ken Levy, recalls the immense impact of... Harry’s foundational portfolio theories on the investing world, and describes how his insights continue to guide and shape portfolio management today. In recounting his many accomplishments in multiple fields of inquiry, the authors also highlight the affection he inspired from his colleagues and collaborators through his warmth, encouragement and support, and insatiable curiosity.

Reflections from a Graduating Jacobs Scholar: Q&A with Zachary Long

Frontier of Finance, May 22, 2024: When Bruce Jacobs established the Dr. Bruce I. Jacobs Scholars in Quantitative Finance with a generous donation in 2020, he was hoping to create a program that supported the interests and endeavors of Wharton MBA students majoring in Quantitative Finance... Zachary Long, who is graduating from the Wharton School in May 2024 as a Jacobs Scholar, has accepted an investment industry job in corporate development. “I am confident that Zachary’s experience as a Jacobs Scholar has prepared him well for the exciting opportunities ahead as he embarks on his career,” Jacobs says. Long agrees and credits the program with opening doors to the business and operations side of investment management and with providing recruiting opportunities he would not have had otherwise. He also said that his status as a Jacobs Scholar provides credibility in the workplace.

Nobel Prize-Winning Expert on Behavioral Economics Daniel Kahneman Dies at 90

by Palash Ghosh, Pensions & Investments, March 28, 2024: Bruce Jacobs remembers Daniel Kahneman as “a cognitive psychologist who gave birth to a thriving branch of economics based on human behavior rather than on standard expected utility theory.” Jacobs, who is quoted extensively in a remembrance of Kahneman’s Nobel Prize-winning career, said that Kahneman “found that when forced to make complex decisions in... uncertain situations, people were not coolly calculating rational agents. Rather, they tended to rely on heuristics—mental shortcuts and rules of thumb. Kahneman found that people could be irrational in systematic ways.” Their systematic behavior “could be incorporated into a forecasting framework,” Jacobs noted, “an insight that gave birth to the field of behavioral economics.”

Bruce I. Jacobs’s Remarks in Tribute to Harry M. Markowitz at the JOIM Spring Conference

Spring JOIM Conference, The Rady School of Management, University of California, San Diego, March 25, 2024: Bruce Jacobs was among a group of colleagues and friends of Harry Markowitz who paid tribute to the late Nobel laureate at the JOIM spring conference in San Diego. Bruce delivered two sets of remarks... In his first talk, “Collaborating with Harry Markowitz: A Remembrance,” Bruce recounted how early correspondences about his work debunking portfolio insurance led to Harry agreeing to write a foreword to Bruce’s book, Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes. Harry would subsequently also provide forewords to Bruce and Ken Levy’s books, Equity Management: Quantitative Analysis for Stock Selection and Equity Management: The Art and Science of Modern Quantitative Investing. Bruce, Ken, and Harry collaborated in creating a financial market simulator, JLMSim, and engaged in a spirited debate about Bruce and Ken’s mean-variance-leverage model, an extension of Harry’s mean-variance model. In a second talk given during the conference’s afternoon session, titled “Harry Markowitz Celebration of Life,” Bruce offered some personal recollections about Harry, noting that he was “a master at thinking about how to think about problems.”

Factor Investing Paper Wins Top Bernstein Fabozzi/Jacobs Levy Award

by Rob Kozlowski, Pensions & Investments, March 1, 2024: The Best Article for the 25th Annual Bernstein Fabozzi/Jacobs Levy Awards was awarded to “Fact, Fiction, and Factor Investing” by Michele Aghassi, Cliff Asness, Charles Fattouche, and Tobias J. Moskowitz. The authors evaluate a variety of claims about factor... investing, confirming some and rebutting others. The article finds that factors receiving the most attention in academia are those based on solid theory and strong in-sample statistical significance. Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management, said “the authors are to be commended for sifting through the many claims about factor investing and presenting an assessment of its benefits and drawbacks.” All articles that appeared in the Journal of Portfolio Management from 2023 were eligible for the award and were voted on by subscribers.

Too Smart for Our Own Good by Bruce Jacobs – Translated into Chinese

Bruce Jacobs’s book, Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes, has been translated into Chinese by China Machine Press.

Harvard Professor Wins Nobel Prize in Economics for Research on Women

by Palash Ghosh, Pensions & Investments, October 9, 2023: Claudia Goldin of Harvard was awarded the Nobel Prize in Economics “for collecting and interpreting two centuries of data that have revealed the factors that affect women’s opportunities in the labor market and contribute to gaps in pay that exist to this day,” Bruce Jacobs said... In tracing women’s earnings and workforce participation over such an extended period, Goldin’s research highlighted “the role of parenthood in explaining the pay gap between women and men, which remains at 10% to 20% in high-income countries, even as women have equaled and surpassed men’s educational levels,” Bruce added.

Bruce I. Jacobs’s Remarks in Remembrance of Harry M. Markowitz at the Q Group Fall 2023 Seminar

Q Group Fall Seminar, Arizona, October 2, 2023: Bruce Jacobs recalled his and Ken Levy’s collaborations with Harry Markowitz on projects including the optimization of long-short portfolios and the creation of a financial market simulator during his remarks at the Memorial for Harry Markowitz. Bruce also expressed his appreciation... to Harry for his insights in the foreword to Bruce’s book, Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes, and in Bruce and Ken’s books Equity Management: Quantitative Analysis for Stock Selection, and its second edition, Equity Management: The Art and Science of Modern Quantitative Investing. In the forewords for the latter two books, Harry discussed how we “build upon each other’s research.” One such example is Harry’s paper responding to Bruce and Ken’s articles exploring mean-variance-leverage optimization, which is an extension of Harry’s mean-variance optimization. In Bruce’s concluding remarks, he said, “Harry, you will be missed—your love of learning, your lifelong dedication to the field, and your knowledge creation. Your legacy will live on for generations.”

listen to Bruce’s remarks   read Bruce’s remarks

Pete Kyle Wins 2023 Wharton-Jacobs Levy Prize for Trading Model

by Rob Kozlowski, Pensions & Investments, September 25, 2023: Albert S. “Pete” Kyle is the recipient of the 2023 Wharton-Jacobs Levy Prize for Quantitative Financial Innovation for his research on market microstructure. The award recognizes Kyle for his 1985 paper, “Continuous Auctions and Insider Trading,”... which introduced a model of informed trading that has been widely adopted in academia as well as by traders. Erika James, Dean of the Wharton School, called Kyle’s paper “groundbreaking in that it substantially enhanced understanding of the functioning of financial markets for academic researchers and financial practitioners.”

Japan's GPIF Lays Groundwork for More Active Management

by Douglas Appell, Pensions & Investments, August 16, 2023: Japan's Government Pension Investment Fund has awarded a mandate to Jacobs Levy Equity Management, selected through a process that used quantitative, data-driven screens of manager skill. As of March 2023, the account size was reported as $1.56 billion.

Harry Markowitz: An Appreciation

by John Guerard, Wilmott Magazine, July 11, 2023: In John Guerard’s tribute to Harry Markowitz (Part II), he reviews the longstanding, collaborative relationship between Bruce Jacobs and Ken Levy and Markowitz, which included the development of the JLM Market Simulator and an examination of the optimization of portfolios with short positions... John also notes that Bruce and Ken extended Markowitz’s mean-variance optimization model to include a term that captures the unique risks of leverage. Bruce and Ken were great friends of Harry for decades and their collaboration produced four articles.

Harry M. Markowitz, Father of Modern Portfolio Theory, Dies at 95

by Rob Kozlowski, Pensions & Investments, June 26, 2023: Reflecting on Harry Markowitz’s contributions, Bruce Jacobs said “Markowitz’s insights into the relationship between risk and return transformed investment management and continue to shape how trillions of dollars are invested.”... Harry “showed us how to construct investment portfolios on the ‘efficient frontier,’ where it is possible to achieve the maximum expected return for any given level of expected risk.” Bruce also noted some of Markowitz’s many achievements, including popularizing the practice of investment diversification, creating the SIMSCRIPT programming language for computer simulations, and co-creating the Jacobs Levy Markowitz Market Simulator. Bruce said he “never stopped searching for practical solutions to complex problems.”

Igniting Minds, Transforming Markets: Jacobs Scholars Impact at Wharton and Beyond

Wharton Impact, June 6, 2023: Over the past three years, 30 Wharton MBA students majoring in quantitative finance have been selected as Dr. Bruce I. Jacobs Scholars in Quantitative Finance, benefitting from a program established in 2020 with a generous donation from Bruce Jacobs. The success of the program shows that... the current Jacobs Scholars are a diverse group that came to quantitative finance from a variety of disciplines. As Bruce acknowledges, “I am pleased to see that my original vision for the Jacobs Scholars as a cross-disciplinary program is coming to fruition. This year’s cohort of Scholars has experience and training in fields as diverse as neurobiology, physics, mechanical engineering, chemical engineering, and applied mathematics.” Bruce recognizes that as new technologies such as generative artificial intelligence emerge, Jacobs Scholars and other quants “will be at the forefront of harnessing those technologies to produce better outcomes for their clients and communities.”

5 Experts Win Bernstein Fabozzi/Jacobs Levy Award for Paper on Market Impact Costs of Trading

by Rob Kozlowski, Pensions & Investments, February 3, 2023: Subscribers to the Journal of Portfolio Management voted “Quantifying Long-Term Market Impact,” by Campbell R. Harvey, Anthony Ledford, Emidio Sciulli, Philipp Ustinov, and Stefan Zohren, as the Best Article in the 24th Annual Bernstein Fabozzi/Jacobs Levy Awards... The article discusses the importance of considering market impact costs when assessing strategy performance and offers a simple method for analyzing more complex trades where there is autocorrelation in the orders. Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management, notes that “despite the rise in computer-assisted, high-turnover strategies, most academic research papers continue to ignore the market-impact costs of trading. The authors of this paper provide a welcome focus on the issue, as well as a useful method for measuring long-term impact costs.”

Russell Investments Canada Launches Tax-Managed Investment Solutions for Canadian Investors

Business Wire, January 31, 2023: Russell Investments’ Tax-Managed US Equity Pool includes Jacobs Levy Equity Management as one of the U.S. equity sub-advisers.

Japan’s GPIF Reveals Active Foreign Equities Manager Lineup

by Natalie Koh and Douglas Appell, Pensions & Investments, January 11, 2023: Japan’s Government Pension Investment Fund has awarded Jacobs Levy Equity Management a mandate.

Bernanke, 2 Economics Professors Share Nobel Prize for Studies of Financial Crises

by Rob Kozlowski, Pensions & Investments, October 10, 2022: Former Federal Reserve Chair Ben S. Bernanke and economics professors Douglas W. Diamond and Philip H. Dybvig were recognized for “the scientific underpinnings of banks’ critical role as financial intermediaries and the catastrophic consequences to society when they fail,” said Bruce Jacobs... “The insights of all three laureates played a prominent role in banking legislation that emerged after the 2008-09 crisis.” These new regulations “improved the resilience of the banking system and allowed it to avoid a major calamity during the pandemic, although it did leave behind an inflation problem,” adding that their insights helped “ensure that recent crises, including the economic disarray caused by the pandemic in 2020, did not turn into long-term economic depressions.”  

 

2 Win Wharton-Jacobs Levy Prize for Paper on Momentum Investing

by Rob Kozlowski, Pensions & Investments, September 13, 2022: Pensions & Investments covered the awarding of the 2021 Wharton-Jacobs Levy Prize for Quantitative Financial Innovation to Narasimhan Jegadeesh and Sheridan Titman for their research on momentum investing. Bruce Jacobs, Chair of the Prize Selection Committee,... recognized that Jegadeesh and Titman’s paper represented a significant advancement for the investment industry in providing strong evidence against the efficient market hypothesis. “They documented a factor of considerable strength and robustness that could be harnessed by skilled practitioners for the benefit of investors,” Bruce said.

Columbia Threadneedle Hires Jacobs Levy to a Multi-Manager Fund

by Nicole Piper, CityWire.com, June 28, 2022: Columbia Threadneedle has added Jacobs Levy Equity Management as a subadvisor to the Columbia Multi-Manager Small Cap Equity strategy.

The Challenge of Disparities in ESG Ratings

by Bruce I. Jacobs and Kenneth N. Levy, Journal of Impact and ESG Investing, Spring 2022: Environmental, social, and governance (ESG) considerations play an increasingly important role in investment decisions. Vendors of ESG data, however, lack a common framework for creating ESG ratings. As a result,... their ratings show substantial disparities for the same company, making it difficult to assess whether the ratings are truly aligned with companies’ ESG performance. This article highlights the nature and sources of the ESG rating disparities and urges investors to be aware of them. Despite noisy ESG ratings, disentangling may be suitable for assessing the efficacy of multidimensional ESG data in the presence of other characteristics impacting stock returns.

Experts Win Top Bernstein Fabozzi/Jacobs Levy Award for Paper on Inflation

by Rob Kozlowski, Pensions & Investments, February 2, 2022: “The Best Strategies for Inflationary Times” by Henry Neville, Teun Draaisma, Ben Funnell, Campbell R. Harvey, and Otto Van Hemert won Best Article in the 23rd Annual Bernstein Fabozzi/Jacobs Levy Awards, as voted by subscribers to the Journal of Portfolio Management... The article examines newly resurgent inflationary risks for portfolio managers based on the authors’ historical analysis of active and passive strategies across multiple asset classes and markets over the past 95 years. “This timely guidance is welcomed as portfolio managers face the unfamiliar territory of high inflation,” said Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management. “The authors’ analysis of the history of high inflation episodes provides a wealth of information and insights.”

Research on ESG Returns Wins Jacobs Levy Center Prize

by James Comtois, Pensions & Investments, November 1, 2021: The Wharton School’s Jacobs Levy Equity Management Center for Quantitative Financial Research awarded its annual Best Research Paper Prize to Lubos Pastor, Robert Stambaugh, and Lucian Taylor for their paper, “Dissecting Green Returns,”... which attributed the recent success of green assets to increasing environmental concerns and cautions that the premium could diminish if environmental concerns ease. “The implications are important for the investment community while it asserts that green stocks have performed better than brown stocks (environmentally unfriendly stocks) over the last decade, they may now be (too) pricey, so investors should not expect that they will provide the same premium going forward,” said Bruce I. Jacobs, chair of the Jacobs Levy Center’s Advisory Board. Jacobs added, “For Wharton and the Center, this paper is an example of the quality of the papers produced by the faculty at the school. Not only is this good empirical research, but it’s also very topical.”

3 Share Nobel Economics Prize for Work Using Natural Experiments

by James Comtois, Pensions & Investments, October 11, 2021: David Card of U.C. Berkeley, Joshua D. Angrist of MIT, and Guido W. Imbens of Stanford were recognized for their “innovative use of natural experiments to study difficult-to-answer questions about cause and effect,” noted Bruce Jacobs, adding that the winners... “searched for situations in which chance events and changes in institutional rules and policies create groups of people who are treated differently, setting up what amounts to natural clinical trials.”

Jessica Wachter Named SEC Chief Economist and Director of the Division of Economic and Risk Analysis

Press Release, May 3, 2021: The Dr. Bruce I. Jacobs Chair of Quantitative Finance at the Wharton School, Dr. Jessica Wachter, has been appointed Chief Economist and Director of the Division of Economic and Risk Analysis at the SEC.

Factor Modeling: The Benefits of Disentangling Cross-Sectionally for Explaining Stock Returns

by Bruce I. Jacobs and Kenneth N. Levy, Journal of Portfolio Management, May 2021: More than three decades ago, Bruce Jacobs and Ken Levy introduced the idea of disentangling stock returns across numerous firm characteristic factors. Some years later, an alternative factor model proposed by Fama and French made use of time-series... factors based on portfolio sorts (examples of these time-series factors include the return differences between small- and big-capitalization stocks and between high- and low-book-to-price stocks). Recently, Fama and French found that the cross-sectional approach using firm characteristics is better able to explain stock returns than the time-series approach based on portfolio sorts. In this article, Jacobs and Levy compare the two models and discuss the benefits of the cross-sectional approach for investment management.

Book Review: Too Smart for Our Own Good

by Nick Ronalds, CFA Institute Enterprising Investor, March 4, 2021: Reviewer Nick Ronalds said the core thesis of Bruce Jacobs’s book Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes “should be taken to heart not only by investment professionals but by all investors... Free-lunch promises, complexity, opacity, and excessive leverage have too often combined to toxic effect. Financial professionals in particular could benefit greatly from studying the market crises analyzed in this book and the key lessons to be drawn from them.” Ronalds also chronicled Jacobs's long history of pushing back against flawed investment theories, noting his head-to-head debates with the creators of portfolio insurance in the 1980s, his 1999 book Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes, and his role in creating the National Institute of Finance, a predecessor of the Financial Stability Oversight Council.

Experts on ESG, Factor Performance Win Bernstein Fabozzi/Jacobs Levy Award

by Rob Kozlowski, Pensions & Investments, February 2, 2021: Subscribers of the Journal of Portfolio Management recognized two articles as Best Article for the 22nd Annual Bernstein Fabozzi/Jacobs Levy Awards: “Divergent ESG Ratings” by Elroy Dimson, Paul Marsh, and Mike Staunton, and “Alpha vs. Alpha: Selection, Timing, and Factor Exposures from Different Factor Models” by Ananth Madhavan, Aleksander Sobczyk, and Andrew Ang... “Dimson, Marsh, and Staunton’s article provides valuable information for institutional investors seeking to incorporate environmental, social, and governance concerns into their portfolio selection process,” said Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management. Jacobs added that Madhavan, Sobczyk, and Ang’s winning article “adds to our understanding of factor performance in active portfolios.”

Stanford Professors Win Nobel Award for Research on Auctions

by James Comtois, Pensions & Investments, October 14, 2020: Paul R. Milgrom and Robert B. Wilson were awarded the 2020 Nobel Prize in Economic Sciences for their work on auction systems. In the article, Bruce Jacobs observes that “their insights have been applied around the world to the sale of everything from airport... landing slots to government bonds.” Jacobs added that “with Lawrence Glosten, Milgrom applied work on auction markets to explain how market makers create a bid-ask spread (different prices for buyers and sellers) to recoup losses from trades with informed traders who may have superior information.”

An Interview with Bruce I. Jacobs

An Interview with Bruce I. Jacobs, Principal, by Portfolio Management Research, May 4, 2020: Bruce Jacobs discusses the key research concepts that serve as the foundation of Jacobs Levy Equity Management’s investment practice, including disentangling equity factors, smart beta vs. smart alpha, integrated long-short portfolios, introducing the idea of 130-30 portfolios, is 130-30 the right amount of leverage, financial market simulation, his book co-authored with Ken Levy, Equity Management: The Art and Science of Modern Quantitative Investing, and his two books on market crises, Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes and Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes. He also recounts the origins of the Bernstein Fabozzi/Jacobs Levy Awards, which recently celebrated their 20th anniversary.

Why Free-Lunch Strategies Cause Market Crashes

Interview with Bruce I. Jacobs, Knowledge@Wharton, April 20, 2020: Bruce Jacobs discusses how some quantitative financial products contributed to past financial crises and have increased market instability in the current pandemic crisis. “It’s critical for investors, executives, and regulators to understand the types of... instruments and strategies created by quantitative finance, because some of these can have systemic implications,” he said. Jacobs also talks about some potential solutions, including explicit consideration of leverage risk in portfolio formation and financial market simulation modeling.

Wharton — the Prestigious Business School that Minted Stock-Pickers Like Warren Buffett, Steve Cohen, and Joel Greenblatt — is Rolling Out the Red Carpet for Quants

by Dan DeFrancesco and Bradley Saacks, Business Insider, April 3, 2020: An $8 million gift from Wharton alumnus Bruce Jacobs helped establish a quantitative finance major within its prestigious MBA program. According to the university, graduates will be well-suited for jobs in quantitative asset management and trading, financial engineering, risk management, and applied research.

Wharton to Offer Quant MBA Major With $8 Million Alumnus Gift

by Amanda L. Gordon, Bloomberg News, April 2, 2020: An $8 million gift from Bruce Jacobs will support the establishment of a quantitative finance major at the Wharton School by funding an endowed professorship and creating $25,000 tuition awards for highly-qualified second-year students starting next year... “When I started out, quantitative finance wasn’t a profession,” Jacobs said. “Now much of finance is quantitative, and it’s important that business leaders, regulators and the heads of Wall Street houses have a basic understanding of it.” Wharton Dean Geoffrey Garrett said in an interview, “This is really about the fusion of high-end analytics and finance that Bruce’s biography speaks to.” The article also notes a previous gift of $12 million to the Wharton School from Jacobs and Ken Levy to establish a center focused on quantitative research, which supports dissertations, and awards a prize for research.

Wharton Awarded $8 Million to Establish Quantitative Finance Major

by Rob Kozlowski, Pensions & Investments, April 2, 2020: A gift of $8 million from Bruce Jacobs will establish the Dr. Bruce I. Jacobs Professorship in Quantitative Finance and $25,000 awards to select second-year MBA students who pursue a newly established quantitative finance major at Wharton... Students who receive the award will form a group of Dr. Bruce I. Jacobs Scholars in Quantitative Finance who will be invited to network with industry leaders at the Jacobs Levy Equity Management Center for Quantitative Financial Research Annual Conference. Jacobs notes that “Wharton's commitment to the future of finance inspired me to deepen my support of students and the faculty who will enrich future generations of leaders and the broader economy.”

New Quantitative Finance Major and Dr. Bruce I. Jacobs Professorship and Scholars Mark New Chapter in Quantitative Finance Research and Education at the Wharton School

Press Release, April 2, 2020: Dean Geoff Garrett of the Wharton School at the University of Pennsylvania announced that the MBA program at Wharton is launching a new quantitative finance major within the Finance Department. New courses will be bolstered by a gift from Wharton alumnus Bruce I. Jacobs, which will underwrite the establishment of the Dr. Bruce I. Jacobs Professorship in Quantitative Finance and the Dr. Bruce I. Jacobs Scholars in Quantitative Finance... The Dr. Bruce I. Jacobs Professorship in Quantitative Finance will support the appointment of faculty who are experts in quantitative finance. The Dr. Bruce I. Jacobs Scholars in Quantitative Finance is an academic award dedicated to exceptional students entering their second year of the Wharton MBA program and majoring in quantitative finance. These students will form an elite group of Jacobs Scholars focusing on applying financial economics to security pricing and asset management.

Dean Garrett noted that “Bruce is a pioneer and innovator in connecting academic research with investment management, and we are honored that he is making this bold new step in his immense ongoing support of the School. His new gift will attract and nurture talented students and faculty in quantitative finance to prepare a new generation of leaders in finance for the challenges we face today and in the future.”

In 2011, a generous gift to Wharton from Jacobs and fellow alumnus Kenneth N. Levy established the Jacobs Levy Equity Management Center for Quantitative Financial Research, the Jacobs Levy Equity Management Dissertation Fellowships in Quantitative Finance, and the Wharton-Jacobs Levy Prize for Quantitative Financial Innovation. According to Jacobs, “Great progress has been achieved by the Jacobs Levy Center, Fellowship, and Prize at Wharton. Those successes and Wharton’s commitment to the future of finance inspired me to deepen my support of students and the faculty who will enrich future generations of leaders and the broader economy. I can think of no better time for this initiative as we face new economic, health, and markets issues that will shape the world economy for decades.”

With $8M Gift, Wharton Creates A New MBA Finance Major

by Marc Ethier, Poets & Quants, April 2, 2020: The Wharton School announced a new quantitative finance major and professorship in the MBA program, funded with an $8 million gift from Bruce Jacobs, a Wharton Ph.D. alumnus. Part of the $8 million gift will be used to establish the Jacobs Scholars program... which will support an elite group of high-achieving second year MBA students majoring in quantitative finance. The article recognizes Jacobs as “a major voice for financial transparency for 35 years.” Jacobs is “a pioneer and innovator in connecting academic research with investment management,” said Wharton Dean Geoff Garrett, “and we are honored that he is making this bold new step in his immense ongoing support of the school.” Jacobs stated: “I can think of no better time for this initiative as we face new economic, health, and markets issues that will shape the world economy for decades.”

The 20th Anniversary Celebration of the Bernstein Fabozzi/Jacobs Levy Award

Portfolio Management Research, March 3, 2020: Portfolio Management Research has released a highlight video and full video of the 20th anniversary celebration of the Bernstein Fabozzi/Jacobs Levy Awards that took place in New York City in November 2019. The event celebrated the success of the Awards, which recognize the best articles to appear in the Journal of Portfolio Management each year. A host of key industry professionals and academics attended, and presenting were Bruce Jacobs, Ken Levy, Frank Fabozzi, Cliff Asness, Andrew Lo, and Meir Statman. The evening culminated with a presentation to the winners of the 20th Annual Bernstein Bernstein Fabozzi/Jacobs Levy Awards.

Quant Experts Win Top Bernstein Fabozzi/Jacobs Levy Award

by Rob Kozlowski, Pensions & Investments, March 3, 2020: Tarun Gupta and Bryan T. Kelly won the Bernstein Fabozzi/Jacobs Levy award for Best Article, based on voting by Journal of Portfolio Management subscribers. The authors’ article, “Factor Momentum Everywhere,” documents momentum behavior in 65 global... characteristic-based equity factors and shows individual factors can be reliably timed based on recent performance. Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management, notes that the authors’ “finding that equity factors experience momentum that's complementary to individual stock momentum adds significantly to the literature of quantitative finance.”

Nationwide Fund Advisors Hires Jacobs Levy as the Subadvisor for NVIT Jacobs Levy Large Cap Growth Fund

Jacobs Levy began serving as the subadvisor to the Fund. Jacobs Levy also manages small cap and 130-30 strategies for Nationwide.

Bruce Jacobs Interview, “Jacobs Levy: The Art and Science of Investing”

Davos 2020, TBD Media, January 2020: This interview, conducted by veteran TV news anchor and foreign correspondent Andrew Wilson, appears on CBS News online. Bruce Jacobs explains the firm’s approach to investing, which combines the art that comes from intuition and experience with the science that comes from rigorous quantitative methods. He also describes 130-30 long-short and absolute return strategies, discusses the integration of environmental, social, and governance (ESG) principles into the investment process, and cautions investors about certain aspects of today’s markets. Bruce notes that “we measure our success not by our assets under management, but by our performance for our clients.”

MIT, Harvard Professors Awarded Nobel Memorial Prize for Novel Poverty Studies

by James Comtois, Pensions & Investments, October 15, 2019: On the awarding of the 2019 Nobel Prize in Economic Sciences to Abhijit Banerjee, Esther Duflo, and Michael Kremer, Bruce Jacobs notes that “the laureates’ work has had a profound effect on how development economics is pursued and has had direct effects on policy, including remedial support for schools in India and free distribution of medicine.”

Why a 1968 Paper Still Influences Modern Asset Management

Knowledge@Wharton, September 26, 2019: The Wharton-Jacobs Levy Prize for Quantitative Financial Innovation was awarded on Friday, September 27, to Ray Ball and Philip Brown, for their influential work linking stock prices to accounting data, outlined in their paper “An Empirical Evaluation of Accounting Income Numbers,” published in the Journal of Accounting Research in 1968... The biennial prize recognizes outstanding quantitative research that has contributed to an important innovation in finance. Bruce Jacobs, chair of the prize selection committee, noted that Ball and Brown’s article “opened the door to new methods of conducting empirical research in finance and, ultimately, innovations in the practice of finance.” Ken Levy, Jacobs Levy Center Advisory Board member, added that their “finding that abnormal returns continued in the expected direction even after the announcement of earnings was the first reported evidence of anomalous behavior in the context of the efficient market hypothesis.” Ball is the Sidney Davidson distinguished service professor of accounting at the University of Chicago Booth School of Business. Brown is a senior honorary research fellow in accounting and finance and emeritus professor at the University of Western Australia. The prize was presented at the annual conference of Wharton’s Jacobs Levy Equity Management Center for Quantitative Financial Research.

Wharton-Jacobs Levy Quant Prize to Honor 2 Accounting Professors

by Rob Kozlowski, Pensions & Investments, September 16, 2019: Ray Ball and Philip Brown will receive the Wharton-Jacobs Levy Prize for Quantitative Financial Innovation at the annual conference of Wharton’s Jacobs Levy Center for Quantitative Financial Research, to be held in New York City on September 27... Ball and Brown’s seminal 1968 paper, “An Empirical Evaluation of Accounting Income Numbers,” was the first quantitative study of the relationship between accounting income and stock prices. Bruce Jacobs, chair of the prize selection committee, noted that their research “ignited a revolution in accounting and capital markets research.” Ball is the Sidney Davidson distinguished service professor of accounting at the University of Chicago Booth School of Business. Brown is a senior honorary research fellow in accounting and finance and emeritus professor at the University of Western Australia.

Nationwide Hires Jacobs Levy for a New Account

by Kayla Provencher, CityWire.com, September 12, 2019: Nationwide has hired Jacobs Levy Equity Management to serve as a subadvisor for its NVIT Multi-Manager Small Cap Value fund. This is the second account Jacobs Levy is managing for Nationwide.

Too Smart for Our Own Good

Journal of Economic Literature, September 2019: “Too Smart for Our Own Good explores the strategies and products behind financial crises, focusing on portfolio insurance in the 1980s, arbitrage strategies pursued by Long-Term Capital Management (LTCM) in the 1990s, and the mortgage-linked securities of the 2007-08 crisis. The book considers free-lunch products and highlights strategy characteristics that foster market fragility, effective regulatory reform, and warning signs.”

Ohio Public Employees Makes Small-Cap Hire

fin|news, August 23, 2019: The Ohio Public Employees Retirement System has hired Jacobs Levy Equity Management to manage approximately $115 million for their small-cap core strategy fund.

Too Smart for Our Own Good by Bruce Jacobs – Best Free Audiobook Summary

by Audiobook Master, YouTube, May 21, 2019: The Audiobook Master YouTube channel summarizes Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes, focusing on three insights: how three recent financial crises reveal what’s wrong in finance and investing; what delusions and errors in judgment the investors in these schemes shared; and why “free-lunch” investing strategies often lead to financial disruption. Included in the YouTube post are excerpts of readers’ reviews from the book’s page on Amazon.

UC Berkeley Haas School’s Mark E. Rubinstein Dies at 74

by Rob Kozlowski, Pensions & Investments, May 21, 2019: Bruce Jacobs is quoted at length, crediting Rubinstein with “significant contributions to the theory and practice of quantitative finance,” notably in his work with John Cox and Stephen Ross on the binomial option pricing model. Jacobs also said he owed a debt to Rubinstein for... “piquing my own interest in market stability and, in particular, the interaction of financial innovations (such as portfolio insurance) and market prices.”

Too Smart for Our Own Good

Book Review by getAbstract, April 22, 2019: “Bruce Jacobs offers some hard-hitting wisdom gleaned from his detailed knowledge and experience in market investing. Fund managers and investors of all types will find value in his exploration of the common causes of financial calamities.” getAbstract rates the book a 9 (out of 10) in Importance.

20th Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, March 2019: The Journal of Portfolio Management has announced the recipients of the 20th Annual Bernstein Fabozzi/Jacobs Levy Awards. Best Article was awarded to Meir Statman for “Behavioral Efficient Markets.” Outstanding Article winners were Lionel Martellini and Vincent Milhau;... Clifford Asness, Todd Hazelkorn, and Scott Richardson; and Campbell R. Harvey, Edward Hoyle, Russell Korgaonkar, Sandy Rattray, Matthew Sargaison, and Otto Van Hemert.

Behavioral-Finance Expert Takes Top Bernstein Fabozzi/Jacobs Levy Award

by Rob Kozlowski, Pensions & Investments, March 1, 2019: “Behavioral Efficient Markets” by Meir Statman was voted Best Article of 2018 by Journal of Portfolio Management subscribers. Statman’s winning article discusses competing versions of the efficient market hypothesis and explains how behavioral finance makes positive... contributions to discussions about market efficiency. “Meir is a luminary in the field of behavioral finance, and I am delighted that the readers of the Journal of Portfolio Management are among the many who have recognized his accomplishments,” said Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management.

A Decade Later, What We Still Have to Learn About Market Crises

by Bruce I. Jacobs, McGraw-Hill Business Blog, February 25, 2019: Many of the underlying causes of the 2007-2008 financial crises have destabilized markets in the past and could do so in the future, Jacobs said in an article highlighting the thesis of his new book, Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes... The common threads running through these crises are products and strategies that claim to make investing safer, but have the potential to interact in damaging ways with investor psychology. Despite their purported safety, such products and strategies have actually increased risk by creating conditions that give rise to financial storms.

Jack Bogle Remembered for Imprint on Investing

by Danielle Walker, Pensions & Investments, January 21, 2019: Bogle, a lifelong advocate of index investing was “no fan of the offshoots,” noted Bruce Jacobs. Bogle believed that exchange-traded funds “encouraged speculation,” and that smart beta funds were “‘stupid’ and not true index funds.” Jacobs added that Bogle... “never wavered from his single-minded focus on the mathematics of index funds, which he said could be calculated by a second grader: gross return minus costs equals an investor's return. Anything that increased cost or obscured the simplicity of that formula drew his enmity.”

UBS Hires Jacobs Levy

StreetInsider.com, January 9, 2019: UBS Asset Management has appointed Jacobs Levy Equity Management to serve as a subadvisor for its small/medium company growth fund.

Jacobs, Too Smart for Our Own Good

by Brenda Jubin, Reading the Markets, December 12, 2018: In her review of Bruce Jacobs’s book, Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes, Jubin notes that Jacobs “recognizes that the crash-inducing strategies and products of the future will be different from those that... caused problems in the past. He remains convinced, however, that they will share the same fundamental characteristics. Forewarned is forearmed.”

Steamrollers, Geniuses and Market Crashes

by Christopher Faille, AllAboutAlpha, November 28, 2018: This review of Bruce Jacobs’s new book, Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes, notes that “Jacobs’ book is a thoughtful review of the incidents it covers, making vivid some matters which have faded a bit in history, and giving context to matters that remain all too vivid.”

Professors Get Nobel Award for Climate Change Analysis in Economics

by James Comtois, Pensions & Investments, October 8, 2018: In regard to the works of William D. Nordhaus and Paul M. Romer, the 2018 Nobel laureates, Bruce Jacobs notes that: “Investors obviously have an interest in sustainable economic growth, as it underpins the robustness of the stock market. Romer’s work may enable them to discern the effects of policy choices on idea innovation, which can provide an edge in investment decision-making, while Nordhaus’ work holds obvious appeal for socially responsible investors.”

What We Still Have to Learn from the Credit Collapse (and Other Market Crises)

by Bruce I. Jacobs, Journal of Portfolio Management, Fall 2018: Investment strategies and products that promise high returns and low risk, such as the mortgage-backed securities at the heart of the credit-market collapse 10 years ago, can attract substantial investment and encourage leverage. In this editorial based on his book,... Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Market Safety, and Market Crashes, Bruce notes:“When the risk reduction relies on the ability to shift risk, these products can pose problems because the ability to shift risks to other investors is often based on an illusion of liquidity. This illusion is enhanced when opacity and complexity obscure the true nature of the risk and is often dispelled when the products contain explicit or implicit trigger points calling for sudden changes in investment behavior. At that point, the result can be large-scale liquidations of leveraged assets at fire-sale prices, inducing a crash.”

What Causes Financial Crises?

Knowledge@Wharton, September 25, 2018: A panel at the Jacobs Levy Equity Management Center for Quantitative Financial Research Annual Conference, held in New York City in September, discussed the credit crisis of 2007-2008 and precursors. In a discussion titled “Financial Markets, Volatility, and Crises: A Decade Later,” Bruce Jacobs, a panelist, noted that... one common characteristic of recent crises was the presence of “strategies that promise to make investing safer.” Jacobs warned that products that offer a high reward and the expectation of lower risk, which he referred to as the “illusion of safety,” often result in crowded trades that can disrupt markets.

GuideStone Hires Jacobs Levy

by Andrew Jones, CityWire.com, September 18, 2018: GuideStone Funds, the nation’s largest Christian-screened mutual fund family, has hired Jacobs Levy Equity Management as a subadvisor for its small-cap equity fund.

Lending, Leverage, Options and the Credit Crisis 10 Years Later

by Bruce I. Jacobs, Pensions & Investments, August 20, 2018: This issue, which is focused on the topic of the global financial crisis a decade later, contains a commentary by Bruce entitled “Lending, Leverage, Options and the Credit Crisis 10 Years Later.” The thesis of the editorial mirrors that of his book, Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes.... Bruce notes that a decade after the crisis, many of its underlying causes, including opaque and complex financial products, leverage, the potential for sharp swings in value, and “free lunch” strategies which promise high returns with low risk, continue to threaten market stability.

The Legacy of Stephen A. Ross

by Frank J. Fabozzi, Bruce I. Jacobs, and Kenneth N. Levy, Journal of Portfolio Management, Special Issue Dedicated to Stephen A. Ross, June 2018: This introduction to a special issue dedicated to Stephen A. Ross notes that Ross’s work on the arbitrage pricing theory (APT) opened the door to multifactor... models of asset returns. Bruce and Ken’s own work, “Disentangling Equity Return Regularities: New Insights and Investment Opportunities” (Financial Analysts Journal, 1988), revealed numerous return factors in the U.S. equity market.

Hirings: Montana Board of Investments

Pensions & Investments, May 28, 2018: The Montana Board of Investments has hired Jacobs Levy to manage $170 million in domestic large-cap partial long/short equity.

Equity Management: The Art and Science of Modern Quantitative Investing, 2nd Edition (a review)

by Marc L. Ross, Financial Analysts Journal, Second Quarter 2018: Jacobs and Levy "have compiled a highly readable, entertaining, and well-informed collection of articles on the history and development of the quantitative techniques of stock selection," says reviewer Marc L. Ross,... who also comments that the “work provides fodder and invaluable insight for the professional equity investor” and highlights the book's 12 pages of praise and critical acclaim from investment management luminaries.

Affiliated Research, Vanguard Execs Win Bernstein Fabozzi/Jacobs Levy Award

by Rob Kozlowski, Pensions & Investments, January 30, 2018: “King of the Mountain: The Shiller P/E and Macroeconomic Conditions” by Robert Arnott, Denis Chaves, and Tzee-man Chow has been named Best Article for the 19th Annual Bernstein Fabozzi/Jacobs Levy Awards as voted by Journal of Portfolio Management... subscribers. The authors’ findings that moderate levels of inflation and real interest rates coincide with the highest average valuation multiples, “are an important contribution to the literature,” said Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management. “They will cause many investment experts to reconsider the widespread assumption that stocks fare best when inflation and interest rates are at rock bottom.”

19th Annual Bernstein Fabozzi/Jacobs Levy Awards

Journal of Portfolio Management, Winter 2018: “King of the Mountain: The Shiller P/E and Macroeconomic Conditions” by Robert Arnott, Denis Chaves, and Tzee-man Chow has won top honors in the 19th Annual Bernstein Fabozzi/Jacobs Levy Awards... Journal of Portfolio Management subscribers named it Best Article to appear in the publication during 2017. The authors’ findings that moderate levels of inflation and real interest rates coincide with the highest average valuation multiples, “are an important contribution to the literature,” said Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management. “They will cause many investment experts to reconsider the widespread assumption that stocks fare best when inflation and interest rates are at rock bottom.”

To Remain Current and Relevant

by Rhea Wessel, CFA Institute Magazine, December 2017: Ken Levy is interviewed upon completing 30 years of continuing education after achieving the Chartered Financial Analyst designation. “For me, life is continuing education and that pertains professionally as well,” explains Ken, who served on... the CFA Institute Curriculum Committee for three years. “To remain current and relevant in any profession, you need to continually be learning.”

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.”

Equity Management: The Art and Science of Modern Quantitative Investing, 2nd Edition (a review)

by Christopher Faille, The Federal Lawyer, October/November 2017: Bruce Jacobs’s discussion of the origins of the 2008-2009 financial crisis offers “a very valuable brief introduction to the subject and the literature,” writes Faille. He also notes that the founding father of quantitative finance, Nobel... laureate Harry Markowitz, provided two forewords for this second edition, as Jacobs and Levy bridged theory and practice.

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.”

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.

A History of the United States in Five Crashes: Stock Market Meltdowns that Defined a Nation

by Scott Nations, HarperCollins, 2017: In his recounting of five significant stock market crashes — in 1907, 1929, 1987, 2008, and 2010 — Nations credits Bruce Jacobs with foreseeing the effects that portfolio insurance would have on equity markets in the crash of 1987. According to... Nations, “Early in 1983, … Bruce Jacobs … pointed out several problems with portfolio insurance. … The problems included higher fees, inferior long-term performance, and, distressingly, worry that ‘if a large number of investors utilized the portfolio insulation technique, price movements would tend to snowball. Price drops would be followed by sales, which would lead to further price depreciation.’”

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.

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.”

MIT Professor Wins Bernstein Fabozzi/Jacobs Levy Awards

by Rob Kozlowski, Pensions & Investments, March 1, 2017: “What Is an Index?” by Andrew W. Lo was voted Best Article of 2016 by Journal of Portfolio Management subscribers. The article discusses new index-based investment products and Lo’s thoughts on how risk should be managed for passive strategies. 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.

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.

A Man For All Markets: From Las Vegas to Wall Street, How I Beat the Dealer and the Market

by Edward O. Thorpe, Random House, 2017: Thorpe, a mathematician and investor, discusses his efforts in the 1980s to use financial characteristics of companies to forecast stock prices. Upon attending a presentation by Bruce Jacobs and Ken Levy at UC Berkeley in 1986, Thorpe discovered that... independently Bruce and Ken had been thinking along similar lines. He notes that Bruce and Ken went on to manage billions of dollars.

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.”

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.”

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.

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.”

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.”

Bruce I. Jacobs’s Keynote 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 thinking about the problem of investment uncertainty,” and discussed his and Ken Levy's research on incorporating the unique risks of leverage into portfolio optimization and their collaboration with Markowitz on developing the Jacobs Levy Markowitz financial market simulator.

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.

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.”

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.”

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.”

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.

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.”

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.

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.”

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.

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.”

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.”

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.”

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.

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.”

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.”

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.”

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.”

Borrowing Against Yourself

by Jason Zweig, Wall Street Journal, September 22, 2012: This column references Bruce Jacobs and Ken Levy's article, ... 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."

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.”

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.

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.”

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.

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."

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.

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.”

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.

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.

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.”

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.”

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.”

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.”

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.”

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.

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.

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.”

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.

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.

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.”

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.”

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.

'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.

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).

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.

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.”

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.

130/30 Fanbase Grows as Investors Cut Managers Free

Laura Cohn, Financial Times, January 14, 2008: Jacobs Levy is mentioned as one of the 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.”

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 having “quickly built over $4.2bn in assets under management” in 130-30 strategies.

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.

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.

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.

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.”

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.

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.

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.”

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.

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.

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.

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.”

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.

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.

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.

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.

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.”

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.”

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.”

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.

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.

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."

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.

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.”

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.

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.”

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.”

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.”

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.

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.

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.

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.

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.”

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.”

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).

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.

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.

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.

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.

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.”

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.

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.

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.”

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.”

More David Than Goliath

Russell Portfolio (Frank Russell Company), September 2003: Peter Gunning, Chief Investment Officer of Russell Investment Group, Australasia notes that Russell “has always believed in hiring specialist managers.” He cites Jacobs Levy as an example.

Horizon Manager Changes: Three New Fund Managers Appointed

Horizon Insight, July 2003: Manager of managers Russell has appointed Jacobs Levy, “who runs a wide range of mandates, from large capitalization growth to small capitalization value."

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).

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.

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.

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.

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.

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.

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.

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."

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.

Managers of Dutch Assets

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

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.

Ohio State Hires Jacobs Levy

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

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.

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.

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.

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.

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.

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.

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.”

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.

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.

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.

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.

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."

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

Frank Russell press release, April 3, 2001: Jacobs Levy is selected for Frank Russell’s manager-of-managers complex. The article notes that Russell evaluates more than 1,500 outside investment managers globally as part of its research process.

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.

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.

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.”

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.

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 ..."

Ohio State Teachers

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

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.

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 highlights Jacobs Levy as a firm using technology to hone implementation.

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."

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.

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."

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.

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.

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."

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’..."

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.

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.

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?”

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.

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.

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.

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.”

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.

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."

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."

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."

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."

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.

Mega-Cap Inefficiency (letter)

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

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.

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."

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.

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."

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."

Buyside Listings

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

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."

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."

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."

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.

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."

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."

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."

On the Optimality of Long-Short Strategies

by Bruce I. Jacobs, Presentation to the Society of Quantitative Analysts Conference ... However, it must be constructed from an integrated optimization that takes into simultaneous account both long and short positions.

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.

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.

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.”

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.

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.

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.

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.

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. “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.

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.

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.”

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.

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.

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.

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.

Funds Adding Managers

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

Two-Sided Bets

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

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.

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 ... 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.

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.

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.

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."

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.

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.

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.

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.

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.

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.

Market Neutral Funds Gain Fans

by Terry Williams, Pensions & Investments, September 16, 1991: Says partner Bruce Jacobs of the firm’s approach, “We build portfolios that have a large number of market inefficiencies built in so that we are well diversified across a large number of these market inefficiencies."

Has Value Investing Lost its Value?

by Julie Rohrer, Institutional Investor, June 1991: In this critique of value investing, Jacobs Levy is highlighted 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, 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."

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. ... together," says Charles A. D’Ambrosio, Editor of Financial Analysts Journal.

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.”

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."

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 ... 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.

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.

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.

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.”

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 ... environments. A fuller and truer picture emerges when one considers multiple factors that affect value.

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.

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.

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: ... 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."

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."

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.

Disentangling Equity Return Regularities

by Bruce I. Jacobs and Kenneth N. Levy, Presentation to the Institute of Chartered Financial Analysts Conference ... Disentangling them via multivariate analysis allows one to arrive at "pure" returns.

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.

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.

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."

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.

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: "Everyone has a natural tendency to avoid sleepless nights. Portfolio insurance is performance insurance for money managers and career insurance for corporate pension officers."

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.

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.

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."

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, ... index funds for asset allocation decision-making."

The Portfolio Insurance Puzzle

by Bruce I. Jacobs, Pensions & Investment Age, August 22, 1983: Bruce Jacobs describes portfolio insurance’s shortfalls and warns, ... longer-term performance of their portfolio."