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Financial Analysts Journal Volume 54, 1998 - Issue 2
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PORTFOLIO MANAGEMENT

On the Optimality of Long–Short Strategies

Bruce I. Jacobs Bruce I. Jacobs is a principal at Jacobs Levy Equity Management.
,
Kenneth N. Levy Kenneth N. Levy, CFA, is a principal at Jacobs Levy Equity Management.
&
David Starer David Starer is a senior quantitative analyst at Jacobs Levy Equity Management.
Pages 40-51 | Published online: 02 Jan 2019

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Jia Ye. (2008) How Variation in Signal Quality Affects Performance. Financial Analysts Journal 64:4, pages 48-61.
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Roger Clarke, Harindra de Silva, Steven Sapra & Steven Thorley. (2008) Long–Short Extensions: How Much Is Enough?. Financial Analysts Journal 64:1, pages 16-30.
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Bruce I. Jacobs & Kenneth N. Levy. (2007) 20 Myths about Enhanced Active 120–20 Strategies. Financial Analysts Journal 63:4, pages 19-26.
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Bruce I. Jacobs, Kenneth N. Levy & Harry M. Markowitz. (2006) Trimability and Fast Optimization of Long–Short Portfolios. Financial Analysts Journal 62:2, pages 36-46.
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Roger Clarke, Harindra de Silva & Steven Thorley. (2005) Performance Attribution and the Fundamental Law. Financial Analysts Journal 61:5, pages 70-83.
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Roger Clarke, Harindra de Silva & Steven Thorley. (2002) Portfolio Constraints and the Fundamental Law of Active Management. Financial Analysts Journal 58:5, pages 48-66.
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Richard C. Grinold & Ronald N. Kahn. (2000) The Efficiency Gains of Long–Short Investing. Financial Analysts Journal 56:6, pages 40-53.
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