Kenneth N. Levy

Jacobs Levy Equity Management

Principal

100 Campus Drive

P.O. Box 650

Florham Park, NJ 07932-0650

United States

https://jlem.com/who-we-are#/nav/founders

SCHOLARLY PAPERS

37

DOWNLOADS
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Top 20,411

in Total Papers Downloads

3,617

SSRN CITATIONS
Rank 25,664

SSRN RANKINGS

Top 25,664

in Total Papers Citations

24

CROSSREF CITATIONS

12

Scholarly Papers (37)

1.
Downloads 1,300 ( 22,463)

Smart Beta: Too Good to be True?

The Journal of Financial Perspectives, Volume 3, Issue 2, July 2015
Number of pages: 12 Posted: 01 May 2015
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 1,038 (30,675)

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Smart beta, alternative indexes, equity indexes, passive investing, active investing, factors, return predictors, capitalization weighting, value, small-cap, momentum, low volatility, diversification, transparency, front running, factor crowding, portfolio rebalancing, portfolio management, fees

Smart Beta: Too Good to Be True?

Journal of Financial Perspectives, Vol. 3, No. 2, 2015
Number of pages: 13 Posted: 07 Dec 2017
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 262 (166,611)

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2.

Investing in a Multidimensional Market

Forthcoming, Financial Analysts Journal, Vol. 70, No. 6, November/December 2014
Number of pages: 13 Posted: 20 Oct 2014 Last Revised: 22 Jun 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 577 (68,366)

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Equity investing, portfolio management, factors, smart beta, smart alpha, disentangling, pure returns, anomalies, market complexity, multidimensional portfolios, rebalancing, small cap, value, low volatility, crowding, front running, management costs, turnover, generic factors, proprietary factors

3.

Introducing Leverage Aversion into Portfolio Theory and Practice

The Journal of Portfolio Management, Vol. 39, No. 2, Winter 2013
Number of pages: 6 Posted: 28 Nov 2012 Last Revised: 19 Dec 2012
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 386 (110,557)

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Risk Management, Modern Portfolio Theory, Mean Variance Utility, Portfolio Optimization, Efficient Frontier, Portfolio Choice, Risk Aversion, Volatility Aversion, Volatility Tolerance, Leverage Aversion, Leverage Tolerance, Efficient Surface, Efficient Region, Portfolio Optimality, Systemic Risk

4.

A Comparison of the Mean-Variance-Leverage Optimization Model and the Markowitz General Mean-Variance Portfolio Selection Model

Forthcoming, The Journal of Portfolio Management, Vol. 40, No. 1, Fall 2013
Number of pages: 10 Posted: 11 Sep 2013
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 369 (116,219)

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Risk Management, Modern Portfolio Theory, Mean Variance Utility, Portfolio Optimization, Efficient Frontier, Portfolio Choice, Risk Aversion, Volatility Aversion, Volatility Tolerance, Leverage Aversion, Leverage Tolerance, Efficient Surface, Efficient Region, Portfolio Optimality, MVL, GPSM

5.

Leverage Aversion and Portfolio Optimality

Financial Analysts Journal, Volume 68, No 5, September/October 2012
Number of pages: 16 Posted: 20 Sep 2012 Last Revised: 22 Jun 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 279 (156,353)
Citation 1

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Risk Management, Modern Portfolio Theory, Mean Variance Utility, Portfolio Optimization, Mean Variance Optimization, Portfolio Choice, Risk Aversion, Risk Tolerance, Volatility Aversion, Volatility Tolerance, Leverage, Leverage Aversion, Leverage Tolerance, Portfolio Optimality, Long Short Portfolio

6.

The Unique Risks of Portfolio Leverage: Why Modern Portfolio Theory Fails and How to Fix It

The Journal of Financial Perspectives, Volume 2, Issue 3, November 2014
Number of pages: 39 Posted: 21 Nov 2014
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 248 (175,771)

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Risk Management, Modern Portfolio Theory, Portfolio Choice, Mean Variance Leverage Utility, Mean Variance Leverage Optimization, Leverage Constraint, Risk Aversion, Volatility Aversion, Leverage Aversion, Volatility Tolerance, Leverage Tolerance, Efficient Frontier, Efficient Surface, Systemic Risk

7.

Calendar Anomalies: Abnormal Returns at Calendar Turning Points

Financial Analysts Journal, Vol. 44, No. 6, pp. 28-39, November/December 1988
Number of pages: 25 Posted: 07 Oct 2016 Last Revised: 30 Jun 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 85 (408,048)
Citation 1

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calendar anomalies, seasonalities, market efficiency, abnormal returns, return regularities, disentangling, pure returns, investor psychology, January effect, time-of-day effect, day-of-the-week effect, turn-of-the-month effect, holiday effect, tax-loss selling, window-dressing

8.

Disentangling Equity Return Regularities: New Insights and Investment Opportunities

Financial Analysts Journal, Vol. 44, No. 3, pp. 18-43, May/June 1988
Number of pages: 46 Posted: 06 Oct 2016 Last Revised: 21 May 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 74 (441,699)
Citation 1

Abstract:

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disentangling, pure returns, naïve returns, return regularities, multivariate regression, CAPM, efficient market hypothesis, weak-form efficiency, size effect, low P/E, book/price, earnings estimate revisions, earnings surprise, relative strength, return reversal, January effect, beta

9.

The Unique Risks of Portfolio Leverage: Why Modern Portolio Theory Fails and How to Fix it

Journal of Financial Perspectives, Vol. 2, No. 3, 2014
Number of pages: 41 Posted: 01 Dec 2017
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 67 (465,534)
Citation 1

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10.

The Legacy of Stephen A. Ross

The Journal of Portfolio Management, Special Issue Dedicated to Stephen A. Ross, June 2018
Number of pages: 10 Posted: 13 Mar 2019
EDHEC Business School, Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 62 (484,186)

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arbitrage pricing theory, agency theory, binomial pricing model, economic theory, empirical research, equilibrium theory, factors, factor models, term structure of interest rates, finance education, financial economics, financial research, recovery theorem, risk-neutral pricing, Stephen Ross

11.

The Complexity of the Stock Market

The Journal of Portfolio Management, Vol. 16, No. 1, pp. 19-27, Fall 1989
Number of pages: 27 Posted: 24 Oct 2016 Last Revised: 25 Sep 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 61 (488,096)
Citation 1

Abstract:

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market complexity, return regularities, anomalies, disentangling, pure returns, naïve returns, ordered systems, complex systems, random systems, size effects, P/E, B/P, earnings trends, return reversals, calendar effects, efficient market, CAPM, dividend discount model, multivariate regression

12.

20 Myths about Long-Short

Financial Analysts Journal, Vol. 52, No. 5, pp.81-85, September/October 1996
Number of pages: 16 Posted: 11 Oct 2016 Last Revised: 18 Sep 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 33 (622,838)
Citation 4

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Long-Short Investing, Market Neutral Portfolios, Integrated Optimization, Short Selling, Equitized Long-Short Portfolios, Active Risk, Leverage, Alternative Investments, Active Extension, Enhanced Active Equity

13.

On the Optimality of Long-Short Strategies

Financial Analysts Journal, Vol. 54, No. 2, pp. 40-51, March/April 1998
Number of pages: 29 Posted: 30 Mar 2017 Last Revised: 18 Sep 2020
Bruce I. Jacobs Ph.D., Kenneth N. Levy and David Starer
Jacobs Levy Equity Management, Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 29 (648,427)
Citation 6

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Long-Short Investing, Integrated Optimization, Dollar-Neutral Portfolios, Beta-Neutral Portfolios, Portfolio Construction, Portfolio Optimization, Equitized Long-Short Portfolios, Constrained Beta, Short Selling, Active Extension, Enhanced Active Equity

14.

On the Value of 'Value'

Financial Analysts Journal, Vol. 44, No. 4, pp. 47-62, July/August 1988
Number of pages: 30 Posted: 06 Oct 2016 Last Revised: 29 Jun 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 21 (708,036)
Citation 1

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Dividend Discount Model, Value Investing, DDM, Investor Psychology, Fair Value, Return Regularities, Disentangling, Pure Returns, Naïve Returns, Multivariate Regression, P/E, Noise Trading

15.

Forecasting the Size Effect

Financial Analysts Journal, Vol. 45, No. 3, pp. 38-54, May/June 1989
Number of pages: 44 Posted: 06 Oct 2016 Last Revised: 11 Jun 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 13 (778,121)
Citation 1

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Forecasting Models, Size Effect, Small-Cap Stocks, Forecasting Equity Returns, Return Regularities, Macroeconomic Drivers, Disentangling, Pure Returns, Multivariate Regression, January Effect, Tax-Loss Selling, Market Efficiency

16.

20 Myths about Enhanced Active 120-20 Strategies

Financial Analysts Journal, Vol. 63, No. 4, pp. 19-26, July/August 2007
Number of pages: 30 Posted: 25 Jul 2007 Last Revised: 06 Aug 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 13 (778,121)
Citation 7

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130-30, 120-20, enhanced active equity, active extension, alternative strategies, short sale, leverage, prime brokerage, integrated optimization, portfolio optimization, hedge fund, systematic risk, diversification, risk control, long only, equity overlay, rebalancing, short squeeze, benchmark

17.

The Challenge of Disparities in ESG Ratings

The Journal of Impact and ESG Investing, Vol. 2, No. 3, Spring 2022
Posted: 10 Mar 2022 Last Revised: 14 Apr 2022
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

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ESG, ESG Ratings, ESG Rating Disparity, ESG Rating Divergence, ESG Integration, Multidimensional ESG Data, Disentangling

18.

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

The Journal of Portfolio Management, Vol. 47, No. 6, May 2021
Posted: 01 Oct 2020 Last Revised: 03 May 2021
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

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Factor models, Factor returns, Cross-sectional models, Disentangling, Firm characteristics, Time-series models, Portfolio sorts, Portfolio management, Stock returns

19.

Smart Beta versus Smart Alpha

Forthcoming, The Journal of Portfolio Management, Vol. 40, No. 4, Summer 2014, https://doi.org/10.3905/jpm.2014.40.4.004
Posted: 21 May 2019
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

Abstract:

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Smart Beta, Smart Alpha, Alternative Beta, Passive, Active, Multifactor, Capitalization Weighting, Market Inefficiency, Fundamental Index, Turnover, Disentangling, Pure Returns, Factor Crash, Transparency, Rebalancing, Risk Exposure, Crowding, Beta, Size, Value, Momentum, Low Volatility

20.

Earnings Estimates, Predictor Specification, and Measurement Error

The Journal of Investing, Vol. 6, No. 2, pp. 29-46, Summer 1997
Posted: 31 Mar 2017
Bruce I. Jacobs Ph.D., Kenneth N. Levy and Mitchell Krask
Jacobs Levy Equity Management, Jacobs Levy Equity Management and Jacobs Levy Equity Management

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earnings estimates, predictor variables, return modeling, return predictors, earnings predictors, predictor specification, earnings forecasts, expectational data, measurement error, distributed effects, missing data, imputation

21.

Financial Market Simulation

The Journal of Portfolio Management, Vol. 30, No. 5, 30th Anniversary Issue, pp. 142-152, September 2004
Posted: 31 Mar 2017
Bruce I. Jacobs Ph.D., Kenneth N. Levy and Harry Markowitz
Jacobs Levy Equity Management, Jacobs Levy Equity Management and University of California at San Diego

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financial market simulation, synchronous simulation, asynchronous simulation, continuous-time models, discrete-time models, financial market models, dynamic models, market simulation, Jacobs-Levy-Markowitz Market Simulator, JLM Market Simulator, JLM Sim

22.

Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions

Operations Research, Vol. 53, No. 4, pp. 586-599, July/August 2005
Posted: 31 Mar 2017
Bruce I. Jacobs Ph.D., Kenneth N. Levy and Harry Markowitz
Jacobs Levy Equity Management, Jacobs Levy Equity Management and University of California at San Diego

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portfolio optimization, factor models, scenario models, fast algorithms, long-short investing, short selling, mean-variance efficiency, covariance matrix, diagonalizable covariance matrix, feasible portfolios, efficient frontiers, critical line algorithm, CLA

23.

Long-Short Portfolio Management: An Integrated Approach

The Journal of Portfolio Management, Vol. 25, No. 2, pp. 23-32, Winter 1999
Posted: 30 Mar 2017 Last Revised: 18 Sep 2020
Bruce I. Jacobs Ph.D., Kenneth N. Levy and David Starer
Jacobs Levy Equity Management, Jacobs Levy Equity Management and Jacobs Levy Equity Management

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Integrated Optimization, Long-Short Investing, Market-Neutral Portfolios, Equitized Long-Short Portfolios, Portfolio Optimization, Portfolio Construction, Short-Selling, Reg T, Dollar Neutrality, Beta Neutrality, Active Extension, Enhanced Active Equity

24.

Long/Short Equity Investing

The Journal of Portfolio Management, Vol. 20, No. 1, pp. 52-63, Fall 1993
Posted: 24 Oct 2016 Last Revised: 18 Sep 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

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Long-Short Investing, Short-Selling, Market-Neutral Portfolios, Equitized Long-Short Portfolios, Alternative Investments, Portfolio Construction, Absolute Return, Performance Measurement, Hedge Strategies, Prime Broker, Active Extension, Enhanced Active Equity

25.

The Long and Short on Long-Short

The Journal of Investing, Vol. 6, No. 1, pp. 73-86, Spring 1997
Posted: 24 Oct 2016 Last Revised: 18 Sep 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

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Long-Short Investing, Short Selling, Portfolio Optimization, Integrated Optimization, Market-Neutral Portfolios, Equitized Long-Short Portfolios, Margin Requirements, Reg T, Collateral Requirements, Uptick Rule, Leverage, UBTI, Portfolio Construction, Active Extension, Enhanced Active Equity

26.

The Law of One Alpha

The Journal of Portfolio Management, Vol. 21, No. 4, pp. 78-79, Summer 1995
Posted: 24 Oct 2016
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

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Law of One Alpha, security analysis, return forecasting, unified approach, arbitrage, mispricing, multiple investment managers, multi-strategy investment managers

27.

Engineering Portfolios: A Unified Approach

The Journal of Investing, Vol. 4, No. 4, pp. 8-14, Winter 1995
Posted: 13 Oct 2016 Last Revised: 18 Sep 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

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Quantitative Investment Management, Security Selection, Portfolio Construction, Performance Attribution, Portfolio Engineering, Unified Model, Market Integration, Market Complexity, Disentangling, Pure Returns, Long-Short Investing, Active Extension, Enhanced Active Equity

28.

High-Definition Style Rotation

The Journal of Investing, Vol. 5, No. 3, pp. 14-23, Fall 1996
Posted: 13 Oct 2016
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

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Style Investing, Style Rotation, Asset Allocation, Value Stocks, Growth Stocks, Large-Cap Stocks, Small-Cap Stocks, Disentangling, Pure Returns, Pure Style Returns, Macroeconomic Drivers, Portfolio Management

29.

Residual Risk: How Much is Too Much?

The Journal of Portfolio Management, Vol. 22, No. 3, pp. 10-16, Spring 1996
Posted: 13 Oct 2016
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

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Residual Risk, Risk Aversion, Regret Aversion, Tracking Error, Portfolio Management, Portfolio Construction, Information Ratio, Enhanced Passive Portfolios, Index-Plus Portfolios, Enhanced Indexing, Manager Skill, Risk Constraints, Investor Utility

30.

Enhanced Active Equity Strategies: Relaxing the Long-Only Constraint in the Pursuit of Active Return

The Journal of Portfolio Management, Vol. 32, No. 3, pp. 45-55, Spring 2006
Posted: 07 Oct 2016 Last Revised: 18 Sep 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

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Enhanced Active Equity Strategies, Active Extension, Long-Short Investing, 130-30, Market-Neutral Portfolios, Equitized Long-Short Portfolios, Alternative Investments, Portfolio Construction, Residual Risk, Leverage, Prime Broker, Long-Only Constraint, Portfolio Constraints

31.

Enhanced Active Equity Portfolios Are Trim Equitized Long-Short Portfolios

The Journal of Portfolio Management, Vol. 33, No. 4, pp. 19-25, Summer 2007
Posted: 07 Oct 2016 Last Revised: 18 Sep 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

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Trimability, Enhanced Active Equity Strategies, Active Extension, 130-30 Portfolios, Long-Short Investing, Market-Neutral Portfolios, Equitized Long-Short Portfolios, Leverage, Portfolio Construction, Equity Overlay

32.

Alpha Transport with Derivatives

The Journal of Portfolio Management, 25th Anniversary Issue, Vol. 25, No. 5, pp. 55-60, May 1999
Posted: 07 Oct 2016 Last Revised: 18 Sep 2020
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

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Alpha Transport, Long-Short Portfolios, Market-Neutral Long-Short Portfolios, Equitized Long-Short Portfolios, Derivatives, Asset Allocation, Security Selection, Portfolio Alpha, Swaps, Futures, ETFs, Integrated Optimization, Portfolio Construction, Active Extension, Enhanced Active Equity

33.

Ten Investment Insights that Matter

The Journal of Portfolio Management, 40th Year Special Anniversary Issue, September 2014
Posted: 04 Nov 2014
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

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Stock market complexity, multidimensionality, disentangling, pure returns, anomalies, factors, long-short investing, 130-30, leverage aversion, integrated optimization, law of one alpha, alpha transport, systematic risk, equity investing, investment management, market crashes, efficient markets

34.

Traditional Optimization is Not Optimal for Leverage-Averse Investors

The Journal of Portfolio Management, Vol. 40, No. 2, Winter 2014
Posted: 02 Oct 2013 Last Revised: 05 Jun 2014
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

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Risk Management, Modern Portfolio Theory, Portfolio Choice, Portfolio Optimization, Mean Variance Optimization, Efficient Frontier, Efficient Surface, Leverage Constraint, Risk Aversion, Volatility Aversion, Volatility Tolerance, Leverage Aversion, Leverage Tolerance, Portfolio Optimality, Leverage

35.

Leverage Aversion, Efficient Frontiers, and the Efficient Region

The Journal of Portfolio Management, Vol. 39, No. 3, Spring 2013
Posted: 21 Sep 2012 Last Revised: 21 Nov 2013
Bruce I. Jacobs Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

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Risk Management, Modern Portfolio Theory, Mean Variance Utility, Portfolio Optimization, Efficient Frontier, Portfolio Choice, Risk Aversion, Volatility Aversion, Volatility Tolerance, Leverage Aversion, Leverage Tolerance, Efficient Region, Portfolio Optimality, Long Short

36.

Simulating Security Markets in Dynamic and Equilibrium Modes

Financial Analysts Journal, Vol. 66, No. 5, 2010
Posted: 15 Oct 2010
Bruce I. Jacobs Ph.D., Kenneth N. Levy and Harry Markowitz
Jacobs Levy Equity Management, Jacobs Levy Equity Management and University of California at San Diego

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Quantitative Methods, Simulation Analysis, Portfolio Management

37.

Trimability and Fast Optimization of Long-Short Portfolios

Financial Analysts Journal, Vol. 62, No. 2, pp. 36-46, March/April 2006
Posted: 20 Jul 2006
Bruce I. Jacobs Ph.D., Kenneth N. Levy and Harry Markowitz
Jacobs Levy Equity Management, Jacobs Levy Equity Management and University of California at San Diego

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Portfolio Management, Asset Allocation, Investment Theory, Portfolio Theory, Quantitative Tools, Mathematical Methods, Alternative Investments, Hedge Fund Strategies