Bruce I. Jacobs, Ph.D.

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

39

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CITATIONS

2

Scholarly Papers (39)

1.

Smart Beta versus Smart Alpha

Forthcoming, The Journal of Portfolio Management, Vol. 40, No. 4, Summer 2014
Number of pages: 12 Posted: 25 Apr 2014 Last Revised: 05 May 2014
Bruce I. Jacobs, Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 1,538 (3,918)

Abstract:

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

2.

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 435 (22,717)

Abstract:

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

3.

Investing in a Multidimensional Market

Forthcoming, Financial Analysts Journal, Vol. 70, No. 6, November/December 2014
Number of pages: 13 Posted: 20 Oct 2014
Bruce I. Jacobs, Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 425 (45,022)

Abstract:

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

4.

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 280 (76,577)

Abstract:

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

5.

Leverage Aversion and Portfolio Optimality

Financial Analysts Journal, Volume 68, No 5, September/October 2012
Number of pages: 16 Posted: 20 Sep 2012
Bruce I. Jacobs, Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Downloads 216 (107,982)
Citation 2

Abstract:

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.

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 182 (98,789)

Abstract:

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

7.

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 70 (193,370)

Abstract:

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

8.

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 C. Krask
Jacobs Levy Equity Management, Jacobs Levy Equity Management and Jacobs Levy Equity Management

Abstract:

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

9.

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

Abstract:

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

10.

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

Abstract:

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

11.

On the Optimality of Long-Short Strategies

Financial Analysts Journal, Vol. 54, No. 2, pp. 40-51, March/April 1998
Posted: 30 Mar 2017
Bruce I. Jacobs, Ph.D., Kenneth N. Levy and David Starer
Jacobs Levy Equity Management, Jacobs Levy Equity Management and Jacobs Levy Equity Management

Abstract:

long-short investing, integrated optimization, dollar-neutral portfolios, beta-neutral portfolios, portfolio construction, portfolio optimization, equitized long-short portfolios, constrained beta, short selling

12.

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
Bruce I. Jacobs, Ph.D., Kenneth N. Levy and David Starer
Jacobs Levy Equity Management, Jacobs Levy Equity Management and Jacobs Levy Equity Management

Abstract:

integrated optimization, long-short investing, market-neutral portfolios, equitized long-short portfolios, portfolio optimization, portfolio construction, short-selling, Reg T, dollar neutrality, beta neutrality

13.

When Seemingly Infallible Arbitrage Strategies Fail

The Journal of Investing, Vol. 8, No. 1, pp. 9-10, Spring 1999
Posted: 24 Oct 2016
Bruce I. Jacobs, Ph.D.
Jacobs Levy Equity Management

Abstract:

market crises, financial markets, arbitrage, hedge funds, Long-Term Capital Management, LTCM, leverage, portfolio insurance, Black-Scholes-Merton option pricing theory, systemic risk, market instability, 1987 market crash, illusion of liquidity, derivatives, dynamic hedging, option replication

14.

Long/Short Equity Investing

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

Abstract:

long-short investing, short-selling, market-neutral portfolios, equitized long-short portfolios, alternative investments, portfolio construction, absolute return, performance measurement, hedge strategies, prime broker

15.

The Long and Short on Long-Short

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

Abstract:

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

16.

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

Abstract:

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

17.

Option Pricing Theory And Its Unintended Consequences

The Journal of Investing, Vol. 7, No. 1, pp. 12-14, Spring 1998
Posted: 24 Oct 2016
Bruce I. Jacobs, Ph.D.
Jacobs Levy Equity Management

Abstract:

option pricing, Black-Scholes-Merton option pricing theory, options, OTC options, option replication, option dealers, synthetic options, hedging options, dynamic hedging, portfolio insurance, market instability, market liquidity, 1987 crash

18.

The Complexity of the Stock Market

The Journal of Portfolio Management, Vol. 16, No. 1, pp. 19-27, Fall 1989
Posted: 24 Oct 2016
Bruce I. Jacobs, Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

Abstract:

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

19.

Momentum Trading: The New Alchemy

The Journal of Investing, Vol. 9, No. 4, pp. 6-8, Winter 2000
Posted: 24 Oct 2016
Bruce I. Jacobs, Ph.D.
Jacobs Levy Equity Management

Abstract:

momentum trading, momentum investing, tech-stock bubble, internet bubble, option pricing theory, Black-Scholes-Merton, option replication, call options, leverage, margin calls, portfolio insurance, 1987 market crash, Long-Term Capital Management, LTCM

20.

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

Abstract:

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

21.

Engineering Portfolios: A Unified Approach

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

Abstract:

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

22.

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

Abstract:

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

23.

20 Myths about Long-Short

Financial Analysts Journal, Vol. 52, No. 5, pp.81-85, September/October 1996
Posted: 11 Oct 2016
Bruce I. Jacobs, Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

Abstract:

long-short investing, market neutral portfolios, integrated optimization, short selling, equitized long-short portfolios, active risk, leverage, alternative investments

24.

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
Bruce I. Jacobs, Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

Abstract:

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

25.

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
Bruce I. Jacobs, Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

Abstract:

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

26.

Calendar Anomalies: Abnormal Returns at Calendar Turning Points

Financial Analysts Journal, Vol. 44, No. 6, pp. 28-39, November/December 1988
Posted: 07 Oct 2016
Bruce I. Jacobs, Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

Abstract:

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

27.

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
Bruce I. Jacobs, Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

Abstract:

Enhanced Active Equity Strategies, 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

28.

Forecasting the Size Effect

Financial Analysts Journal, Vol. 45, No. 3, pp. 38-54, May/June 1989
Posted: 06 Oct 2016
Bruce I. Jacobs, Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

Abstract:

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

29.

Disentangling Equity Return Regularities: New Insights and Investment Opportunities

Financial Analysts Journal, Vol. 44, No. 3, pp. 18-43, May/June 1988
Posted: 06 Oct 2016
Bruce I. Jacobs, Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

Abstract:

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

30.

On the Value of 'Value'

Financial Analysts Journal, Vol. 44, No. 4, pp. 47-62, July/August 1988
Posted: 06 Oct 2016
Bruce I. Jacobs, Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

Abstract:

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

31.

Is Smart Beta State of the Art?

The Journal of Portfolio Management, Vol. 41, No. 4, Summer 2015
Posted: 04 Aug 2015
Bruce I. Jacobs, Ph.D.
Jacobs Levy Equity Management

Abstract:

Smart beta, factor investing, factor crashes, factor crowding, front running, dynamic, multifactor portfolio, portfolio insurance, ETFs, unintended exposures, liquidity, rebalancing, momentum, trend following, book-to-price, small-cap, value, low volatility, plan sponsor, fiduciary duty

32.

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

Abstract:

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

33.

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

Abstract:

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

34.

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

Abstract:

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

35.

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

Abstract:

Quantitative Methods, Simulation Analysis, Portfolio Management

36.

Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis

Financial Analysts Journal, Vol. 65, No. 2, 2009
Posted: 09 Apr 2009
Bruce I. Jacobs, Ph.D.
Jacobs Levy Equity Management

Abstract:

Debt Investments: Asset-Backed Securities (including Mortgage-Backed Securities), Credit Analysis, Derivative Instruments: Debt Derivatives, Portfolio Management: Debt Strategies

37.

20 Myths about Enhanced Active 120-20 Strategies

Financial Analysts Journal, Vol. 63, No. 4, pp. 19-26, July/August 2007
Posted: 25 Jul 2007
Bruce I. Jacobs, Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management

Abstract:

Portfolio Management: Equity Strategies; Alternative Investments: Other

38.

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

Abstract:

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

39.

Risk Avoidance and Market Fragility

Financial Analysts Journal, Vol. 60, No. 1, pp. 26-30, January/February 2004
Posted: 17 Feb 2004
Bruce I. Jacobs, Ph.D.
Jacobs Levy Equity Management

Abstract:

Investment Industry: other; financial Markets: other; risk measurement and management: firm/enterprise risk; business strategy: industry best practices