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Tables of Contents for Market Neutral
Chapter/Section Title
Page #
Page Count
Introduction to Market-Neutral Investing
1
16
David A. White
Market-Neutral Strategy
2
2
A Brief History of Market Neutral
4
1
An Efficient Use of Capital
5
2
Types of Market-Neutral Strategies
7
5
Long / Short Equity
8
1
Capital Structure Arbitrage
8
1
Futures Arbitrage
9
1
Fixed-Income Arbitrage
10
1
Options Arbitrage
11
1
Risk Arbitrage
11
1
Currency Arbitrage
12
1
Leverage and Risk
12
2
Implementation
14
2
Future Directions
16
1
Short Sales and Unrelated Business Taxable Income
17
18
Louis J. Marett
The Genesis of the Tax on UBTI
18
1
Short-Sale Mechanics and UBTI
19
1
The Internal Revenue Service Response
20
15
Appendix 1 to Chapter 2: IRS Private Letter Ruling 8832052
24
7
Appendix 2 to Chapter 2: IRS Revenue Ruling 95-8
31
4
Structure Implications of Market Neutral: A New Perspective on Active Management
35
18
Robert E. Shultz
Evolution of Institutional Investing Advent of ERISA
36
1
Focus of Diversification
36
1
Multiple-Manager Deficiencies
37
2
Index Management
39
1
Active--Passive Structure
40
1
Diversified Active Management
41
2
Multiple Insights versus Multiple Managers
43
3
Market-Neutral Solution
46
4
The World after Deadweight
50
2
Conclusion
52
1
Are Long / Short Equity Strategies Superior?
53
20
Richard O. Michaud
Leverage or Restricted Borrowing
54
3
Measuring Value Added
54
1
Unfilled Expectations
55
1
Short Selling and Long Portfolios
56
1
Long / Short Strategy Returns
57
4
Long/Short Strategy Risk
59
1
Portfolio Gammas
60
1
Efficient Frontiers
61
4
Fixed Costs and Efficiency
63
2
Market Neutrality and Optimization
65
3
Forecast Reliability Risk
66
1
Trading Profits
66
1
Utility Issues
66
2
Conclusion
68
5
Appendix to Chapter 4
69
4
Alternative Quantitative Approaches to Long/Short Strategies
73
20
Russell J. Brooks
Market Neutral
73
2
The Long and Short of It
73
1
Logical Concept
74
1
The Quantitative Challenge
75
5
Genius and Perspiration
75
2
A Live Example
77
3
Market Profile
80
2
Factor Analysis
80
1
Relative Values
81
1
Insider Activity
82
2
Interpretation
82
1
Information Content
83
1
Insider Investment Results
83
1
Earnings Expectations
84
4
Standardized Unexpected Earnings
86
1
Psychological Phenomenon
87
1
Technical Mode
88
1
Categories
88
1
Relative Trends
89
1
Summary Model
89
4
Long/Short Strategy
90
1
Dynamic Perspective on Value
91
1
Performance: The Ultimate Goal
91
2
Using a Nonparametric Approach to Market-Neutral Investing
93
12
Geoffrey Gerber
Typical Quantitative Approach
93
3
Potential Pitfalls
95
1
Alpha Calculation
96
1
Identification and Capture
96
1
Long-only versus Long/Short Equity
97
1
A Nonparametric Approach
98
3
Portfolio Simulations
101
2
Comparison of Nonparametric to Linear Approach
103
1
Conclusion
104
1
Diversifying Market-Neutral Strategies
105
16
Jane Buchan
Basic Concepts
105
4
The Market-Neutral Universe
109
3
Performance Characteristics of the Universes
112
4
Building a Diversified Market-Neutral Portfolio
116
3
Conclusion
119
2
Funds of Funds
121
12
Martin J. Gross
General Types of Funds of Funds
124
7
Funds of Funds Limited to Market-Neutral Strategies
125
2
Examples of Funds of Funds
127
4
Conclusion
131
2
International Equity Market-Neutral Strategies
133
32
Peter Swank
David Krider
A Comparison Of Equity Returns Behavior
134
6
Monthly Returns Proportions
135
3
Runs Behavior
138
2
Industry Runs Behavior
140
1
Institutional Details
140
6
United Kingdom
144
1
Japan
145
1
Performance: Live and Simulated
146
12
The United States
150
1
The United Kingdom
151
2
Japan
153
4
Canada
157
1
Bells and Whistles
158
3
Conclusion
161
4
Appendix to Chapter 9: Mathematical Details of Factors and the Optimization Process
163
2
Domestic Custodial Issues
165
12
Jane E. Sinclair
Prime Brokerage
165
3
SEC No-Action Letter
166
1
Terms and Conditions
166
2
Member Firm Requirements
168
1
Pension Funds and Tax-Exempt Investors
168
1
Required Documentation
169
1
Market-Neutral Investing
170
3
Long Portfolio
170
1
Short Portfolio
171
1
Collateralizing Short Sales
171
1
Rebate on Shorts
172
1
Cash Reserve
172
1
Hedging with the S&P 500 Index Futures
173
1
Portfolio Reporting
173
1
Prime Broker Fees and Personnel
174
1
Conclusion
175
2
Global Custody Issues
177
Richard Portogallo
The Role of Prime Brokers
178
6
Regulation
179
2
Going Global
181
1
The Hybrid Account
182
2
Agent Bank Evaluation
184
2
Operational Challenges
186
5
Qualified Investors
186
1
Transaction Costs
187
1
Contractual Settlement
187
1
Foreign Exchange
188
1
No-Fail Markets
189
1
Registration
190
1
Tax Reclaims
191
1
Multicurrency Reporting
191
3
Investor Reports
193
1
Corporate Actions
193
1
Offshore Financing
194
2
Convertible Bond Arbitrage
195
1
Equity Arbitrage
196
1
International Securities Lending
196
3
Securities Lending Mechanics
197
1
Supply
197
1
Legal Status
198
1
Pricing
198
1
Conclusion
199