RT Journal Article SR Electronic T1 Deploying Alpha JF Special Issues FD Institutional Investor Journals SP 86 OP 95 VO 2008 IS 1 A1 Renato Staub YR 2008 UL https://pm-research.com/content/2008/1/86.abstract AB In pursuit of higher alpha, a growing number of asset managers are choosing to loosen their portfolios' long-only constraint. They are supported by a growing body of academic research, suggesting that by relaxing the long-only constraint and introducing short selling of overpriced securities, asset managers can enhance the performance of their active equity strategies. Because of the maximum underweight determined by the underlying benchmark, conventional portfolios usually take long bets on stocks that research identifies as undervalued. Managers must avoid or underweight securities that are considered overvalued, with the size of the maximum underweights limited by the benchmark. As a result, portfolio efficiency is impaired.