RT Journal Article
SR Electronic
T1 Enhanced Active Equity Portfolios Are Trim Equitized Long-Short Portfolios
JF Special Issues
FD Institutional Investor Journals
SP 213
OP 219
VO 2008
IS 1
A1 Bruce I. Jacobs
A1 Kenneth N. Levy
YR 2008
UL https://pm-research.com/content/2008/1/213.abstract
AB The proliferation of 130/30 products has raised interesting questions in terms of how they should be benchmarked. The use of leveraged long and short positions renders them different, at least at first blush, to traditional long-only products. This article explores various benchmarking options for such strategies and evaluates them against a set of principles for a good benchmark. Based upon our evaluation, we suggest that while 130/30 strategies may be structurally different from long-only managers, traditional long-only market benchmarks are still appropriate for these strategies.