RT Journal Article
SR Electronic
T1 Debunking 130/30 Benchmarks
JF Special Issues
FD Institutional Investor Journals
SP 60
OP 63
VO 2008
IS 1
A1 Russell D. Kamp
YR 2008
UL https://pm-research.com/content/2008/1/60.abstract
AB Benchmarking investment performance is a critical tool for managers, plan sponsors, trustees, and consultants to measure both the skill and the risk taken by an active approach. Plan sponsors and others can effectively measure the risk a manager assumes in deviating from traditional passive indexes. Yet, the evolution of directionally long strategies has confused some in the investment community into perceiving these strategies to be more exotic than they are. Specifically, the shorting component of 1X0/X0 strategies has led some to believe—incorrectly—that the directionally long approach is akin to an alternative strategy. By this flawed reasoning, these managers should be treated and measured differently than traditional long-only managers. We wholeheartedly disagree.