130/30 Funds the Evolution of Active Equity Investing
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Authors
Weigand, Robert A.
Weber, Florian
Krusen, Charles
Issue Date
2008-03-1
Type
Working paper
Language
en_US
Keywords
130/30 funds , Active portfolio extentions , Financial risk management , Information ratio , Portfolio management , Risk management
Alternative Title
Abstract
We analyze the confluence of factors contributing to the momentum in the 130/30 space, including the product's strong theoretical underpinnings and appropriateness for investors' objectives in the 21st century. We discuss quantitative and fundamental approaches to 130/30s and present evidence on product performance and fees, which will also influence the pace of adoption of active extension strategies. Aggregate performance data indicates that 130/30s have outperformed long-only portfolios by 300-350 basis points per year over the past 3-5 years. Based on these factors, we predict that 130/30s will continue evolving as key component of investors' equity allocation, and that investors are on their way to becoming as comfortable with 130/30 funds as they are with other approaches to active investing.
Description
Citation
Publisher
Washburn University. School of Business