Work

Enhanced Active Equity Portfolios Are Trim Equitized Long-Short Portfolios

Year: 2007

Type: article

Abstract: Investors considering the new enhanced active equity strategies such as 120–20 or 130–30 often ask how these strategies differ from equitized long-short strategies (market-neutral long-short with an equity overlay). Examination of the relation between enhanced active equity and equitized long-short portfolios demonstrates that the two can be shown to be equivalent, but the enhanced portfolio has the advantage of being more compact and requiring less leverage. TOPICS: Portfolio management/multi-asset allocation , portfolio construction , security analysis and valuation

Source: The Journal of Portfolio Management

DOI: 10.3905/jpm.2007.690601

Authors: Bruce I. Jacobs, Kenneth N. Levy

Institution: Jacobs Levy Equity Management

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2119177673

FWCI: 5.914

Cites: 4

Cited by: 23

Related to: 10