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130/30: The New Long-Only

Source:Institutional Investor Journals


Long-only portfolio managers and investors acknowledge that the long-only constraint is a potentially costly drag on performance and that loosening this constraint can add value. But the extent of the performance drag is difficult to measure without a proper benchmark for a 130/30 portfolio. Authors Andrew W. Lo and Pankaj N. Patel show that a passive but dynamic benchmark can be developed to rank stocks and standard methods for construction of portfolios based on these rankings.

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