New study finds 130/30 outperforms long-only in back tests
Sep 18th, 2007 | Filed under: 130/30According to a study in the forthcoming issue of the Journal of Alternative Investments, 130/30 funds would have outperformed equivalent long-only funds over the period since 1994 (a hat-tip goes out to the Advisor Perspectives newsletter for drawing our attention to this study today).
The author of the study is Lee Munder Capital Group’s Gordon Johnson. While Johnson’s full paper has yet to be published, he released a white paper on the same topic earlier today. In addition, a slide presentation on the topic is available here at the website of the esteemed quant organization QWAFAFEW (pronounced quaff-a-few, an allusion to the organization’s libationary founding principles).
Earlier today, Johnson told AllAboutAlpha.com:
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[…] 130/30 funds should outperform…in theory. (All About Alpha) […]
[…] All About Alpha, one of the excellent resources I list on my links page, posts a study about how the new-fangled 130/30 funds outperform long-only funds. Click the previous link for the “they read” version. The PDF version of the white paper on 130/30 funds is here. […]
[…] Johnson’s previous research indicated that 130/30 funds have indeed outperformed their long-only twins (see related posting). He has recently updated his findings to include the second half of 2007 - a volatile period for both the market and for 130/30 funds. We were curious to see these results because Johnson’s previous findings were based on years when the market appreciated. […]