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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