130/30 a moving target according to originators of the craze
Sep 19th, 2007 | Filed under: 130/30
Readers of yesterday’s posting on Gordon Johnson’s 130/30 paper will remember that he took inspiration from the earlier work of Roger Clarke, Harindra de Silva and Steven Sapra. Well it turns out this prolific trio (plus fourth bandmember Steven Thorley) have just published a new paper of their own on 1X0/X0.
Many regard these four as being the originators of the craze we now know as 130/30. In an article last spring on the website of UK-based consultancy bfinance, AllAboutAlpha.com Hall of Famer Tris Lett observed that, like so many mega-trends, 130/30 was originally cooked up on the sunny shores of Southern California:
“While some may say that they were running strategies in the short enabled structure before Analytic Investors, I can find no one who precedes them. Harindra de Silva, Roger Clarke and Steve Sapra of Analytic Investors earn the credit for naming the process and operating the first real time portfolio. On July 1, 2002, Analytic [of Los Angeles] launched its Core Plus Equity Composite (120/20) strategy.”
Clarke, de Silva, Thorley and Sapra have since achieved stardom by producing several papers on the topic of 130/30. Their newest production, “Long/Short Extensions: How Much is Enough?” has now been revised after a limited release over the summer at a screen near you.
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