Comments on: 120-20 reaches mythical proportions? http://allaboutalpha.com/blog/2007/10/14/120-20-reaches-mythical-proportions/ Hedge funds, portable alpha, 130/30 and alpha-centric investing Tue, 16 Mar 2010 17:02:02 +0000 http://wordpress.org/?v=abc hourly 1 By: John At CIFT » Blog Archive » Is an “integrated” 130/30 portfolio always better than a “combined” one? http://allaboutalpha.com/blog/2007/10/14/120-20-reaches-mythical-proportions/comment-page-1/#comment-122331 John At CIFT » Blog Archive » Is an “integrated” 130/30 portfolio always better than a “combined” one? Thu, 03 Jul 2008 20:13:10 +0000 http://allaboutalpha.com/blog/2007/10/14/120-20-reaches-mythical-proportions/#comment-122331 [...] There seems to be a growing level of agreement that 130/30 is different than simply adding together a 100″ portfolio (e.g. an ETF) and a 30/30″ portfolio (e.g. a market neutral fund).  Some practitioners have pointed to the untrimness of being long and short some of the same stocks (e.g. Jacobs & Levy - see related posting).  But others such as First Quadrant's Jia Ye have argued that adding a short-extension will not always be optimal even for the alpha-producing manager due to the potential volatility of the information coefficient (see posting). [...] [...] There seems to be a growing level of agreement that 130/30 is different than simply adding together a 100″ portfolio (e.g. an ETF) and a 30/30″ portfolio (e.g. a market neutral fund).  Some practitioners have pointed to the untrimness of being long and short some of the same stocks (e.g. Jacobs & Levy – see related posting).  But others such as First Quadrant’s Jia Ye have argued that adding a short-extension will not always be optimal even for the alpha-producing manager due to the potential volatility of the information coefficient (see posting). [...]

]]> By: David Merkel http://allaboutalpha.com/blog/2007/10/14/120-20-reaches-mythical-proportions/comment-page-1/#comment-32949 David Merkel Tue, 16 Oct 2007 06:23:01 +0000 http://allaboutalpha.com/blog/2007/10/14/120-20-reaches-mythical-proportions/#comment-32949 Call me a fuddy-duddy. Few managers have the requisite skill to do well at long only, and 120/20 is if anything more difficult, particularly in an era where the borrow is often crowded. Let's see some performance comparisons, and get this out of theory. Call me a fuddy-duddy. Few managers have the requisite skill to do well at long only, and 120/20 is if anything more difficult, particularly in an era where the borrow is often crowded.

Let’s see some performance comparisons, and get this out of theory.

]]> By: Monday links: behind the curve « Abnormal Returns http://allaboutalpha.com/blog/2007/10/14/120-20-reaches-mythical-proportions/comment-page-1/#comment-32886 Monday links: behind the curve « Abnormal Returns Mon, 15 Oct 2007 16:29:28 +0000 http://allaboutalpha.com/blog/2007/10/14/120-20-reaches-mythical-proportions/#comment-32886 [...] On the “real myths” surrounding 1X0/X0 investing. (All About Alpha) [...] [...] On the “real myths” surrounding 1X0/X0 investing. (All About Alpha) [...]

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