2007 data suggests 130/30 outperforms

Jan 29th, 2008 | Filed under: 130/30, Investment Management Fees

Our friends over at eVestment Alliance, a major database of institutional money managers, recently provided us with some interesting 130/30 data hot off the presses for a presentation Alpha Male delivered in Europe.

Firstly, check this out.  Back-testing has shown that 130/30 funds would have performed better than their long-only analogs over the past several years (see related posting).  But does this match reality?  Unfortunately, there simply haven’t been enough funds around long enough to paint a complete picture.  However, eVestment Alliance has been collecting data from managers of institutional funds for some time now.  While the pre-2006 numbers are a little thin, annual return data shows that 130/30 funds have indeed outperformed the S&P 500 every year since they started tracking such funds (the white number shows the number of 130/30 funds tracked by eVestment Alliance).

 

More…


To continue reading this article please login (at the right) or click here to learn more about accessing our archives.

Related Posts

  1. Note to Cambridge Retirement Board: Good luck with that RFP…
  2. Hedge replication strategies set for 2007 breakthrough year, says Partners Group
  3. Mercer study suggests institutional investors know alpha when they see it.
  4. Schneeweis: Monthly hedge fund data might be leading us astray
  5. New study finds 130/30 outperforms long-only in back tests


We welcome comments. Please email your comment directly to admin@allaboutalpha.com