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Enhanced Active Equity Portfolios Are Trim Equitized Long-Short Portfolios

Bruce I. Jacobs and Kenneth N. Levy
The Journal of Portfolio Management Summer 2007, 33 (4) 19-25; DOI: https://doi.org/10.3905/jpm.2007.690601
Bruce I. Jacobs
Principals of Jacobs Levy Equity Management in Florham Park, NJ.
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Kenneth N. Levy
Principals of Jacobs Levy Equity Management in Florham Park, NJ.
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Abstract

Investors considering the new enhanced active equity strategies such as 120–20 or 130–30 often ask how these strategies differ from equitized long-short strategies (market-neutral long-short with an equity overlay). Examination of the relation between enhanced active equity and equitized long-short portfolios demonstrates that the two can be shown to be equivalent, but the enhanced portfolio has the advantage of being more compact and requiring less leverage.

TOPICS: Portfolio management/multi-asset allocation, portfolio construction, security analysis and valuation

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The Journal of Portfolio Management
Vol. 33, Issue 4
Summer 2007
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Enhanced Active Equity Portfolios Are Trim Equitized Long-Short Portfolios
Bruce I. Jacobs, Kenneth N. Levy
The Journal of Portfolio Management Jul 2007, 33 (4) 19-25; DOI: 10.3905/jpm.2007.690601

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Enhanced Active Equity Portfolios Are Trim Equitized Long-Short Portfolios
Bruce I. Jacobs, Kenneth N. Levy
The Journal of Portfolio Management Jul 2007, 33 (4) 19-25; DOI: 10.3905/jpm.2007.690601
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