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Long-Only: The Natural Benchmark Choice for 130/30

Robert J Waid
The Journal of Portfolio Management Spring 2009, 35 (3) 48-50; DOI: https://doi.org/10.3905/JPM.2009.35.3.048
Robert J Waid
is a vice president and principal of Wilshire Associates Incorporated in Santa Monica, CA.
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  • For correspondence: rwaid@wilshire.com
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Abstract

Controversy surrounds the choice of a proper benchmark for short-extension investment strategies, such as a 130/30 strategy. Because these strategies are compared to hedge funds and have significant implementation differences compared to long-only strategies, peer groups or even a 130/30 index have been suggested as the appropriate benchmark. The author argues that a short-extension investment strategy is not a separate asset class and it competes for the same investment assets as a long-only strategy; thus, a short-extension investment strategy requires a long-only benchmark—rather than a unique benchmark—to measure manager skill.

  • © 2009 Institutional Investor, Inc.
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The Journal of Portfolio Management
Vol. 35, Issue 3
Spring 2009
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Long-Only: The Natural Benchmark Choice for 130/30
Robert J Waid
The Journal of Portfolio Management Apr 2009, 35 (3) 48-50; DOI: 10.3905/JPM.2009.35.3.048

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Long-Only: The Natural Benchmark Choice for 130/30
Robert J Waid
The Journal of Portfolio Management Apr 2009, 35 (3) 48-50; DOI: 10.3905/JPM.2009.35.3.048
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  • Article
    • Abstract
    • INTENT OF 130/30
    • BENCHMARK CONFUSION
    • NOT A SEPARATE ASSET CLASS
    • IT'S ALL ABOUT ALPHA
    • APPROPRIATENESS OF BENCHMARKS
    • ONE BENCHMARK PER ASSET CLASS
    • CONCLUSION: LONG-ONLY BENCHMARK IS THE NATURAL CHOICE
    • REFERENCES
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  • PDF (Subscribers Only)

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