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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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