RT Journal Article
SR Electronic
T1 Enhanced Active Equity Portfolios Are Trim Equitized Long-Short Portfolios
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 19
OP 25
DO 10.3905/jpm.2007.690601
VO 33
IS 4
A1 Bruce I. Jacobs
A1 Kenneth N. Levy
YR 2007
UL https://pm-research.com/content/33/4/19.abstract
AB 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