Enhanced active equity portfolios are trim equitized long-short portfolios

被引：11
|
作者：
Jacobs, Bruce I. [1 ]
Levy, Kenneth N. [1 ]
机构：
[1] Levy Equ Management, Florham Pk, NJ 07932 USA
来源：
JOURNAL OF PORTFOLIO MANAGEMENT | 2007年 / 33卷 / 04期
关键词：
D O I：
10.3905/jpm.2007.690601
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：19 / 25
页数：7
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