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1、THED.E.SHAWGROUPOctober2012MARKETINSIGHTSVol.4No.2130/30Version2.0ustOVerteNyearsagO,thefirstinaninfluentialseriesofpaperswaspublishedonthebenefitsofJrelaxingthelong-onlyconstraintinbenchmark-relativeactiveequityportfolios.1Thosepaperslentintellectualsuppo
2、rttothefirst“130/30”activeequityproductslaunchedaroundthesametime.Onthestrengthofthoseearlyacademicpapers—andsubsequentattentionfromconsultants,moneymanagers,andthefinancialpress—assetsinfledging130/30productssoaredafter2005.Totalassetsin130/30reachedtheir
3、peakin2008andthenfellwiththeunderperformanceofbroaderequitymarkets;unlikestocks,however,theirrecoveryhasbeenmuted.Assetsinquantitative130/30productsinparticular,whichhadcapturedamajorityofthecapitalinvestedinthosestrategiesintherun-up,remainfarbelowtheir20
4、08peak.Moreover,athirdofallmanagersthatonceoffered130/30productsnolongerdoso.Inshort,aftersomethingofameteoricrise,130/30felloutoffavorwithinvestors.Recently,however,ourfirmhasseenstirringsofrenewedinterestin130/30productsintheplan-sponsorandconsultantcomm
5、unityasallocatorssearchforadditionalsourcesofreturn.Thispaperarguesthatafreshlookat130/30iswarranted,asthisinvestmentapproachcan,whenrobustlyimplemented,improverisk-adjustedperformancerelativetolong-onlyportfolios.Thepoorhistoricalresultsofmany130/30produc
6、ts,wecontend,stemmedlargelyfromimplementationproblemsspecifictocertainmanagersorinvestmentapproachesratherthanflawsinthetheoreticalfoundationsof130/30.Wealsoarguethatthispoorperformancemayhavebeenexacerbatedbycommonmisperceptionsabouttheroleof130/30product
7、sinabroaderportfolio.Thegoodnewsisthatinvestorsnowhaveamorematureuniverseof130/30implementationstheycanassessandbetterinformationontheconditionsunderwhich130/30canaddvalue.Inparticular,wedrawuponmorerecentacademicresearchandempiricaldataonportfoliosmanaged
8、byourfirmtoillustrateourcontentionthat130/30portfolioshavegreaterpotentialtooutperformbenchmarksthanotherwiseequivalentlong-onlyportfolios.Wealsobrieflyoutlineresearchshowingthatmarketparticipantsoverreactton
