New study finds 130/30 outperforms long-only in back tests

A

ASusilovic

http://allaboutalpha.com/blog/2007/09/18/new-study-finds-13030-outperforms-long-only-in-back-tests/

According to a study in the forthcoming issue of the Journal of Alternative Investments, 130/30 funds would have outperformed equivalent long-only funds over the period since 1994 (a hat-tip goes out to the Advisor Perspectives newsletter for drawing our attention to this study today).

The author of the study is Lee Munder Capital Group’s Gordon Johnson. While Johnson’s full paper has yet to be published, he released a white paper on the same topic earlier today. In addition, a slide presentation on the topic is available here at the website of the esteemed quant organization QWAFAFEW (pronounced quaff-a-few, an allusion to the organization’s libationary founding principles).

Very interesting topic for HF professionals...:p
 
Interesting idea. I wonder how 130/30 would compare to just 160 long. How much of the outperformance is due to it being a better model vs a result of the extra leverage. Outperforming both 100 and 160 long would be interesting.

Thanks for the link.
 
You want "interesting"? Try 200/100, 500/400 or 1000/900! You should be able to find an optimal time interval when such a strategy worked well!
 
the point is that if u use a leveraged portion of your investments to go short, it can INCREASE return, with LESS risk than a long only portfolio

in the long run,succesful trading is about managing risk.
 
This is not trading...
This is investing to outperform the market by 2%.

Big deal...
Great if you are running a skimming operation...
You can tell a good story to the losers you are fleecing.
 
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