Performance of 130/30 Strategies

{"ID":4246819,"post_title":"Performance of 130\/30 Strategies","title":"Performance of 130\/30 Strategies","post_content":"One of the latest innovations in asset management that has rapidly increased in popularity in recent years is the so-called \u00bf130\/30 strategy\u00bf. Through a combination of leverage and short selling this strategy enables portfolio managers to underweight unattractive securities to a much bigger extent than it is possible with long-only portfolios. This book analyzes the performance of 130\/30 and other active extension portfolios that are built according to a quantitative security selection model using typical value fundamentals, such as the dividend yield or the price-to-earnings ratio. In comparison to the benchmark and traditional long-only portfolios the 130\/30 strategy does outperform the former two over a 15-year time period from 1993 to early 2008, even after accounting for costs. When analyzing the risk-adjusted returns in more detail it becomes obvious that a 130\/30 strategy is an especially promising alternative to passive or active long-only investment strategies in rather weak market phases as they were present during the early years of this decade. That is why a dynamic strategy that switches between 130\/30, long-only and index depending on the respective market phase is analyzed as well. When using for example an autoregressive model to select the appropriate strategy such a dynamic approach delivers significantly higher returns than a static active extension portfolio does.","image":"https:\/\/images.thalia.media\/00\/-\/5aa4b93a606244f6ad0fc5923de469ca\/performance-of-130-30-strategies-taschenbuch-sebastian-riegler-rittner.jpeg","url":"https:\/\/www.vergleiche.ch\/unterhaltung\/product\/performance-of-13030-strategies\/","min_price":69.900000000000005684341886080801486968994140625,"low_price_merchant_id":70254503,"deeplink":"https:\/\/www.awin1.com\/pclick.php?p=34705524067&a=401125&m=13971&pref1=9783941482210","ean":9783941482210,"brand":"undefined"}