{"product_id":"9783941482210","title":"Performance of 130\/30 Strategies","description":"One of the latest innovations in asset management that has rapidly increased in popularity in recent years is the so-called '130\/30 strategy'. 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.","brand":"Europ ischer Hochschulverlag GmbH \u0026 Co. KG","offers":[{"title":"Default Title","offer_id":47053041860848,"sku":"9783941482210","price":101.9,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0737\/7593\/9824\/files\/9783941482210_p0.jpg?v=1763703864","url":"https:\/\/shop-qa.barnesandnoble.com\/products\/9783941482210","provider":"Barnes \u0026 Noble (DEV)","version":"1.0","type":"link"}