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http://ssrn.com/abstract=1032110
 
 

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130/30 Funds: What is Behind the Commercial Offensive?


Walter Géhin


EDHEC Business School - EDHEC Risk and Asset Management Research Centre

October 2007


Abstract:     
High-conviction funds, beta-one funds, short extension funds, limited-shorting funds, long-enhanced funds, active extension funds, hedge-fund lite: there is a wide range of terms for what is most frequently called 130/30. Broadly, this strategy initially invests 100% in an index, sells short 30%, and uses the proceeds from the shorts to buy an additional 30% likely to beat the benchmark.

In this paper, we examine some crucial points related to these funds: their theoretical foundation, the optimal level of shorting, the distinction between the quantitative and fundamental approaches, whether these funds are natural extensions of long-only funds, and finally the risk of neglecting their risk.

Number of Pages in PDF File: 10

Keywords: performance, 130/30, long/short, alpha, shorting

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Date posted: November 25, 2007  

Suggested Citation

Géhin, Walter, 130/30 Funds: What is Behind the Commercial Offensive? (October 2007). Available at SSRN: http://ssrn.com/abstract=1032110 or http://dx.doi.org/10.2139/ssrn.1032110

Contact Information

Walter Géhin (Contact Author)
EDHEC Business School - EDHEC Risk and Asset Management Research Centre ( email )
58 rue du Port
Lille, 59046
France
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