PT  - JOURNAL ARTICLE
AU  - Srikant Dash
AU  - Philip Murphy
TI  - Benchmarking 130/30 Strategies
DP  - 2008 Jun 20
TA  - Special Issues
PG  - 158--161
VI  - 2008
IP  - 1
4099  - https://pm-research.com/content/2008/1/158.short
4100  - https://pm-research.com/content/2008/1/158.full
AB  - The proliferation of 130/30 products has raised interesting questions in terms of how they should be benchmarked. The use of leveraged long and short positions renders them different, at least at first blush, to traditional long-only products. This article explores various benchmarking options for such strategies and evaluates them against a set of principles for a good benchmark. Based upon our evaluation, we suggest that while 130/30 strategies may be structurally different from long-only managers, traditional long-only market benchmarks are still appropriate for these strategies.