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choosing 130 /30 over 120 /20 and 140 /40 long short strategies
Posted: November 1st, 2007, 4:43 pm
by abhishek542000
is there any fundamental reason behind choosing 130 /30 over 120 /20 and 140 /40 long short strategies apart from investor risk preferences?
choosing 130 /30 over 120 /20 and 140 /40 long short strategies
Posted: November 2nd, 2007, 2:35 pm
by ppauper
margin requirements ?
choosing 130 /30 over 120 /20 and 140 /40 long short strategies
Posted: November 5th, 2007, 6:32 am
by nazzdack
130/30 is supposed to be the "sweet spot" for risk/reward. For me, it's 1000/900.
choosing 130 /30 over 120 /20 and 140 /40 long short strategies
Posted: November 5th, 2007, 7:58 am
by Satriani
risk/reward
choosing 130 /30 over 120 /20 and 140 /40 long short strategies
Posted: November 5th, 2007, 7:44 pm
by Gmike2000
Given the deeply mathematical and highly quantitative nature of equity fund investing, I would think that a new and highly proprietary multi-factor, N-dimensional, hybrid-hyperbolic stochastic volatility and stochastic correlation Ansatz is the basis for establishing 130/30 as the ultimate optimum for a long-short mix.More likely though it is because the MBA in charge of doing the client presenation could not count beyond 130. The true optimum according to my calculations is at 148.15+PI()/sqrt(5).
choosing 130 /30 over 120 /20 and 140 /40 long short strategies
Posted: November 5th, 2007, 8:45 pm
by PlasticSaber
QuoteMore likely though it is because the MBA in charge of doing the client presenation could not count beyond 130. The true optimum according to my calculations is at 148.15+PI()/sqrt(5).Maybe 13030 is the zip code of that MBA....
choosing 130 /30 over 120 /20 and 140 /40 long short strategies
Posted: November 6th, 2007, 10:07 pm
by biofa
Also because most of these fund are UCITS III and can't exceed 2 as gross leverage.. 1x0/x0 than is more a marketing factor as Gmike told... add some risk considerations... this part of long/short can also be very risky (try to think what a long banks/short materials means as p/l !!!)130/30 can be enough, then all depends on which beta you're long 100%
choosing 130 /30 over 120 /20 and 140 /40 long short strategies
Posted: November 6th, 2007, 10:11 pm
by biofa
Also because most of these fund are UCITS III and can't exceed 2 as gross leverage.. 1x0/x0 than is more a marketing factor as Gmike told... add some risk considerations... this part of long/short can also be very risky (try to think what a long banks/short materials means as p/l !!!)130/30 can be enough, then all depends on which beta you're long 100%
choosing 130 /30 over 120 /20 and 140 /40 long short strategies
Posted: November 12th, 2007, 12:35 am
by donyoshi
130/30 seems to be the most popular so far as it fits into the 40 Act framework (allows for 30% shorts). if there is no regulatory constraint 'true' long/short is much a better option. with all the 1x0/x0 strategies you are still basically stuck with a beta of 1. a good long/short manager should be able to move around their net exposure based on market view.