130/30s: Turbocharging returns?
Thu Sep 27, 2007
130/30 funds look like a sensible hybrid of the long-only and hedge fund worlds, but are these strategies a magic bullet, or an accident waiting to happen?
Not quite hedge funds, short extension strategies are
gaining traction. But they're no magic bullet
By Carolyn Sargent
mid-August, as market volatility hit a four-year high and
quantitative hedge funds spiraled downward in lockstep, the $5
billion Indiana State Teachers' Retirement Fund found itself
interviewing candidates to run its first allocation to a 130/30
fund. Such portfolios - which are not quite hedge funds but can
go short and leverage up - are becoming a popular way for
pension funds to try to turbocharge their returns.
The vast majority of 130/30, or short extension, portfolios
are managed by quant shops, and as the more storied names in
the business - Renaissance Technologies, D. E. Shaw, Goldman
Sachs Asset Management and AQR Capital Management - streamed
red ink, the crisis gave Indiana pause. "In the midst of the
turmoil, I definitely thought, 'Wow, is this something we
should be doing?'" recalls...
ISSN: 2151-1845 / CDC10004H
The full contents of this article are available to active AR subscribers and trialists only.
TAKE A FREE TRIAL
To continue reading please, take a free trial, subscribe or log in to AR.
Subscribers have unlimited access to all current and archive content. Start your subscription today - click on the button below.