Loading...
Please wait, while we are loading the content...
Similar Documents
Toward More Information-Efficient Portfolios
| Content Provider | Semantic Scholar |
|---|---|
| Author | Clarke, Roger H. Silva, Harindra De Sapra, Steven G. |
| Copyright Year | 2004 |
| Abstract | The long-only constraint imposed in traditional portfolios is one of the more severe constraints in terms of its impact on potential value-added, particularly for portfolios benchmarked to a capitalization-weighted benchmark such as the SP it can reduce the effectiveness of the manager9s information by 50% or more. This loss can be avoided to a great degree by eliminating the long-only constraint or by creating a market-neutral portfolio with a derivatives overlay to restore market exposure. The information ratio can also be increased considerably using only underlying securities by allowing modest short positions and using the cash generated to purchase an equivalent amount of long positions, thus maintaining full market exposure. |
| Starting Page | 54 |
| Ending Page | 63 |
| Page Count | 10 |
| File Format | PDF HTM / HTML |
| DOI | 10.3905/jpm.2004.443321 |
| Volume Number | 31 |
| Alternate Webpage(s) | http://www.hillsdaleinv.com/portal/uploads/Toward_More_Information-Efficient_Portfolios,_Roger_G._Clarke,_Harindra_de_Silva,_Steven_Sapra,_The_Journal_of_Portfolio_Management,_Fall_2004,_Pages_54-63.pdf |
| Alternate Webpage(s) | https://doi.org/10.3905/jpm.2004.443321 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
