The Performance of the 130/30 Strategy in the Australian Equities Market PDF Download

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The Performance of the 130/30 Strategy in the Australian Equities Market

The Performance of the 130/30 Strategy in the Australian Equities Market PDF Author: Alex Frino
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Languages : en
Pages : 53

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Book Description
This paper empirically tests two 130/30 strategies using the top 50 stocks listed on the Australian Stock Exchange: a momentum returns driven 130/30 strategy, and a fundamental value based 130/30 strategy. The performance of these enhanced active strategies is evaluated, against traditional buy and hold strategies used by long-only managers as well as naive investments in market indices, over an eight year period with quarterly rebalancing. The results of back-testing and out of sample simulations reveal that momentum driven 130/30 strategies can earn significant alpha over a long investment horizon. The 130/30 portfolios also have higher information ratios and earn higher risk-adjusted returns compared to their long only counterparts.