Advanced search
Publication Cover
Financial Analysts Journal Volume 64, 2008 - Issue 1
Submit an article Journal homepage
75
Views
4
CrossRef citations to date
0
Altmetric
Portfolio Management

Long–Short Extensions: How Much Is Enough?

Roger Clarke Roger Clarke is chairman of Analytic Investors, Inc., Los Angeles.
,
Harindra de Silva Harindra de Silva, CFA, is president of Analytic Investors, Inc., Los Angeles.
, CFA,
Steven Sapra Steven Sapra, CFA, is a portfolio manager at Analytic Investors, Inc., Los Angeles.
, CFA &
Steven Thorley Steven Thorley, CFA, is H. Taylor Peery Professor of Finance at Brigham Young University, Provo, Utah.
, CFA
Pages 16-30 | Published online: 02 Jan 2019

References

  • Clarke, Roger, Harindra de Silva, and Steven Sapra. 2004. “Towards More Information-Efficient Portfolios.” Journal of Portfolio Management, vol. 31, no. 1 (Fall): 34–63.
  • Clarke, Roger, Harindra de Silva, and Steven Thorley. 2002. “Portfolio Constraints and the Fundamental Law of Active Management.” Financial Analysts Journal, vol. 58, no. 5 (September/October): 48–6610.2469/faj.v58.n5.2468.
  • Clarke, Roger, Harindra de Silva, and Steven Thorley. 2006. “The Fundamental Law of Active Portfolio Management.” Journal of Investment Management, vol. 4, no. 3 (Third Quarter): 54–72.
  • Goodwin, Thomas H.. 1998. “The Information Ratio.” Financial Analysts Journal, vol. 54, no. 4 (July/August): 34–4310.2469/faj.v54.n4.2196.
  • Grinold, Richard C.. 1994. “Alpha Is Volatility Times IC Times Score, or Real Alphas Don’t Get Eaten.” Journal of Portfolio Management, vol. 20, no. 4 (Summer): 9–16.
  • Grinold, Richard, and Ronald Kahn. 1994. “Active Portfolio Management.”2nd edition.New York: McGraw-Hill.
  • Jacobs, Bruce, and Kenneth Levy. 2007. “20 Myths about Enhanced Active 120–20 Strategies.” Financial Analysts Journal, vol. 63, no. 4 (July/August): 19–2610.2469/faj.v63.n4.4746.
  • Jacobs, Bruce, Kenneth Levy, and David Starer. 1998. “On the Optimality of Long–Short Strategies.” Financial Analysts Journal, vol. 54, no. 2 (March/April): 40–5110.2469/faj.v54.n2.2164.
  • Johnson, Seanna, Ronald Kahn, and Dean Petrich. 2007. “Optimal Gearing.” Journal of Portfolio Management, vol. 33, no. 4 (Summer): 10–18.
  • Sorensen, Eric, Ronald Hua, and Edward Qian. 2006. “Aspects of Constrained Long–Short Equity Portfolios.” Journal of Portfolio Management, vol. 33, no. 2 (Winter): 12–22.
  • Strongin, Steven, Melanie Petsch, and Greg Sharenow. 2000. “Beating Benchmarks.” Journal of Portfolio Management, vol. 26, no. 4 (Summer): 11–27.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.