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- W2594332976 abstract "The performances of factor investing rely heavily on short sales, not only for building the initial long-short strategy, but also for regularly rebalancing the positions. Since short selling is subject to both legal restrictions and substantial costs, this paper examines how severely restrictions on short positions affect the financial attractiveness of factor investing. To fill the gap between unconstrained long-short allocations and restricted long-only portfolios, we consider two in-between strategies: the first imposes that only the market can be shorted, and the second is the so-called “130/30” scenario that caps total short exposure at 30%. The takeaways are twofold. First, any infringement to the long-short strategy can harm significantly the mean-variance performances of efficient factor-based portfolios. This is linked to the fact that the total short exposure of optimal long-short portfolios can reach figures around 400% and above. Second, the factor portfolios built originally by Fama and French (1992) with the purpose of developing asset pricing are impressively clear-sighted when it comes to portfolio management. Indeed, combining these portfolios generates mean-variance performances similar to those of optimized long-short portfolios, except for low levels of volatility." @default.
- W2594332976 created "2017-03-16" @default.
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- W2594332976 date "2017-01-01" @default.
- W2594332976 modified "2023-10-03" @default.
- W2594332976 title "Factor Investing: The Rocky Road from Long Only to Long Short" @default.
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- W2594332976 doi "https://doi.org/10.2139/ssrn.2908491" @default.
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