Nov.27 -- Quant investing is built on the power and freedom that come with the ability to sell short. Now comes an academic wrecking ball, from David Blitz, Guido Baltussen and Pim Van Vliet, a group of quants who work for the fund manager Robeco. In this new paper, called “When Equity Factors Drop Their Shorts,” the Robeco team breaks down the contribution to performance made by the long and short legs of equity positions — and finds that the short position is scarcely worth the bother. Bloomberg Opinion's John Authers has more on "Bloomberg Markets: What'd You Miss?" Authers' opinions are his own.
The Academic Wrecking Ball Aimed at Hedge Funds
Nov.27 -- Quant investing is built on the power and freedom that come with the ability to sell short. Now comes an academic wrecking ball, from David Blitz, Guido Baltussen and Pim Van Vliet, a group of quants who work for the fund manager Robeco. In this new paper, called “When Equity Factors Drop Their Shorts,” the Robeco team breaks down the contribution to performance made by the long and short legs of equity positions — and finds that the short position is scarcely worth the bother. Bloomberg Opinion's John Authers has more on "Bloomberg Markets: What'd You Miss?" Authers' opinions are his own.
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