Qualche anno fa la strategia più di moda per la costruzione di un portafoglio era il 130/30,consentendo al gestore di assumere posizioni short sul mercato fino al 30% del portafoglio. Persino il grandissimo Andrew Lo scrisse un articolo significativamente intitolato 130/30: The New Long-Only nel quale costruiva una famiglia di indici per potere misurare in modo accurato la performance dei fondi che adottano questo tipo di strategia. Secondo il Wall Street Journal una gran parte dell'entusiasmo iniziale è andato scemando a causa dei risultati deludenti nell'ultimo biennio di questi fondi:
Also known as "active extension," "short extension" and half a dozen other names, 130/30 funds aim to amplify stock-market gains by combining purchases of promising stocks with bets that other equities will fall.Specifically, the managers of these funds invest $100 in stocks they think will rise, then borrow from a broker $30 of stocks they think are overvalued. They sell the borrowed shares, betting they'll be able to buy them back at a cheaper price by the time they have to return them (a textbook example of short selling). They use the proceeds to buy $30 more in "long" positions, giving the fund $130 in long positions and $30 in short positions—hence the name.
When short positions are subtracted from long positions, these funds remain 100% net long, meaning they have the same overall exposure to the stock market as, say, a plain-vanilla fund tracking the Standard & Poor's 500-stock index.
The difference is that 130/30 fund managers are making $160 in investment decisions for every $100 invested, giving them more opportunities to enhance returns—at least in theory. The problem is, they also have more opportunities to magnify losses with bad stock picks. (...)
An April 2009 study of 10 such pairs by Morningstar found that the 130/30 strategies underperformed their long-only equivalents in the bear market, falling 43.1% as a group, compared with a 40.9% drop for the long-only funds. Half of the 130/30s did better than their long-only counterparts and half did worse. (Performance was measured since inception of the respective 130/30 strategy, but none was more than 22 months old.)The 130/30s as a group didn't outperform in the subsequent market rally, either.
From March 6, 2009, through Aug. 13 of this year, when the S&P rose 47%, the seven funds that weren't liquidated or merged out of existence gained an average of 41.2%, compared with 43.4% for their long-only siblings.
Investors "are fooling themselves if they really think they're getting anything but a jacked-up, more volatile S&P 500 proxy that's expensive and doesn't work and can hurt you in the long run," says Lee Munson, chief investment officer for Portfolio Asset Management, Albuquerque, N.M.
To be sure, many would argue that judging the performance of a relatively new strategy during one of the most exceptional periods in market history is unfair. Others say the less-than-stellar performance of the group as a whole isn't so much a condemnation of the 130/30 idea itself as it is of some of the managers running them.