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花旗银行6月5日发表的研究报告，关于130/30投资基金的：
题目：Leverage for the Common Man——130/30 Coming to Asia
格式：pdf，44页，英文
主要内容：
Here to stay — Although the fallout from the financial crisis has damped
enthusiasm for leverage in any form, the appeal and benefits that 130/30
structures bring are real, and interest in such investment structures will persist.
Concentrated markets — Removing the long-only constraint in Asia is arguably
even more relevant as these are very concentrated markets. A long-only investor
can “be negative” by holding none of a name – 87% of the MSCI A/C APxJ
benchmark names have weights of 25bp or less… hardly conviction calls.
But Asia brings challenges — Rather than rehash all the arguments for 130/30, we
approach this from a more practical angle: What issues need to be addressed if
one is to explore this space in Asian markets? Asia is different and shorting here is
challenging.
Multiple markets; multiple currencies — Practical questions include issues
relating to managing long/short portfolio risk in a multi-currency, multi-market,
volatile region where rules and regulations differ. We have summarized some of
these and looked at even simple things like market holidays; surprisingly there is
not a single day this year when all the major Asian markets are closed.
One- or two-stage processes — When considering 130/30 from a long-only
perspective one tends to think of increasing the size of one's longs and selling
short against them. While this one-stage process may work, we believe a two-stage
process can perform better and can be easier to implement. We use our model as
examples showing the relative benefits of both approaches.
A 130/30 primer — Last year our colleagues in Australia also looked at 130/30
from a practical and theoretical perspective. We include an extract from this
document that looks at why 130/30 is often the optimal leverage level.
217728.pdf
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