研究了长期只做多头的约束对投资组合业绩的拖累，并开发了130/30策略的被动动态基准，通过历史模拟展示其优缺点。
Long-only portfolio managers and investors have acknowledged that the long-only constraint is a potentially costly drag on performance, and loosening this constraint can add value, but the extent of the performance drag is difficult to measure without a proper benchmark for a 130/30 portfolio. A passive but dynamic benchmark can be developed, consisting of a plain-vanilla 130/30 strategy using simple factors to rank stocks and standard methods for construction of portfolios based on these rankings. Two types of indexes are produced—investable and look-ahead indexes; the former uses only prior information, and the latter uses realized returns to set an upper bound on performance. Historical simulations of these 130/30 benchmarks illustrate their advantages and disadvantages under various market conditions. <bold>TOPICS:</bold> <ext-link>Equity portfolio management</ext-link>, <ext-link>accounting and ratio analysis</ext-link>, <ext-link>portfolio theory</ext-link>