130/30 Extended Alpha
130/30 Extended Alpha: An Alternative to Long-Only Strategies
SSI's 130/30 Extended Alpha strategy is an active equity strategy benchmarked to the S&P 500 Index. An alternative to traditional long-only strategies, SSI's 130/30 Extended Alpha Strategy seeks to produce excess returns by combining greater exposure to the best long portfolio candidates with focused short exposure to perceived overvalued stocks. Utilizing the Firm's experience with long/short portfolios, SSI launched its 130/30 Extended Alpha strategy July 1, 2007.
SSI's 130/30 Extended Alpha Strategy targets a return of 500 bps above the S&P 500 Index with a tracking error of approximately 4-5%. The portfolio is constructed to be 130% long and 30% short, maintaining a beta near 1. Utilizing both quantitative and fundamental analysis to determine the best portfolio candidates, SSI's portfolio team purchases approximately 70-90 long equity positions and 20-40 short equity positions.
SSI has successfully managed a traditional equity using a similar investment process since 1981. In addition, SSI's expertise in market neutral strategies and short selling has been honed by the firm's 38 years of experience in the alternative marketplace.