Analytic's Core Equity Plus strategy is the pioneer of short extension ("120-20" or "130-30") portfolios. It's designed to achieve a market-like beta coefficient of 1.00 versus a large cap U.S. benchmark, such as the S&P 500 or Russell 1000 Index, while seeking to exceed the benchmark's return by 300 to 400 basis points annually. The strategy utilizes shorting up to 40% of the portfolio value to improve the long run information ratio and may change depending on the market conditions and other factors. Short positions are offset by an equal value of extra long positions, resulting in portfolios with 120-140% long and 20-40% short (hence, 120-20 or 130-30).
The Core Equity Plus strategy uses a proprietary model that evaluates 70+ stock characteristics, looking for those most or least favored by the market over a rolling 36-month time span. The strategy aims to be size-, style-, sector-, beta- and volatility-neutral versus the benchmark. Holding sizes are volatility-adjusted to minimize the impact of any one stock on the performance of the portfolio.