ProShares has launched the first 130/30 ETF. The ProShares Credit Suisse 130/30 (CSM) tracks an index designed to replicate an investment strategy that establishes either long or short positions in certain of the 500 largest U.S. market cap equities.
Short positions will approximate 30% of index portfolio value. Short sale proceeds are used to purchase 30% more in long positions using leverage
The index was designed by Dr. Andrew Lo, in collaboration with Mr. Pankaj Patel, CFA. Dr. Lo is Chairman and Chief Scientific Officer of AlphaSimplex Group and Harris & Harris Group Professor at the MIT Sloan School of Management. Mr. Patel is Director of Quantitative Research at Credit Suisse.
Dr. Lo and Mr. Patel described the underlying principles of this quantitative-based index in their award-winning 2008 paper, “130/30: The New Long-Only,” in The Journal of Portfolio Management.
First Trust introduced a 130/30 ETN, the First Trust Enhanced 130/30 Large Cap Index ETN (JFT), in 2008.
See the ProShares ETF Directory for a complete list of ProShares exchange traded funds.