Long only portfolio

Long only portfolio

A portfolio that holds only long positions on securities and no short positions.
References in periodicals archive ?
1a]: Based on the annual average daily return of Pairs Trading portfolio, Long Only portfolio, and SET Index, Pairs Trading portfolio could generate yearly returns higher than that of the Stock Exchange of Thailand (SET) index.
1b]: Based on the annual average daily return of Pairs Trading portfolio, Long Only portfolio, and SET Index, Pairs Trading portfolio and Long Only portfolio, Pairs Trading portfolio could yield higher returns every year.
2a]: Based on the holding period rates of return, the return of Pairs Trading portfolio will be higher than those of Long Only portfolio and SET Index in all investment horizons.
2b]: The longer the investment period is, the greater return margins will be among Pairs Trading portfolio, long only portfolio, and SET Index would be greater.
3]: Based on the daily mean return difference between Pairs Trading Portfolio and Long Only Portfolio, Pairs Trading Portfolio will yield higher returns than Long-only portfolios throughout the investment horizons.
Then, pick 10 stocks with the lowest scores of the year to include in the Long Only portfolio.
Step 4: In the beginning of each year starting from 2002, create the Long Only portfolio by buying 10 stocks qualified as in Steps 1-3.
The weights are calculated as in the Long Only portfolio.
Table 1 reported annual average daily return of Pairs Trading portfolio, Long Only portfolio, and SET Index.
Having supported hypotheses 2a and 2b, the return of Pairs Trading portfolio was significantly higher than Long Only portfolio and SET Index in all investment horizons, and the longer was the investment period, the return margins between Pairs Trading portfolio and Long Only portfolio, and SET Index would be greater.
Figure 1 presented the values of Pairs Trading portfolio, Long Only portfolio and SET Index.
The head of asset management Jose Canepa said despite the challenging year, it continued to deliver strong risk adjusted returns for both hedge fund and long only portfolios in absolute and relative terms.