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The prohibition on short sales removes the negative weights within the actively managed portfolio, along with the leverage that the short positions offer to the long positions. When short sales are allowed, more than 100% can be allocated to the long positions. When short sales are not allowed, only 100% can be allocated to the long positions. Therefore, the prohibition on short sales causes the weights to the long positions within the actively managed portfolio to fall. The alpha also is expected to fall: smaller weight is now assigned to positive alpha stocks, and there are no negative weights to assign to negative alpha stocks.