Comparisons and Combinations of Long and Long/Short Strategies

摘要: Market-neutral long/short strategies get their returns from alphas and short rebates; long alpha the market. Differing return risk sources complicate comparison, partly because of strong market-referenced focus conventional performance analysis. Compelling theoretical advantages active per unit suggest that are better able to deliver excess than institutional strategies. Long/short strategies, even with tiny positive alphas, seen improve investors' efficient frontiers when added a traditional T-bill/long portfolio mix, mostly uncorrelated. Surprisingly, improvement occurs if Sharpe-ratio inferior These results provide support for including in most mix assets.