Long-Short Strategies May Not Be Factor-Neutral
Posted: 15 Sep 2004
Abstract
On examination of three long-short investment strategies used by investment managers indicates that only the relative return and relative earnings surprise strategies provide significant risk-adjusted in a Fama and French three-factor model. None of the three strategies is size- and BE/ME- netural. This suggests that other simple long-short strategies probabily are not size- and BE/ME- neutral either. Investors, in other words, should not equate long-short portfolios with the absence of systematic risk.
Keywords: Factor-Neutral, Trading Strategies
JEL Classification: G11, G14
Suggested Citation: Suggested Citation
Yu, Susana and Rentzler, Joel and Wolf, Avner, Long-Short Strategies May Not Be Factor-Neutral. Available at SSRN: https://ssrn.com/abstract=589642
Joel Rentzler
City University of New York (CUNY) - Baruch College ( email )
17 Lexington Avenue
New York, NY 10010
United States
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