Long-Short Strategies May Not Be Factor-Neutral

Posted: 15 Sep 2004

See all articles by Susana Yu

Susana Yu

State University in New York / Plattsburgh

Joel Rentzler

City University of New York (CUNY) - Baruch College

Avner Wolf

Baruch College

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

Yu, Susana and Rentzler, Joel and Wolf, Avner, Long-Short Strategies May Not Be Factor-Neutral. Available at SSRN: https://ssrn.com/abstract=589642

Susana Yu (Contact Author)

State University in New York / Plattsburgh ( email )

101 Broad Street
Plattsburgh, NY 12901
United States

Joel Rentzler

City University of New York (CUNY) - Baruch College ( email )

17 Lexington Avenue
New York, NY 10010
United States

Avner Wolf

Baruch College ( email )

One Bernard Baruch Way
New York, NY 10010
United States

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