The Success of Long-Short Equity Strategies versus Traditional Equity Strategies & Market Returns
This study examines the performance of long-short equity trading strategies from January 1990 to December 2010. This study combines two financial screens that will yield candidates for both long and short positions for each month during the aforementioned time period. Two long-short strategies are t...
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| Format: | Others |
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Scholarship @ Claremont
2011
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| Online Access: | http://scholarship.claremont.edu/cmc_theses/286 http://scholarship.claremont.edu/cgi/viewcontent.cgi?article=1243&context=cmc_theses |
| Summary: | This study examines the performance of long-short equity trading strategies from January 1990 to December 2010. This study combines two financial screens that will yield candidates for both long and short positions for each month during the aforementioned time period. Two long-short strategies are tested: (1) perfectly-hedged, or equal allocation to long and short positions, and (2) net-long. The results of this thesis reveal that if a long-short equity manager is able to successfully determine what companies are overvalued and undervalued and actively rebalance their portfolio, perfectly-hedged and net-long strategies can generate superior risk-adjusted alpha. |
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