Long/Short Equity funds invest in both long and short equity portfolios. They do not seek a permanently neutral position in terms of market risk (beta or dollar – neutral), even though that may occur temporarily, when the manager has no “feel” for the market.

Long/Short Equity funds may switch from a long net position to a short net position, carry out arbitrage between cyclical stocks and growth stocks, or large capitalization firms and more modest-sized firms, etc. The investments generally concern regional stocks, or, more often, very specific sectors.

Since Long / Short Equity funds generate a large part of their profits thanks to their long bias, Long/Short Equity may be regarded as a Directional strategy. Long / Short Equity funds may use leverage to enhance returns. As a result, Long / Short Equity funds are generally characterized by a relatively high return and a significant correlation with major stock indexes. Consequently, Long/Short Equity funds may be used as “Return Enhancers” in portfolios

Monthly returns201620172018
January-3.24%1.28%2.42%
February-0.95%1.00%-1.55%
March1.84%0.78%-0.48%
April0.34%0.88%0.49%
May1.06%0.65%1.08%
June-0.93%0.42%-0.47%
July2.03%1.20%0.67%
August0.62%0.69%0.35%
September0.64%1.10%-0.23%
October-0.72%1.44%n.a.
November0.79%0.66%n.a.
December0.87%0.91%n.a.
Annual2.25%11.58%2.25%
S&P 50011.96%21.83%10.56%
Lehman Treasury1.04%2.31%-1.67%
Quarterly returns201620172018
1st Quarter-2.40%3.09%0.35%
2nd Quarter0.47%1.96%1.10%
3rd Quarter3.31%3.01%0.79%
4th Quarter0.93%3.05%n.a.
Annual2.25%11.58%2.25%
S&P 50011.96%21.83%10.56%
Lehman Treasury1.04%2.31%-1.67%
Risk ProfileEdhec Long/Short Equity IndexS&P 500Lehman Treasury
Monthly Std Dev Ann'd6.35%14.20%4.43%
Sharpe Ratio0.260.260.01
Information ratio-0.22n.a.n.a.
Min. Monthly Return-6.75%-16.80%-4.39%
Max. Monthly Return5.16%10.93%5.31%
Mean Monthly Return0.46%0.62%0.33%
Median Monthly Return0.67%1.08%0.40%
Exc. Kurtosis1.421.471.52
Skewness-0.80-0.690.03
% of winning Months66.20%66.20%58.69%
Average Winning Return1.49%2.86%1.13%
% of losing Months33.80%33.80%41.31%
Average Losing Return-1.55%-3.75%-0.81%
Correlation AnalysisEdhec Long/Short Equity IndexS&P 500Lehman Treasury
S&P 5000.831.00-0.35
S&P 500 Value0.800.97-0.35
S&P 500 Growth0.820.97-0.33
S&P Mid Cap0.860.92-0.34
S&P Small Cap0.790.86-0.35
Lehman Treasury-0.36-0.351.00
Baa-Aaa-0.02-0.080.06
Chg in Baa - Aaa-0.19-0.120.17
10 years - 3 Months-0.08-0.060.12
Chg in 10 years - 3 Months-0.02-0.03-0.04
VIX-0.42-0.440.27
Chg in VIX-0.60-0.660.20
in %CSFBHFRHF NetBarclayCISDMAltvest
2006 Q216.2%17.0%17.0%16.9%15.9%17.1%
2006 Q316.3%16.9%17.0%16.8%15.9%17.0%
2006 Q416.5%16.9%16.9%16.8%15.9%17.0%
2007 Q116.6%16.9%17.0%16.7%15.8%17.0%
2007 Q216.6%16.9%17.0%16.8%15.7%17.0%
2007 Q316.5%16.9%17.0%16.7%15.8%17.0%
2007 Q416.5%16.9%17.0%16.7%15.8%17.0%
2008 Q116.4%16.7%16.8%16.6%16.7%16.8%
2008 Q216.5%16.7%16.8%16.6%16.7%16.8%
2008 Q316.5%16.7%16.8%16.6%16.7%16.8%
2008 Q416.6%16.7%16.8%16.6%16.7%16.7%
2009 Q116.6%16.6%16.8%16.6%16.6%16.7%
2009 Q216.6%16.6%16.8%16.6%16.6%16.7%
2009 Q316.5%16.6%16.8%16.7%16.6%16.7%
2009 Q416.6%16.6%16.8%16.7%16.6%16.7%
2010 Q116.6%16.6%16.8%16.7%16.6%16.7%
2010 Q216.6%16.6%16.8%16.7%16.6%16.7%
2010 Q316.6%16.6%16.8%16.6%16.6%16.7%
2010 Q416.6%16.6%16.8%16.6%16.6%16.7%
2011 Q116.6%16.6%16.8%16.6%16.6%16.7%
2011 Q216.6%16.6%16.8%16.6%16.6%16.7%
2011 Q316.6%16.6%16.8%16.6%16.6%16.7%
2011 Q416.6%16.6%16.8%16.6%16.6%16.7%
2012 Q116.6%16.7%16.8%16.6%16.6%16.8%
2012 Q219.9%20.0%20.1%20.0%20.0%n.a.
2012 Q320.0%20.0%20.1%19.9%20.0%n.a.
2012 Q420.0%20.0%20.1%19.9%20.0%n.a.
2013 Q120.0%20.0%20.1%19.9%20.0%n.a.
2013 Q220.0%20.0%20.1%19.9%20.0%n.a.
2013 Q320.0%20.0%20.1%19.9%20.0%n.a.
2013 Q420.0%20.0%20.1%19.9%20.0%n.a.
2014 Q120.0%20.0%20.1%19.9%20.0%n.a.
2014 Q220.0%20.0%20.1%20.0%20.0%n.a.
2014 Q320.0%20.0%20.1%20.0%20.0%n.a.
2014 Q419.9%20.0%20.1%20.0%20.0%n.a.
2015 Q119.9%20.0%20.1%19.9%20.1%n.a.
2015 Q219.7%20.0%20.2%20.0%20.1%n.a.
2015 Q319.6%19.8%20.4%20.0%20.2%n.a.
2015 Q419.5%19.7%20.4%20.1%20.2%n.a.
2016 Q119.5%19.7%20.4%20.1%20.3%n.a.
2016 Q219.4%19.6%20.5%20.1%20.4%n.a.
2016 Q319.3%19.5%20.6%20.2%20.4%n.a.
2016 Q419.1%19.5%20.6%20.3%20.5%n.a.
2017 Q118.9%19.5%20.7%20.3%20.6%n.a.
2017 Q218.8%19.5%20.8%20.3%20.6%n.a.
2017 Q318.5%19.6%20.9%20.4%20.6%n.a.
2017 Q418.4%19.6%20.9%20.4%20.6%n.a.
2018 Q118.4%19.7%20.9%20.5%20.5%n.a.
2018 Q218.7%19.8%20.7%20.5%20.4%n.a.
2018 Q318.6%20.0%20.7%20.5%20.2%n.a.
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