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%n.a.
May1.06%0.65%n.a.
June-0.93%0.42%n.a.
July2.03%1.20%n.a.
August0.62%0.69%n.a.
September0.64%1.10%n.a.
October-0.72%1.44%n.a.
November0.79%0.66%n.a.
December0.87%0.91%n.a.
Annual2.25%11.58%0.35%
S&P 50011.96%21.83%-0.76%
Lehman Treasury1.04%2.31%-1.18%
Quarterly returns201620172018
1st Quarter-2.40%3.09%0.35%
2nd Quarter0.47%1.96%n.a.
3rd Quarter3.31%3.01%n.a.
4th Quarter0.93%3.05%n.a.
Annual2.25%11.58%0.35%
S&P 50011.96%21.83%-0.76%
Lehman Treasury1.04%2.31%-1.18%
Risk ProfileEdhec Long/Short Equity IndexS&P 500Lehman Treasury
Monthly Std Dev Ann'd6.44%14.37%4.47%
Sharpe Ratio0.260.230.04
Information ratio-0.17n.a.n.a.
Min. Monthly Return-6.75%-16.80%-4.39%
Max. Monthly Return5.16%10.93%5.31%
Mean Monthly Return0.46%0.59%0.34%
Median Monthly Return0.74%1.08%0.40%
Exc. Kurtosis1.321.371.49
Skewness-0.80-0.660.01
% of winning Months66.18%65.22%58.94%
Average Winning Return1.51%2.90%1.15%
% of losing Months33.82%34.78%41.06%
Average Losing Return-1.59%-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 Growth0.830.97-0.34
S&P Mid Cap0.860.92-0.35
S&P Small Cap0.790.86-0.36
Lehman Treasury-0.37-0.351.00
Baa-Aaa-0.03-0.070.05
Chg in Baa - Aaa-0.19-0.120.18
10 years - 3 Months-0.08-0.050.11
Chg in 10 years - 3 Months-0.02-0.03-0.05
VIX-0.43-0.440.27
Chg in VIX-0.61-0.660.20
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.
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