Short Selling funds sell securities short in anticipation of being able to buy them back in the future at a lower price. The manager estimates that the securities, or the market, are overvalued or anticipates earnings disappointments, often due to accounting irregularities, new competition, change of management, etc.

Short Selling funds are often used as a hedge to offset long-only portfolios and by those who feel that the market is approaching a bearish cycle.

Short Selling funds are by nature strongly exposed to extreme risks since their short positions present infinite loss potential. As a result, short selling is strictly regulated and should be regarded with caution.

Short Selling is a Directional strategy generally characterized by relatively volatile returns and a significant correlation with major stock indexes Due to their short bias Short Selling funds may be used as “Risk Diversifiers” in portfolios.

Monthly returns201620172018
January7.46%-3.56%11.22%
February1.40%-6.72%-1.18%
March-6.05%-2.71%0.56%
April-2.00%-1.65%n.a.
May-1.93%-1.21%n.a.
June1.73%-3.02%n.a.
July-5.92%-2.32%n.a.
August-3.98%-0.03%n.a.
September-1.48%-6.52%n.a.
October2.11%-9.90%n.a.
November-3.01%-0.08%n.a.
December-0.08%0.43%n.a.
Annual-11.85%-31.93%10.52%
S&P 50011.96%21.83%-0.76%
Lehman Treasury1.04%2.31%-1.18%
Quarterly returns201620172018
1st Quarter2.38%-12.48%10.52%
2nd Quarter-2.23%-5.77%n.a.
3rd Quarter-11.00%-8.71%n.a.
4th Quarter-1.04%-9.58%n.a.
Annual-11.85%-31.93%10.52%
S&P 50011.96%21.83%-0.76%
Lehman Treasury1.04%2.31%-1.18%
Risk ProfileEdhec Short Selling IndexS&P 500Lehman Treasury
Monthly Std Dev Ann'd13.25%14.37%4.47%
Sharpe Ratio-0.640.230.04
Information ratio-0.45n.a.n.a.
Min. Monthly Return-9.91%-16.80%-4.39%
Max. Monthly Return11.70%10.93%5.31%
Mean Monthly Return-0.39%0.59%0.34%
Median Monthly Return-0.90%1.08%0.40%
Exc. Kurtosis0.501.371.49
Skewness0.46-0.660.01
% of winning Months42.51%65.22%58.94%
Average Winning Return3.07%2.90%1.15%
% of losing Months57.49%34.78%41.06%
Average Losing Return-2.95%-3.75%-0.81%
Correlation AnalysisEdhec Short Selling IndexS&P 500Lehman Treasury
S&P 500-0.841.00-0.35
S&P 500 Value-0.810.97-0.35
S&P 500 Growth-0.820.97-0.34
S&P Mid Cap-0.860.92-0.35
S&P Small Cap-0.820.86-0.36
Lehman Treasury0.38-0.351.00
Baa-Aaa0.01-0.070.05
Chg in Baa - Aaa0.16-0.120.18
10 years - 3 Months0.02-0.050.11
Chg in 10 years - 3 Months0.00-0.03-0.05
VIX0.36-0.440.27
Chg in VIX0.58-0.660.20
in %CSFBHennesseeHFRHF NetBarclayGreenwich
2006 Q219.1%18.3%19.0%19.4%19.6%19.5%
2006 Q316.1%16.3%16.7%16.8%17.0%17.1%
2006 Q416.0%16.1%16.6%17.0%17.2%17.0%
2007 Q116.0%16.2%16.4%17.1%17.3%17.1%
2007 Q215.9%16.2%16.3%17.1%17.4%17.1%
2007 Q315.8%16.3%16.3%17.1%17.4%17.1%
2007 Q415.7%16.3%16.2%17.3%17.4%17.2%
2008 Q115.6%16.2%16.3%17.4%17.4%17.1%
2008 Q214.9%16.7%16.5%17.3%17.3%17.3%
2008 Q315.1%16.1%16.8%17.3%17.3%17.4%
2008 Q413.5%16.5%17.2%17.7%17.6%17.5%
2009 Q114.2%16.8%17.1%17.5%17.3%17.2%
2009 Q214.4%16.9%17.1%17.5%17.0%17.1%
2009 Q315.2%16.7%17.0%17.3%16.8%17.0%
2009 Q415.3%16.8%16.9%17.3%16.8%16.9%
2010 Q115.3%16.8%17.0%17.3%16.8%16.8%
2010 Q215.5%16.8%17.0%17.2%16.8%16.6%
2010 Q315.6%16.8%17.1%17.2%16.8%16.5%
2010 Q415.8%16.8%17.1%17.2%16.7%16.5%
2011 Q115.8%16.7%17.1%17.3%16.7%16.4%
2011 Q215.9%16.7%17.1%17.3%16.7%16.3%
2011 Q315.8%17.0%17.1%17.3%16.6%16.2%
2011 Q416.8%16.8%16.7%17.0%16.5%16.3%
2012 Q116.9%16.6%16.4%17.1%16.7%16.2%
2012 Q216.9%16.6%16.4%17.1%16.8%16.2%
2012 Q316.8%16.7%16.3%17.1%16.9%16.2%
2012 Q416.8%16.7%16.3%17.1%16.9%16.1%
2013 Q116.7%16.7%16.3%17.1%16.9%16.2%
2013 Q216.7%16.7%16.3%17.0%16.8%16.4%
2013 Q316.7%16.7%16.3%16.9%16.8%16.6%
2013 Q416.8%16.4%16.5%16.4%17.1%16.7%
2014 Q116.8%16.4%16.6%16.2%17.2%16.7%
2014 Q216.8%16.5%16.6%16.2%17.2%16.7%
2014 Q316.7%16.5%16.7%16.1%17.2%16.7%
2014 Q420.1%n.a.20.2%18.7%21.0%20.0%
2015 Q120.0%n.a.21.0%18.3%21.0%19.7%
2015 Q220.3%n.a.21.3%17.3%21.3%19.7%
2015 Q320.5%n.a.22.4%14.3%21.6%21.3%
2015 Q423.4%n.a.24.7%3.4%24.1%24.5%
2016 Q125.2%n.a.26.2%-3.9%26.0%26.5%
2016 Q227.3%n.a.27.7%-12.3%28.1%29.2%
2016 Q328.0%n.a.29.1%-17.6%29.6%31.0%
2016 Q442.1%n.a.40.7%-28.5%n.a.45.7%
2017 Q141.8%n.a.40.4%-27.6%n.a.45.4%
2017 Q2n.a.n.a.84.5%-72.3%n.a.87.8%
2017 Q3n.a.n.a.87.0%-77.3%n.a.90.2%
2017 Q4n.a.n.a.87.4%-77.6%n.a.90.2%
2018 Q1n.a.n.a.85.2%-73.4%n.a.88.1%
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