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1、Part1.Themainadvantagesanddisadvantagesofalong/shortstrategyAlong/shortequitystrategycombinesbuyinganundervaluedstockandshortsellinganovervaluedstock.Whenthelongpositionoutperformstheshortpositions,totalreturnofthisstrategyispositive.Theconceptoflong/shortstrategycoulddatebackto1949,whenthewo
2、rld'sfirsthedgefundwasestablished.Andatpresent,long/shortstrategyisamongthemostprevalentstrategiesinthisfield.Accordingtothewaytheyhedgedownsiderisk,long/shortstrategiescouldbegroupedintothreecategories,andIwouldliketodiscussmainadvantagesanddisadvantagesofeachcategory.1.Makelongandshortdirec
3、tionbetsbasedonfundamentalresearches.Buyingsecuritieswhicharesupposedtoriseinpricewhileshort-sellingthosethataresupposedtodeclineinprice.Basically,shortpositionisusedtogenerateadditionalreturns.Inpractice,hedgefundmanagersuseavarietyoffinancialinstrumentsuchasindexoptions,futuresandETFstohedg
4、edownsiderisk,preventingthenetexposureistoohigh.MainadvantagesComparedwithlong-onlyinvestment,long/shortstrategytakeadvantageofthoseunattractivesecurities.Providedexpectedsecurityreturnsaresymmetricallydistributedaroundthemarketreturn,long/shorttakesfulladvantageofthisspreadofreturns(Jacobsan
5、dLevy,1996).Totalexcessreturnofalong/shortequityportfoliocomesfromthelongpositionandshortposition.Oncethepriceoftheshortequitydeclined,theshortpositioncontributesapartofprofittotheportfolio.Inaddition,byusinglong/shortstrategies,portfoliomanagersareabletoneutralizeunderlyingmarketrisk.Experie
6、ncedhedgefundmanagerstendtoconsiderlongandshortpositionintegrally,becauseintegratedoptimizationallowstheportfoliotocontrolrisksmoreefficiently.Forinstance,therenewableenergystocks’performancesarenegativecorrelatedtothetraditionalcoalandoilstocks’.Bylongingonesectorwhileshort-sellinganother,at
7、alimitedrisklevel,investorscanpursuehigherreturns.MaindisadvantagesIfthemanagerwronglypredictdirections,thelossescouldpossiblybesignificant.Riskfromlongpositionislimitedsincethestockpricescannotbeunderzero;however,riskfromshortpositionissomet
