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1、Part1.Themainadvantagesanddisadvantagesofalong/shortstrategyAlong/shortequitystrategycombinesbuyinganundervaluedstockandshortsellinganovervaluedstock.Whenthelongpositionoutperformstheshortpositions,totalreturnofthisstrategyispositive.Theconceptoflong/shortstrategycoulddatebackto1949,whentheworld
2、'sfirsthedgefundwasestablished.Andatpresent,long/shortstrategyisamongthemostprevalentstrategiesinthisfield.Accordingtothewaytheyhedgedownsiderisk,long/shortstrategiescouldbegroupedintothreecategories,andIwouldliketodiscussmainadvantagesanddisadvantagesofeachcategory.1.Makelongandshortdirectionbe
3、tsbasedonfundamentalresearches.Buyingsecuritieswhicharesupposedtoriseinpricewhileshort-sellingthosethataresupposedtodeclineinprice.Basically,shortpositionisusedtogenerateadditionalreturns.Inpractice,hedgefundmanagersuseavarietyoffinancialinstrumentsuchasindexoptions,futuresandETFstohedgedownside
4、risk,preventingthenetexposureistoohigh.MainadvantagesComparedwithlong-onlyinvestment,long/shortstrategytakeadvantageofthoseunattractivesecurities.Providedexpectedsecurityreturnsaresymmetricallydistributedaroundthemarketreturn,long/shorttakesfulladvantageofthisspreadofreturns(JacobsandLevy,1996).
5、Totalexcessreturnofalong/shortequityportfoliocomesfromthelongpositionandshortposition.Oncethepriceoftheshortequitydeclined,theshortpositioncontributesapartofprofittotheportfolio.Inaddition,byusinglong/shortstrategies,portfoliomanagersareabletoneutralizeunderlyingmarketrisk.Experiencedhedgefundma
6、nagerstendtoconsiderlongandshortpositionintegrally,becauseintegratedoptimizationallowstheportfoliotocontrolrisksmoreefficiently.Forinstance,therenewableenergystocks’performancesarenegativecorrelatedtothetraditionalcoalandoilstocks’.Bylongingonesectorwhileshort-sellinganother,atalimitedrisklevel,
7、investorscanpursuehigherreturns.MaindisadvantagesIfthemanagerwronglypredictdirections,thelossescouldpossiblybesignificant.Riskfromlongpositionislimitedsincethestockpricescannotbeunderzero;however,riskfromshortpositionissomet
