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1、April17,2009GlobalPortfolioAnalysisGlobalPortfolioAnalysisWhyShortsAren’tLongs:Stockpicker’sRealityPartIVStevenStronginThispaperisthefourthinaseriesexaminingthedynamicsofstock(212)357-4706
2、steve.strongin@gs.compicking.ItaddressesthequestionofwhatmakesshortinvestingGoldman,
3、Sachs&Co.differentfromlonginvesting,andhoweachlegofaportfolioshouldbeAleksandarTimcenkomanaged.(212)357-7628
4、aleksandar.timcenko@gs.comGoldman,Sachs&Co.Wefindthatanaccurateviewofforwardfundamentalsisequallyvaluableintheconstructionofbothlongandshortequityportfolios.LewisSe
5、galYettheflowofinformationaboutfundamentalsisdifferentforlongs(212)357-4322
6、lewis.segal@gs.comandshorts–goodnewsarrivessoonerandinanorderlyfashion,whileGoldman,Sachs&Co.badnewscomestomarketmuchlaterinbursts.Goodlongsthereforetendtogeneratereturnsovertime,whilegoodshortsten
7、dtogeneratereturnsallatonce.Incontrasttoequityspecificnewsflow,goodandbadmacroeconomicnewscomestomarketandgetspricedinatasimilarrate.Asaresult,werecommendthatshortportfoliosbecomprisedofmoreandsmallerpositionsthanlongportfolios,assimplediversificationforshortsismoreeffecti
8、vetheneitherconcentrationoractivepositionmanagement.Managerswhotakeconcentratedshortpositionsarelikelytobenefitfromactivism–actionsthatbringvalidnegativeinformationtomarketquickly.Additionally,theorderlyandreinforcingflowofgoodinformationmakespricemomentumimportantforlongs
9、butitshouldnotbeusedasasignalforshorts.Averagereturnprofilesofgoodlongsandgoodshortsshowdifferentpricingdynamicsoffundamentalnews:earlyandgradualforgoodnews,laterandmorerapidforbadnews150%Goodnewsispricedearlierandmoregraduallythanbadnews100%Goodlongsarecharacterizedbyshor
10、terflat(deliberation)50%periodsfollowedbylongerperiodsofpriceappreciation0%Goodshortsarecharacterizedby-50%longerflat(deliberation)periodsSector-hedgedstockreturns(annualized)followedbyshorterperiodsofpricedepreciation-100%020406080100120140CalendardaysGoldmanSachsResearch
11、.TheGoldmanSachsGroup,Inc.doesandseekstodobusinesswithcompaniescoveredinitsresearchreport
