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1、Parti.Themainadvantagesanddisadvantagesofalong/shortstrategyAlong/shortequitystrategycombinesbuyinganundervaluedstockandshortsellinganovervaluedstock・Whenthelongpositionoutperfoimstheshortpositions,totalreturnofthisstrategyispositive.TheconceptofIong/shortstrategycoulddatebackto1949,whentheworldsf
2、irsthedgefundwasestablished.Andatpresent,long/shortstrategyisamongthemostprevalentstrategiesinthisfield.Accordingtothewaytheyhedgedownsiderisk,long/shortstrategiescouldbegroupedintothreecategories,andIwouldliketodiscussmainadvantagesanddisadvantagesofeachcategory.LMakelongandshortdirectionbetsbase
3、donfundamentalresearches.Buyingsecuritieswhicharesupposedtoriseinpricewhileshort-sellingthosethataresupposedtodeclineinprice.Basically,shortpositionisusedtogenerateadditionalreturns・Inpractice,hedgefundmanagersuseavarietyoffinancialinstrumentsuchasindexoptions,futuresandETFstohedgedownsiderisk,pre
4、ventingthenetexposureistoohigh・MainadvantagesComparedwithIong-onlyinvestment,long/shortstrategytakeadvantageofthoseunattractivesecurities・Providedexpectedsecurityreturnsaresymmetricallydistributedaroundthemarketreturn,long/shorttakesfulladvantageofthisspreadofreturns(JacobsandLevy,1996).Totalexces
5、sreturnofaIong/shortequityportfoliocomesfromthelongpositionandshortposition.Oncethepriceoftheshortequitydeclined,theshortpositioncontributesapartofprofittotheportfolio.Inaddition,byusinglong/shortstrategies,portfoliomanagersareabletoneutralizeunderlyingmarketrisk.Experiencedhedgefundmanagerstendto
6、considerlongandshortpositionintegrally,becauseintegratedoptimizationallowstheportfoliotocontrolrisksmoreefficiently・Forinstance,therenewableenergystocks5performancesarenegativecorrelatedtothetraditionalcoalandoilstocksBylongingonesectorwhileshort-sellinganother,atalimitedrisklevel,investorscanpur
7、suehigherreturns.MaindisadvantagesIfthemanagerwronglypredictdirections,thelossescouldpossiblybesignificant・Riskfromlongpositionislimitedsincethestockpricescannotbeunderzero;however,riskfromshortpositionissometime
