The short end of the long / short ratio has been much maligned. In July, for instance, shorts shorts subtracted -5.1% from hedge fund performance, according to a Morgan Stanley Prime Brokerage report out Thursday. Five of the last six months the short end of the long / short ratio was negative. But while longs have outperformed, the contribution of short alpha has been under-represented in performance attribution. Don’t be dissuaded by poor recent performance, “short alpha might start looking better” the Prime Brokerage report concluded in a report titled “Reconsidering Shorts: More Alpha than Meets the Eye?”. Also see…
Hedge Fund Shorts – More Alpha than Meets the Eye?
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.