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Financial Analysts Journal Volume 53, 1997 - Issue 3
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FEATURE ARTICLES

Comparisons and Combinations of Long and Long/Short Strategies

John S. Brush John S. Brush is president of Columbine Capital Services in Colorado Springs, Colorado.
Pages 81-89 | Published online: 02 Jan 2019

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Roger Clarke, Harindra de Silva & Steven Thorley. (2005) Performance Attribution and the Fundamental Law. Financial Analysts Journal 61:5, pages 70-83.
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Roger Clarke, Harindra de Silva & Steven Thorley. (2002) Portfolio Constraints and the Fundamental Law of Active Management. Financial Analysts Journal 58:5, pages 48-66.
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Richard C. Grinold & Ronald N. Kahn. (2000) The Efficiency Gains of Long–Short Investing. Financial Analysts Journal 56:6, pages 40-53.
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Bruce I. Jacobs, Kenneth N. Levy & David Starer. (1998) On the Optimality of Long–Short Strategies. Financial Analysts Journal 54:2, pages 40-51.
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Articles from other publishers (25)

Marie Brière & Ariane Szafarz. 2017. Factor Investing. Factor Investing 25 45 .
Greg Filbeck, Hunter M. Holzhauer & Xin Zhao. (2014) Using Social Responsibility Ratings to Outperform the Market: Evidence from Long-Only and Active-Extension Investment Strategies . The Journal of Investing 23:1, pages 79-96.
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Hunter M. Holzhauer. 2013. Alternative Investments. Alternative Investments 453 474 .
Martin L. Leibowitz, Simon Emrich & Anthony BovaMartin L. Leibowitz & Anthony Bova. 2008. Modern Portfolio Management. Modern Portfolio Management 429 466 .
Martin L. Leibowitz, Simon Emrich & Anthony BovaRoger G. Clarke, Harindra de Silva & Steven Sapra. 2008. Modern Portfolio Management. Modern Portfolio Management 323 341 .
Martin L. Leibowitz, Simon Emrich & Anthony BovaRichard C. Grinold & Ronald N. Kahn. 2008. Modern Portfolio Management. Modern Portfolio Management 297 321 .
Martin L. Leibowitz, Simon Emrich & Anthony BovaBruce I. Jacobs, Kenneth N. Levy & David Starer. 2008. Modern Portfolio Management. Modern Portfolio Management 267 295 .
Martin L. Leibowitz, Simon Emrich & Anthony BovaAnthony Bova & Martin Leibowitz. 2008. Modern Portfolio Management. Modern Portfolio Management 9 43 .
Andrew W. Lo & Pankaj N. Patel. (2008) 130/30. The Journal of Portfolio Management 34:2, pages 12-38.
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Peter Xu. (2007) Does Relaxing the Long-Only Constraint Increase the Downside Risk of Portfolio Alphas?. The Journal of Investing 16:1, pages 43-50.
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Renato Staub. (2006) Are you about to handcuff your information ratio?. Journal of Asset Management 7:5, pages 358-370.
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So‐de Shyu, Yi Jeng, W.H. Ton, Kon‐jung Lee & H.M. Chuang. (2006) Taiwan multi‐factor model construction: equity market neutral strategies application. Managerial Finance 32:11, pages 915-947.
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Roger G. Clarke, Harindra de Silva & Steven Sapra. (2004) Toward More Information-Efficient Portfolios. The Journal of Portfolio Management 31:1, pages 54-63.
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Susana Yu & Avner Wolf. (2003) Empirical Study on Price Momentum Strategy for Long, Short, and Long/Short Equity Portfolios. The Journal of Wealth Management 6:1, pages 73-87.
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Francis Milner & Ed Vos. (2003) Private Equity. The Journal of Alternative Investments 5:4, pages 51-65.
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Susana Yu & Avner Wolf. (2003) An Examination of Average Returns, Dispersion of Average Returns, and Bid-Ask Quotes. The Journal of Wealth Management 5:4, pages 23-36.
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FRANÇOISE CHARPIN & DOMINIQUE LACAZE. (2011) THE EFFICIENT FRONTIER OF LONG-SHORT PORTFOLIOS. International Journal of Theoretical and Applied Finance 05:07, pages 737-756.
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Alexander M. Ineichen. (2002) Who's Long? Market-Neutral versus Long/Short Equity. The Journal of Alternative Investments 4:4, pages 62-69.
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Richard M. Ennis. (2001) The Case for Whole-Stock Portfolios. The Journal of Portfolio Management 27:3, pages 17-26.
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Vassilios N. Karavas. (2000) Alternative Investments in the Institutional Portfolio. The Journal of Alternative Investments 3:3, pages 11-25.
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Gordon J. Alexander. (2000) On Back‐Testing “Zero‐Investment” Strategies. The Journal of Business 73:2, pages 255-278.
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Clarence C.Y. Kwan. (1999) A note on market-neutral portfolio selection. Journal of Banking & Finance 23:5, pages 773-800.
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Steven Thorley. (2001) Portfolio Constraints and the Fundamental Law of Active Management. SSRN Electronic Journal.
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Marie Briere & Ariane Szafarz. (2017) Factor Investing: The Rocky Road from Long Only to Long Short. SSRN Electronic Journal.
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Alex Frino, Elvis Jarnecic & Abhishek Das. (2008) The Performance of the 130/30 Strategy in the Australian Equities Market. SSRN Electronic Journal.
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