In the first of this series of two articles, the case was made for market neutral investing. The central arguments included double alpha, flexibility to diversify risk, an increased opportunity set and most importantly, superior information rations. Theoretical evidence, Monte Carlo simulations and empirical results all highlighted opportunities to improve performance through an institutional market neutral strategy. As the previous article suggested, long-short mangers and active, long-only managers share many similarities; their methods of portfolio construction reinforce this point. This article discusses the construction of market neutral portfolios using the new long-short optimization feature in the Aegis Portfolio Manager (tm). We also compare different long-short construction methods to demonstrate the added value of this new feature.
Publication:
Authors: LEJONVARN Jason, LEKANDER Claes
