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Article

Do Long–Short and Market Neutral Mutual Funds Sail on an Even Keel?

John Adams, Parvez Ahmed and Sudhir Nanda
The Journal of Investing Winter 2017, 26 (4) 69-80; DOI: https://doi.org/10.3905/joi.2017.26.4.069
John Adams
is an associate professor of finance at the University of Texas at Arlington in Arlington, TX.
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Parvez Ahmed
is a professor of finance at the University of North Florida Coggin College of Business in Jacksonville, FL
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Sudhir Nanda
is a portfolio manager at T. Rowe Price Associates, Inc., in Baltimore, MD
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Abstract

Long–short and market neutral funds seek superior risk-adjusted returns while limiting their exposure to stock market risk. Over the 1999 to 2013 period, the number of funds with these investment objectives increased by more than 700%. Despite their growing popularity, the authors find that long–short and market neutral funds deliver lower risk-adjusted returns than U.S. Treasuries. Their investigation also reveals that the returns of both types of funds are positively and significantly correlated with the stock market. However, both fund types perform better in down markets. Finally, the authors report that market neutral funds outperform long–short funds.

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Do Long–Short and Market Neutral Mutual Funds Sail on an Even Keel?
John Adams, Parvez Ahmed, Sudhir Nanda
The Journal of Investing Nov 2017, 26 (4) 69-80; DOI: 10.3905/joi.2017.26.4.069

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Do Long–Short and Market Neutral Mutual Funds Sail on an Even Keel?
John Adams, Parvez Ahmed, Sudhir Nanda
The Journal of Investing Nov 2017, 26 (4) 69-80; DOI: 10.3905/joi.2017.26.4.069
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  • Article
    • Abstract
    • DESCRIPTION OF LONG–SHORT AND MARKET NEUTRAL FUNDS
    • MEASURING PERFORMANCE VARIABLES
    • DETERMINANTS OF FUND PERFORMANCE
    • CONCLUSIONS
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