RT Journal Article SR Electronic T1 Long-Short Strategies may not be Factor-Neutral JF The Journal of Investing FD Institutional Investor Journals SP 44 OP 53 DO 10.3905/joi.2004.434550 VO 13 IS 3 A1 Susana Yu A1 Joel Rentzler A1 Avner Wolf YR 2004 UL https://pm-research.com/content/13/3/44.abstract AB This is an examination of three long-short investment strategies that may be used by investment managers. The factor strategy is long in small size and high book-equity/market equity (BE/ME) stocks and short in large size and low BE/ME stocks. The relative return strategy is long in stocks with the highest past returns and short in stocks with the lowest past returns. The relative earnings surprise strategy is long in stocks with the greatest (positive) earnings surprise and short in stocks with the worst earnings surprise. Only the relative return and relative earnings surprise strategies provide significant risk-adjusted returns; none of the three strategies is size and BE/ME-neutral. This suggests that other simple long-short strategies probably are not size and BE/ME-neutral. Investors should not equate long/short portfolios with the absence of systematic risk.