PT - JOURNAL ARTICLE AU - Susana Yu AU - Joel Rentzler AU - Avner Wolf TI - Long-Short Strategies may not be Factor-Neutral AID - 10.3905/joi.2004.434550 DP - 2004 Aug 31 TA - The Journal of Investing PG - 44--53 VI - 13 IP - 3 4099 - https://pm-research.com/content/13/3/44.short 4100 - https://pm-research.com/content/13/3/44.full 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.