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GZIFF020.pdf
Article Title : An Empirical Analysis of the Performances of the Long/Short Equity Funds and the FTSE All Share Index Tracker Fund in UK
Author(s) : Xiaoxi Li
Corresponding Author : Xiaoxi Li
Keywords : Long/Short Equity Funds; Bootstrap; Portfolio Level and Fund Level; The UK Market.
PDF : http://download.BCPub.org/proceedings/2020/GZIFF2020/GZIFF020.pdf
Abstract

By comparing the selected 63 Long/Short equity funds in UK with the FTSE all share index tracker fund, we have found that most of the Long/Short equity funds have shown weak returns correlation with the FTSE all share index tracker fund. At the single fund level, we can conclude that among our 63 Long/Short equity funds, at least 22 of the Long/Short equity funds (single funds in the 7-year portfolio during 28/06/2010 to 30/06/2017) cannot deliver a significant alpha. Our analysis on the UK Long/Short equity funds shows that it is more possible for Long/Short equity funds to benefit from the beta effect of the market factor portfolios, instead of earning abnormal returns through managers’ picking mis-priced stocks.

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