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HB,
I would assume that if one had a productive Long & Short system that
the following example would be more or less appropriate.
If the long only system produced 40% CAR or you had 1.4 x the equity
on an annual basis then the long & short system should produce 1.4 ^
2 or 1.96 or 96% CAR. This is probably not an entirely accurate
example as over very long periods of time, markets tend to go up more
then 60+% of the time.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "HB" <hossamb@xxxx> wrote:
> Hello all,
>
> How much less performance would one expect out of a long-only
system vs. one that goes either way ? Any way to quantify this or
even approximate ?
>
> I'm not here to discuss the merits of a long & short system (I
already know that), I'm just interested in how much of a performance
degradation there is.
>
> HB
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