Blitz: 100% long by 60% short is optimal long/short equity exposure
Adam Blitz · Hedge Fund Master Class – Craig Bergstrom, Adam Blitz, and Dan Fagan (Capital Allocators, EP.318) · May 29, 2023 · at 50:31
Adam Blitz of Evanston Capital Management outlines target portfolio construction parameters for fundamental equity managers.
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“So there's kind of a sweet spot in the middle where there's enough exposure and let's call this a hundred long by 60 short as sort of a sweet spot, if you will. Depends a little on the volatility and dispersion of the area. You can probably go a little lower than that in higher volatility sectors, maybe a little higher and lower volatility sectors, but that's a sweet spot where the stock picking can be rewarded on a net of fee basis, but you're not taking so much risk that you face that margin call risk.”
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