Long-Short Strategies May Not Be Factor-Neutral

On examination of three long-short investment strategies used by investment managers indicates that only the relative return and relative earnings surprise strategies provide significant risk-adjusted in a Fama and French three-factor model. None of the three strategies is size- and BE/ME- netural. This suggests that other simple long-short strategies probabily are not size- and BE/ME- neutral either. Investors, in other words, should not equate long-short portfolios with the absence of systematic risk