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S&P 100 Long/Short Market Neutral Results For August 24, 2017

The long/short market neutral strategy gained 0.41% from the open to the close of Thursday, August 24, 2017.

The market neutral long/short equity strategy is based on features engineered by DLPAL software. The score for ranking the S&P 100 stocks is Pdelta*Significance and considers the top/bottom 10% of the stocks, i.e., 10 long and 10 short. For details see this article.

Results for August 24, 2017

The results are based on the ranking as of the close of the previous trading day. All trades are for the next open.

DLPAL LS has a function that calculates the next day return from open to close based on equal allocation (no leverage) after the historical data for the stocks are updated. In this case the result is +0.41%, which is the return for August 24 based on the results generated by the program after the close of August 23.

Hedge funds can receive a free fully functional license of DLPAL LS valid for a period of two months. For more details click here.


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