{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T12:52:49Z","timestamp":1791550369056,"version":"4.3.4"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Long-short strategies can exhibit exceptional monthly Sharpe ratios, yet their performance deteriorates sharply at longer horizons. Across anomaly and machine-learning portfolios, we document a strong positive relation between monthly Sharpe ratios and long-horizon variance ratios: strategies that perform best at short horizons accumulate risk fastest over time. This pattern arises primarily because the correlation between long and short legs declines with the horizon, undermining the risk reduction from their high monthly correlation. A factor decomposition links this deterioration to high-variance-ratio factors with opposite-signed exposures that also account for much of long-short expected returns. Monthly performance can therefore substantially overstate longer-horizon risk-adjusted performance.<\/jats:p>","DOI":"10.2139\/ssrn.7588158","type":"posted-content","created":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T12:07:16Z","timestamp":1791547636000},"source":"Crossref","is-referenced-by-count":0,"title":["The Performance Advantage of Long-Short Strategies Fades with the Investment Horizon"],"prefix":"10.2139","author":[{"given":"Adam","family":"Farago","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Erik","family":"Hjalmarsson","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T12:07:17Z","timestamp":1791547637000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7588158"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7588158","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}