So to submit to the contest, one of the risk criteria is to have the neutral net dollar exposure.
Also, as the short positions amount just like long positions, takes asset allocation, what is the point of being neutral in cash unless it gives us the advantage of being able to execute the idea with no cash in hand?
As the asset classes in general inflates with the interest rate, I find it harder to profit from the short positions than from the long positions.
That being said, are the contest algorithms expected to beat the SPY benchmark? Or does it put more emphasis on risk management as long/short strategy arguable can handle the market crash better than long only strategy?
