By balancing long positions in equity with short positions of roughly equal dollar amount and market sensitivity, it is possible to construct a portfolio whose return is neutralized against overall market moves. Properly constructed, using an integrated optimization process, a long-short portfolio offers advantages over long-only portfolios in enhanced flexibility to pursue return, control risk, and allocate assets. Any additional costs do not outweigh the benefits of such a strategy.
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Jacobs et al. (1997) studied this question.