It is very clear they are getting both long and short calls wrong. So they are 200% invested in the market (long and short portfolio) and thus they are getting huge under performance in volatile markets.
There is nothing safe about keeping money in ALF given this exposure to the market and their track record, imo. I think the term 'market neutral' is very deceptive as it implies some kind of safety.
Ann: Change in Portfolio Value, page-5
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