  What is the best market-neutral implementation of classical Equity Factors?
Should one use the specific predictability of the short-leg to build a zero
beta Long-Short portfolio, in spite of the specific costs associated to
shorting, or is it preferable to ban the shorts and hedge the long-leg with --
say -- an index future? We revisit this question by focusing on the relative
predictability of the two legs, the issue of diversification, and various
sources of costs. Our conclusion is that, using the same Factors, a Long-Short
implementation leads to superior risk-adjusted returns than its Hedged
Long-Only counterpart, at least when Assets Under Management are not too large.
