E248 – A Deep Dive on Long-Short Strategies

BMO ETFs: Views from the Desk

In this episode, special guest, Lu Lin, and your host, Zayla Saunders, take a deep dive into long-short strategies—revealing why they believe this new era of liquid alternatives is game changer for investors.

Zayla Saunders is a Senior Associate for Online Distribution at BMO Exchange Traded Funds. She is joined by Lu Lin, Head of Quantitative Investments and Strategic Optimization, at BMO Global Asset Management. The episode was recorded live on Tues, Dec 3, 2024.

ETFs:

• BMO Long Short US Equity ETF (ZLSU)
• BMO Long Short Canadian Equity ETF (ZLSC)

ZLSU, total returns as of 2024/11/30: 1 yr: 32.25%, SI: 30.30%

ZLSC, total returns as of 2024/11/30: 1 yr: 25.14%, SI: 24.02%

150/50 Strategy: A type of investment vehicle, which holds both long and short positions on different equities in the fund. 150% long is constructed by borrowing 50% (shorting) and using the proceeds to buy (long) more security.

Beta: A measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. Usually the market has a beta of 1.0. Stocks with betas higher than 1.0 are interpreted as more volatile than the market, and stocks with betas lower than 1.0 are interpreted as less volatile than the market.

Risk: All investments involve risk. The value of an ETF can go down as well as up and you could lose money. The risk of an ETF is rated based on the volatility of the ETF’s returns using the standardized risk classification methodology mandated by the Canadian Securities Administrators. Historical volatility doesn’t tell you how volatile an ETF will be in the future. An ETF with a risk rating of ​“low” can still lose money. For more information about the risk rating and specific risks that can affect an ETF’s returns, see the BMO ETFs’ prospectus.

Return (risk-adjusted): A measure of investment performance taking into consideration how much risk/volatility was assumed to generate it. Consider two investments, both of which return 10% over a given time period. The investment with the greater risk-adjusted return would be the one that experienced less price fluctuation. Two of the most commonly used measures of risk adjusted returns are Sharpe and Sortino ratios.

Disclaimers:

The viewpoints expressed by the speakers represent their assessment of the markets at the time of publication. Those views are subject to change without notice at any time. This podcast is for information purposes only. The information contained herein is not, and should not be construed as, investment, tax or legal advice to any party. Investments should be evaluated relative to the individual’s investment objectives and professional advice should be obtained with respect to any circumstance.

Any statement that necessarily depends on future events may be a forward-looking statement. Forward-looking statements are not guarantees of performance. They involve risks, uncertainties and assumptions. Although such statements are based on assumptions that are believed to be reasonable, there can be no assurance that actual results will not differ materially from expectations. Investors are cautioned not to rely unduly on any forward-looking statements. In connection with any forward-looking statements, investors should carefully consider the areas of risk described in the most recent prospectus.

All investments involve risk. The value of an ETF can go down as well as up and you could lose money. The risk of an ETF is rated based on the volatility of the ETF’s returns using the standardized risk classification methodology mandated by the Canadian Securities Administrators. Historical volatility doesn’t tell you how volatile an ETF will be in the future. An ETF with a risk rating of “low” can still lose money. For more information about the risk rating and specific risks that can affect an ETF’s returns, see the BMO ETFs’ prospectus.

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