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Seasonality strategy: We short 15 stocks with the lowest average returns and buy 15 stocks with the highest average returns based on historical average returns in December from 2009-2020. We analyzed companies included in the S&P 500 index. In our fund we maintain the leverage level of 1.80. Short positions are initially equally weighted. Rank 12. in short position
According to the fund's strategy, we sell short 5 % of the S&P 500 large-cap firms that have the highest p/e ratios (i.e. total 25 firms).