Ann: Net Tangible Asset Backing, page-51

Pretty cushy setup. Benchmark is effectively risk free Govt bond rate. Yet have at times they have had close to 200% direct market exposure. This is an key issue with market neutral funds that people don't understand. If they screw up both their long and short portfolio, you can generate double the losses of a long only fund.

Given their track record, I suspect this is big reason why the gap is only widening. They are getting both sides of the bet wrong very regularly and so the downside could be double a regular fund or a regular hedge fund.