In general I agree JustBob, however, you must also take into...

In general I agree JustBob,

however, you must also take into consideration that selling short costs money, roughly the going interest rate. If the same amount is held in cash then the real cost is the difference between what interest you get for your cash and what you are paying to go short. I doubt that ever gets to be a positive differential as banks and others take their cut.

I have always considered ALF as a stock picking LIC. They have been good at it since float.

In declaring my position in ALF, I sold all when they were at a 20% premium to NTA (1.70) and swapped to WMK who were at nearly a 10% discount (0.88-0.90). ALF was market neutral at the time. I will swap back at some time when the market upside looks good or the NTA discount/premiums are in ALF's favour. I want to have their stock picking ability in my portfolio of stock pickers.