“Marketfield will rarely, if ever, commit enough to its short holdings that it will achieve positive returns when the entire market heads south; however, it was enough to limit them to about a 13% loss in 2008,” he says.

Making choices among funds can be hard simply because the performance is all over the place. Some Morningstar category choices have 17% returns over the past five years, while others can be in the single digits or negative.

Dan Roe, the chief investment officer of Budros, Ruhlin & Roe in Columbus, Ohio, says altogether the risk parameters among long-short funds are so different that they can hardly be considered one strategy. Because the managers have so much discretion over what’s long and what’s short, it can cause a huge disparity in returns.

“For instance, I could be very satisfied with one [long-short] manager that achieves a 5% return but disappointed with another that returns 8% if they are assuming very different amounts of market exposure or risk,” Roe says. “Net market exposure explains so much about performance but is not always the topic of conversation when performance is being reviewed.”

“Let beta guide the way,” says Charney. “Generally, you can gauge some of that disparity a little bit just by looking at the fund’s overall beta. So if the beta is low, like in the 0.4 range, you should definitely expect it over the last couple of years to underperform a fund that has a beta of 0.6 or 0.7.

The Wasatch Long/Short Investor fund, for example, is a $2.8 billion long-short equity fund that has done phenomenally just because its short exposure is down to about 12%, he says, so the long side is bigger. But it’s important to ask, what is the beta on a fund and is the beta going to remain constant over the next couple of years?

“Some funds like [Robeco Boston Partners L/S Equity] generally keeps the beta at 0.4-0.5—so, very consistent,” says Charney, “where some funds like Wasatch will move it around pretty substantially from one side of the extreme to the other. So that’s something to keep an eye out on.”

James Bishop, director of national and institutional sales at Diamond Hill Capital Management in Columbus, Ohio, says the firm’s Diamond Hill Long-Short fund, which has been around 14 years and shorting for about 12, uses a fundamental strategy that looks at companies’ intrinsic value and the premium it’s trading at, then takes long or short bets accordingly. It’s up 52% for the five years ending September 8, 2014, but it lost 24% in 2008.

“We don’t do any macro,” he says, “Whereas a lot of the other firms have some kind of macro view and apply that to their investment thesis, we do not. We’re just shorting based on the individual companies.”