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Yes, it is normal for a L/S fund to have a lot of cash. When you short securities your account is credited with the proceeds from the sales. So if you short 1 million of stock you end up with 1 million cash and -1 million short stock position. Another way to look at it is: as you mentioned, the weights as a fraction of NAV have to add up to 1.0 by definition ...


Market-neutral portfolios seek to eliminate market risk, so sum of the weights could be even a zero. That would mean that you bought a lot of some equity, and then borrowed some other equity and sold it. You have cash now, but you also have risks, because you will have to return the borrowed equity in the end, and who knows how much you will have to pay to ...

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