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Algorithmic Short Selling with Python

You're reading from Algorithmic Short Selling with Python

Product type Book

Published in Sep 2021

Publisher Packt

ISBN-13 9781801815192

Pages 376 pages

Edition 1st Edition

Languages

Concepts

Financial Technology

Author (1):

Laurent Bernut

Table of Contents (17) Chapters

Preface

The Stock Market Game

10 Classic Myths About Short Selling

Take a Walk on the Wild Short Side

Long/Short Methodologies: Absolute and Relative

Regime Definition

The Trading Edge is a Number, and Here is the Formula

Improve Your Trading Edge

Position Sizing: Money is Made in the Money Management Module

Risk is a Number

Refining the Investment Universe

The Long/Short Toolbox

Signals and Execution

Portfolio Management System

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Index

Appendix: Stock Screening

The Long/Short Toolbox

Long-only portfolios are by definition correlated to the market. Introducing a short component enables managers to engineer the type of performance they want to deliver. We will make long/short portfolio management accessible to all dedicated market participants in this chapter.

Creating a long/short portfolio requires the consolidation of two relative portfolios: a long and a short book. The transition from a long-only or absolute long/short into a relative strength-long/short portfolio can be quite disconcerting at first. There are lots of moving parts. An effective way to manage this transition is to begin with the objectives in mind: liquidity, correlation, volatility, and performance. Then, concentrate on a handful of variables that have the highest impact on these objectives: gross and net exposure, net beta, and concentration, which make up your investment toolbox when constructing your strategy.

The following table indicates which of our objectives...

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Authors (1)

Laurent Bernut

Laurent Bernut has 2 decades of experience in alternative investment space. After the US CPA, he compiled financial statements in Japanese and English for a Tokyo Stock Exchange-listed corporation. After serving as an analyst in two Tokyo-based hedge funds, he joined Fidelity Investments Japan as a dedicated quantitative short-seller. Laurent has built numerous portfolio management systems and developed several quantitative models across various platforms. He currently writes and runs algorithmic strategies and is an undisputed authority on short selling on Quora, where he was nominated top writer for 2017, 2018, and 2019.

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