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You're reading from  Algorithmic Short Selling with Python

Product typeBook
Published inSep 2021
PublisherPackt
ISBN-139781801815192
Edition1st Edition
Concepts
Financial Technology
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Laurent Bernut
Laurent Bernut
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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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Concentration

Concentration refers to the number of stocks in a portfolio. Net concentration is the difference between the number of stocks on the long minus the short side, expressed either as a percentage of the total number of positions or in absolute.

Concentration has a direct impact on:

  • Liquidity: Building and liquidating positions has a market impact
  • Volatility: If the objective is to deliver low-volatility returns, concentration is the place to start. The higher the number of names, the lower the volatility.
  • Performance: Big concentrated bets hit home runs. Small bets compound singles.

Concentration is often perceived as an attribute of an investment style and as such, does not receive the attention it deserves. It is a bit like garlic—a tasty seasoning not recommended on a first date, but also a cancer-fighting super-food and vampire repellent.

Some market participants believe the key to superior performance is hitting home runs...

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Algorithmic Short Selling with Python
Published in: Sep 2021Publisher: PacktISBN-13: 9781801815192
© 2021 Packt Publishing Limited All Rights Reserved

Author (1)

author image
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.
Read more about Laurent Bernut

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