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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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Author (1)
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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Other exposures

Some market participants like to keep track of other hedges, such as industry or sector risk, or exchanges and factor risk.

Sector exposure

Keeping diversified sector exposure is good practice. Typically, you do not want your entire long/short sector exposures to look like technology long in 1999, short in 2000. Some market participants like to fully hedge their sector exposure to mitigate industry risk. This introduces another unnecessary layer of complexity. In practice, entire sectors dominate or trail the markets. A case in point: In 2008, one would have been hard-pressed to find any stock in the financial sector on the long side.

Sector neutrality works with only pairs trading or arbitrage strategies. Not all the stocks within the same sector travel at the same speed. Sector neutrality introduces an interesting capital allocation problem: Should sector allocation reflect the market capitalization of the underlying sectors or the disparity among constituents...

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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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