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You are the portfolio manager for a long-short U.S. equity trading strategy. Your job is to hold a long portfolio with 100 stocks and a
- You are the portfolio manager for a long-short U.S. equity trading strategy. Your job is to hold a long portfolio with 100 stocks and a short portfolio with 100 stocks from among all stocks in the S&P 1500 index. You decide to create a trading rule based on the Heston and Sadka (2008) seasonality anomaly. What would your trading rule look like? Specifically, you should answer the following questions:
- How frequently would you rebalance your portfolio and why?
- How would you calculate the signal for each stock?
- Which stocks would you select for the long and short portfolios?
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Financial Markets and Institutions
Authors: Jeff Madura
12th edition
9781337515535, 1337099740, 1337515531, 978-1337099745
