Thu 1 May, 2014 11:24 am
Does anyone know of a investment strategy called “portfolio sorts”???
So far, I have only seen it discussed in academic articles. They normally use a hedge portfolio returns from long/short positions in the extreme portfolios.
I am trying to build it on a spreadsheet but I do not know each step.
All I know is:
1) it is a strategy based on taking long-short positions
2) first step is to rank your stocks by a factor, like “size” ou “asset growth”
3) then I will apply the long-short strategy to open my position (on extreme low or extreme high portfolios)
4) in a few months (depending on the factor/anomaly used) I have to close out my strategy
I am doing this not for practical purposes, for a research paper. But it seems that on the academic grounds, NO ONE explains how to build this.
Can anyone help me?? I am searching this for days with no luck…!!!
Thanks a lot!!!