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Hedging portfolio returns from long/short positions - how to do it?

 
 
Reply Thu 1 May, 2014 11:24 am
Hello everyone!!

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!!!

Best regards,
Clarice
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