Abstract

http://ssrn.com/abstract=1626216
 
 

References (25)



 


 



Portfolio Considerations in Trading


Andrew Brzezinski


Fidelity Investments, Inc. - Fidelity Capital Markets

Venk Kidambi


SAC Capital Advisors

May 27, 2010


Abstract:     
In today’s turbulent marketplace with unprecedented portfolio turnover, transition activity and drawdowns, one must identify and eliminate all sources of Sharpe ratio erosion. In this environment, trading costs and risks are significant contributors to this performance drag and avoiding them is the subject of this article. We observe and explain how common trading methods tend to increase costs and risks, and bridge the gap between portfolio management and the trade by introducing portfolio considerations in trading. Our techniques seek best execution from a portfolio perspective in accordance with Article 2 of the Uniform Prudent Investor Act.

Number of Pages in PDF File: 15

Keywords: Dark Market, Alternative Trading System, Portfolio Trading, Price Impact, Optimal Trading, Transition Management, Trading Costs, Trading Risks, Portfolio Partitioning, Prudent Investor, Liquidity Seeking, Algorithmic Trading, Block Trading, Sector Trading, Adverse Selection, Long Short, Hedging

JEL Classification: C15, C30, C51, G10, G14, N20

working papers series


Download This Paper

Date posted: June 17, 2010  

Suggested Citation

Brzezinski, Andrew and Kidambi, Venk, Portfolio Considerations in Trading (May 27, 2010). Available at SSRN: http://ssrn.com/abstract=1626216 or http://dx.doi.org/10.2139/ssrn.1626216

Contact Information

Andrew Brzezinski (Contact Author)
Fidelity Investments, Inc. - Fidelity Capital Markets ( email )
United States
Venk Kidambi
SAC Capital Advisors ( email )
330 Madison Avenue, 35th Floor
New York, NY 10017
United States
Feedback to SSRN


Paper statistics
Abstract Views: 1,377
Downloads: 366
Download Rank: 44,512
References:  25

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.265 seconds