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Quantitative Long - Short Investing (2)

In response to many questions from the Short Selling Blog:The screen featured in the article can be described as follows:US companies with a market capitalization greater than one billion dollars and with a 20-day average trading volume greater than 100,000 shares.These companies are less volatile than their smaller brethren and much more likely to be borrowable.ADRs are excluded.

Quantitative Short Selling, Why Bother

Many professionals sell short a stock in order to make a profit just as they do with their long portfolios.However, that is not the primary focus of our short portfolio.Because the market (eg a long tracker) gives you 6+% per annum (if you stay in it long enough), a short portfolio has to generate a 6+% excess return just to break even.And that is not including trading expenses, which are greater for short selling than normal long trading.That is quite a headwind to sail against!On the plus side, because most equity investors are long-only, there may be more mispricing opportunities to take advantage of.So most investors should back off now and concentrate on their long portfolios.But a very small number of mechanical equity investors may be interested in this portfolio for asset allocation and diversification purposes.