RT Journal Article
SR Electronic
T1 Portfolio Considerations in Trading
JF The Journal of Investing
FD Institutional Investor Journals
SP 124
OP 137
DO 10.3905/joi.2011.20.2.124
VO 20
IS 2
A1 Andrew Brzezinski
A1 Venk Kidambi
YR 2011
UL https://pm-research.com/content/20/2/124.abstract
AB In today’s turbulent marketplace with unprecedented portfolio turnover, transition activity and drawdowns, portfolio managers 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 [1].TOPICS: Portfolio construction, VAR and use of alternative risk measures of trading risk, equity portfolio management