Trading Volume Concentration across S&P 500 Index Constituents—A Gini-Based Analysis and Concentration-Driven (Daily Rebalanced) Portfolio Performance Evaluation: Is Chasing Concentration Profitable?

Journal of risk and financial management, Год журнала: 2024, Номер 17(8), С. 325 - 325

Опубликована: Июль 26, 2024

The period from January 2020 to December 2022 was marked by a confluence of major events, including the COVID-19 pandemic, Russia–Ukraine war, energy crisis, surging inflation, Federal Reserve policy shifts, and banking turmoil, which collectively fueled heightened market volatility, risk management needs, speculative trading opportunities, leading volatile swings in volume concentration across financial markets, with periods significant increases followed rapid declines. This paper examines variation full spectrum S&P 500 companies, focus on explaining reasons behind stochastic changes concentration. We analyze different measurement methods, power law exponent, Herfindahl–Hirschman Index, Gini-based Trading Concentration Index (TCI). research employs novel experimental design, comparing concentration-driven portfolio, rebalanced daily based top 30 stocks volume, against benchmark. Our findings reveal that TCI fluctuated between 55.98% 77.35% during study period, variations coinciding events. portfolio outperformed 500, achieving an annualized return 10.66% compared 5.89% for index, superior Sharpe ratio 0.325 versus 0.19. performance suggests following can yield above-average results. However, this also highlights importance understanding managing risks associated concentrated portfolios. contributes literature dynamics offers practical insights investors fund managers optimizing strategies response evolving patterns markets.

Язык: Английский

Empirical properties of volume dynamics in the limit order book

Physica A Statistical Mechanics and its Applications, Год журнала: 2024, Номер 658, С. 130234 - 130234

Опубликована: Дек. 3, 2024

Язык: Английский