101 Formulaic Alphas
Portfolio Management
2016-08-01 v3
Abstract
We present explicit formulas - that are also computer code - for 101 real-life quantitative trading alphas. Their average holding period approximately ranges 0.6-6.4 days. The average pair-wise correlation of these alphas is low, 15.9%. The returns are strongly correlated with volatility, but have no significant dependence on turnover, directly confirming an earlier result based on a more indirect empirical analysis. We further find empirically that turnover has poor explanatory power for alpha correlations.
Cite
@article{arxiv.1601.00991,
title = {101 Formulaic Alphas},
author = {Zura Kakushadze},
journal= {arXiv preprint arXiv:1601.00991},
year = {2016}
}
Comments
22 pages; no changes (excepting this line); to appear in Wilmott Magazine