101 Formulaic Alphas

Дата: 
09/12/15
Аномалии: 
Авторы: 
Zura Kakushadze Geoffrey Lauprete Igor Tulchinsky
Аннотация: 
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 by two of us based on a more indirect empirical analysis. We further find empirically that turnover has poor explanatory power for alpha correlations.
Описание: 

В статье приведены 101 эмпирическая аномалия, с формулами. Совокупный шарп по всем этим "стратегиям" (медиана) =2.2. Только вот доходность 0.4 цента на акцию. Что выше даже комиссии, не говоря уже о проскальзывании..