TL;DR
This paper provides explicit formulas and code for 101 real-life quantitative trading alphas, analyzing their properties such as holding periods, correlations, and relationships with volatility and turnover.
Contribution
It introduces a set of 101 explicit trading alphas with detailed analysis of their statistical and correlation properties, including their low pair-wise correlation and dependence on volatility.
Findings
Average holding period is 0.6-6.4 days
Pair-wise correlation of alphas is 15.9%
Returns are strongly correlated with volatility
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.
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Taxonomy
TopicsFinancial Markets and Investment Strategies · Auditing, Earnings Management, Governance · Complex Systems and Time Series Analysis
MethodsEasy Way to Contact Cox Webmail Customer Support · How to Contact Cox Webmail Customer Service? · QuickBooks Enterprise Help Number – Expert Support Available · Google Workspace to Office 365 Migration