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Post by niseag on Dec 25, 2015 11:45:47 GMT 4
101 Formulaic Alphas Zura Kakushadze Quantigic Solutions LLC; Free University of Tbilisi Geoffrey Lauprete WorldQuant LLC Igor Tulchinsky WorldQuant LLC December 9, 2015 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 by two of us based on a more indirect empirical analysis. We further find empirically that turnover has poor explanatory power for alpha correlations. Number of Pages in PDF File: 22 SSRN-id2701346.pdf (233.2 KB)
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