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)