101 Formulaic Alphas

Zura Kakushadze

Papers from arXiv.org

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.

Date: 2016-01, Revised 2016-03
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Citations: View citations in EconPapers (19)

Published in Wilmott Magazine 2016(84) (2016) 72-80

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1601.00991

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