101 Formulaic Alphas. Issue 84 (14th July 2016)

• Record Type: Journal Article
• Authors: Kakushadze, Zura
• Is Part Of: Wilmott. Volume 2016:Issue 84(2016)
• Page Start: 72
• Page End: 81
• Publication Date: 2016-07-14
• Subjects: formulaic alpha -- turnover -- cents‐per‐share -- volatility -- quantitative trading -- correlation; Finance -- Periodicals; Financial services industry -- Periodicals; 332
• DOI: 10.1002/wilm.10525
• Languages: English
• ISSNs: 1540-6962

Abstract

Abstract : We present explicit formulas – that are also computer code – for 101 real‐life quantitative trading alphas. Their average holding period ranges from approximately 0.6 to 6.4 days. The average pairwise correlation of these alphas is low, at 15.9 percent. 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.