Wilmott Magazine 2016(84) (2016) 72-80
22 Pages Posted: 10 Dec 2015 Last revised: 29 Jul 2016
Date Written: December 9, 2015
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.
Keywords: formulaic alpha, performance, turnover, return, alpha, hedge fund, portfolio, cents-per-share, volatility, P&L, equities, quantitative trading, empirical analysis, correlation
JEL Classification: G00
Suggested Citation: Suggested Citation