101 Formulaic Alphas

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

22 Pages Posted: 10 Dec 2015 Last revised: 29 Jul 2016

Zura Kakushadze

Quantigic Solutions LLC; Free University of Tbilisi

Date Written: 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 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

Kakushadze, Zura, 101 Formulaic Alphas (December 9, 2015). Wilmott Magazine 2016(84) (2016) 72-80. Available at SSRN: https://ssrn.com/abstract=2701346 or http://dx.doi.org/10.2139/ssrn.2701346

Zura Kakushadze (Contact Author)

Quantigic Solutions LLC ( email )

1127 High Ridge Road #135
Stamford, CT 06905
United States
6462210440 (Phone)
6467923264 (Fax)

HOME PAGE: http://www.linkedin.com/in/zurakakushadze

Free University of Tbilisi ( email )

Business School and School of Physics
240, David Agmashenebeli Alley
Tbilisi, 0159
Georgia

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