英文标题：
《101 Formulaic Alphas》
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作者：
Zura Kakushadze
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最新提交年份：
2016
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英文摘要：
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.
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中文摘要：
我们给出了101个真实定量交易字母的显式公式（也是计算机代码）。它们的平均保存期约为0.6-6.4天。这些字母的平均成对相关性较低，为15.9%。收益率与波动率密切相关，但对营业额没有显著依赖性，直接证实了基于更间接的实证分析的早期结果。我们进一步从经验上发现，营业额对阿尔法相关性的解释力很差。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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