Alpha Trading Strategies

Alpha Trading Strategies - Articles & White Papers

This section contains white papers and articles on "alpha trading strategies" - methodologies for adding excess return in an investment portfolio. For any given asset class or investment type, there are many possible approaches to alpha creation. Algorithmic and rule-based strategies are increasing in popularity, as is high-frequency trading. The most popular items in our library include research on "value and momentum", research on factor models, smart beta and alternative beta. Studies on the size effect, share repurchase announcements, return seasonality, pairs trading and relative-value arbitrage, mean reversion, neural networks and earnings surprises, all explore different paths that can be taken in the quest for alpha. One of the key dangers when building alpha models is the temptation to overfit the data, to then "discover" spurious relationships which don't persist in real time. A number of papers discuss backtesting strategies, model risk, and how to spot backtest overfitting. Other themes explored include behavioral finance, market timing, tactical asset allocation (TAA), equity valuation, investor sentiment and alternative beta strategies. Use the search facility to find what you're looking for.
  • Robeco

    Factor Investing: An Academic Source of Excess Returns (Savvy Investor, 2018)

    Authored by Savvy Investor and sponsored by Robeco, this 24-page special report is designed as a go-to resource for anyone interested in factor investing, covering a host of different factor investing issues in a short timespan.

    The report explains the academic underpinning to factor investing, and describes how a consensus has built around the belief that 4-6 key equity risk ...

    • Professional
    • Views: 2339
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  • AQR Capital Management

    Fact, Fiction and Momentum Investing (Cliff Asness et al, 2015)

    Authored by Cliff Asness and others from AQR Capital, this paper examines the "myths" surrounding momentum investing, using results from a variety of academic studies. The paper aims to clarify the facts with regard to the efficacy of trend-following strategies and to document the practical value of momentum within the investment process.

  • BlackRock

    Enhance your skill: how active managers are using factor strategies (BlackRock, 2017)

    How are asset managers using factors to optimize active strategies?

    Factor investing continues to grow at a rapid pace, with almost $34 billion globally flowing into smart beta ETFs since the beginning of 2017.  Asset managers are taking notice, and many are already using factors to enhance their investment process. 

    Through the lens of three compelling case ...

    • Professional
    • Views: 1838
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  • Invesco (Europe)

    Invesco Global Factor Investing Study 2017

    Our factor investing study offers unique insights into the growth of factor investing via over 100 in-depth face-to-face interviews with consultants, pension funds, insurers, sovereign investors and private banks globally. We spoke with investors that were leading the way when it came to factor investing as well as non-users who were yet to adopt this investment approach.

    For ...

    • Professional
    • Views: 1013
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  • Robeco

    Ten things you should know about factor investing (Robeco, 2017)

    Factor-based investing has gained considerable traction over the past decade. Concepts such as ‘factor premiums’ or ‘smart beta’ have become popular buzzwords, and now appear frequently in mainstream financial media. Prominent institutional investors have also publicly embraced allocation to well-known factors, like value, momentum or low volatility.

    But ...

    • Short article
    • Views: 1477
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  • QMA

    Start of Something Big: Demystifying the Source of Large Alpha in Small Caps (QMA)

    • 24 Jan 2017
    • Company: QMA

    In a world where alpha can seem scarce, active small-cap managers continue to outperform their benchmarks in an impressive way. But why? Investors have a general sense small caps are riskier and less efficient, but how these characteristics contribute to more alpha opportunities remains unclear. At QMA, we think it’s critical to understand the sources of returns so that you ...

    • Professional
    • Views: 2034
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  • The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation (2014)

    The authors of this paper examine the effects of trend application methodologies when applied to global asset allocations amongst commodities, bonds and real estate. Trend following application offers a significant improvement, in comparison to traditional buy-and-hold portfolios, to risk-adjusted performance. It is also a method of asset allocation superior to risk parity. A ...

    • Quantitative
    • Views: 1233
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  • Invesco (Europe)

    Low volatility investing: Standing out from the crowd (Invesco Europe, Apr 2018)

    In this white paper we examine the remarkable history of low-volatility investing, charting its rise from the margins to the mainstream. We investigate the theoretical and behavioural underpinnings of the concept and the extent of their present-day relevance; we ask whether the current market really is crowded and what, if anything, has changed; and we assess the threats and ...

  • Robeco

    Applying factor investing to corporate bonds (Robeco, 2018)

    Although much factor research focuses on the equity market, the concept and benefits of factor investing apply equally well to the corporate bond market.

    Speed read

    • Increasing evidence to support factor investing in corporate bonds
    • Allocation to multiple factors reduces relative risk; enhancing factors improves performance
    • Multi-asset ...

  • Intech

    How to Harness Volatility to Unlock Alpha (Intech)

    The excess growth rate is an important source of long-term returns, and is always positive across all-long portfolios.

    When many stocks are combined in a portfolio that is regularly rebalanced, their interactions cause the portfolio to have a higher compound return than the weighted compound return of the stocks in the portfolio.

    Infrequently traded portfolios, such as market ...

  • Axioma

    For Style Factors, One Size Does Not Fit All (Axioma, 2017)

    Investors may need to vary between using local and regional models, if using factors for alpha generation. They should pay attention to pure risk factors; and 'alpha factor users' should not panic when returns to factors go negative, nor should they expect the good times to last forever.

  • QMA

    The Long and the Short of It: The Quant Shorting Advantage (QMA)

    • 01 Dec 2017
    • Company: QMA

    Active extension, equity long-short, and equity market neutral products can be attractive for investors at any particular time, given investors' varied investment objectives and needs. That said, each of the three categories of shorting-enabled products can help address distinct issues facing investors today. QMA’s paper describes how short selling can allow investors to ...

    • Introductory
    • Views: 1707
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  • eVestment

    Impact of Strategy Size on Performance: Global Report (eVestment, 2017)

    This report provides an overview of the quantitative and qualitative characteristics of small, medium, and large strategy sizes within the most viewed universes by USA-based and Canada-based consultants and institutional investors using the eVestment platform in 2016. The authors look at the six most viewed equity, three most viewed fixed income, and top viewed balanced/multi-asset ...

  • Credit Suisse

    Looking for Easy Games: How Passive Investing Shapes Active Management (Credit Suisse, 2017)

    Investors are shifting their investment allocations from active to passive management. This trend has accelerated in recent years. The investors who are shifting from active to passive are less informed than those who stay. This is equivalent to the weak players leaving the poker table. Since the winners need losers, this can make the market even more efficient, and hence less ...

  • Robeco

    Factor investing challenges: factor timing (Robeco, Aug 2017)

    Should investors try to time their exposure to different factors? Factor-based strategies have become increasingly popular in recent years. But how to implement them in practice still remains a puzzle for many newcomers. Deciding whether to tactically monitor and adjust exposures to different factors and, if so, how to go about it, is often raised as a major concern.

  • FTSE Russell

    Smart beta: 2017 global survey findings from asset owners (FTSE Russell, 2017)

    Now in its fourth year, FTSE Russell’s comprehensive survey of global asset owners focuses on key themes behind the adoption, evaluation and implementation of smart beta. Find out the primary motivations of asset owners from across all asset tiers and regions, and get insight into how they perceive and participate in growing trends such as smart sustainability and ...

    • Professional
    • Views: 1103
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  • Royal London Asset Management

    Securitised Bonds: Finding Security in Bond Markets (RLAM, 2017)

    Secured (or securitised) bonds still carry the stigma of the 2008 financial crisis. But stigma often spells opportunity, and the fixed income specialists at RLAM argue that this asset class offers great value for managers who are prepared to get to grips with the documentation underlying individual securities. Not everyone is prepared to do this research, and as a result secured ...

    • Professional
    • Views: 1453
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