101 Formulaic Alphas
About
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.
Zura Kakushadze• 2016
Related benchmarks
| Task | Dataset | Result | Rank | |
|---|---|---|---|---|
| Quantitative Alpha Mining | CSI 1000 2026-01 to 2026-05 (Holdout) | Per-alpha Sharpe Ratio (Median)0.541 | 8 | |
| Portfolio Performance Evaluation | 91-day (holdout) | Annualized Sharpe Ratio-0.699 | 8 | |
| Alpha Discovery | daily portfolio returns 91 daily observations (holdout) | NW t-stat1.25 | 7 |
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