New strategies:
#250 – Interest Rates Momentum Predicts FX Rates
Period of rebalancing: intraday
Markets traded: currencies
Instruments used for trading: futures, swaps, forwards, CFDs
Complexity: Very complex strategy
Bactest period: 2003 – 2014
Indicative performance: 8.81%
Estimated volatility: 5.33%
Source paper:
Georges: ANANTA: A Systematic Quantitative FX Trading Strategy
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2419243
Abstract:
This paper is the first of a series that aims to study in detail the ANANTA strategy, a short term systematic FX model using fixed income signals. We will focus in this part on outlining the context and an initial basic implementation of the methodology, from trading hypothesis to signal construction and results.
New research papers related to existing strategies:
#77 – Beta Factor in Stocks
Bali, Brown, Murray, Tang: Betting Against Beta or Demand for Lottery
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2408146
Abstract:
Frazzini and Pedersen (2014) document that a betting against beta strategy that takes long (short) positions in low (high) beta stocks generates large abnormal returns of 6.6% per year, and attribute this phenomenon to funding liquidity risk. We investigate alternative explanations for this effect, and find that it is caused by demand for lottery-like assets, a behavioral phenomenon. Requiring betting against beta portfolios to be neutral to lottery demand eliminates the abnormal returns. Controlling for lottery-demand, multivariate analyses detect a theoretically consistent positive relation between beta and returns. Factor models that include our lottery-demand factor explain the abnormal returns of betting against beta portfolios. We conclude that the betting against beta phenomenon is driven by demand for lottery-like stocks.
#37 – Net Current Asset Value Effect
Lauterbach, Vu: Ben Graham's Net Current Asset Value Rule Revisited: The Size-Adjusted Returns
https://faculty.biu.ac.il/~lauteb/data_794/Ben_Graham.pdf
Abstract:
The study demonstrates how size controls can alter the outlook of an investment strategy. The Ben Graham net current asset value rule provides excellent excess returns according to traditional performance measures. Size adjusted procedures, however, reveal that its size adjusted excess return is approximatelly zero.
#14 – Momentum Effect in Stocks
Asness, Frazzini, Israel, Moskowitz: Fact, Fiction and Momentum Investing
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2435323
Abstract:
It’s been over 20 years since the academic discovery of momentum investing (Jegadeesh and Titman (1993), Asness (1994)), yet much confusion and debate remains regarding its efficacy and its use as a practical investment tool. In some cases “confusion and debate” is us attempting to be polite, as it is near impossible for informed practitioners and academics to still believe some of the myths uttered about momentum — but that impossibility is often belied by real world statements. In this article, we aim to clear up much of the confusion by documenting what we know about momentum and disproving many of the often-repeated myths. We highlight ten myths about momentum and refute them, using results from widely circulated academic papers and analysis from the simplest and best publicly available data., as the most likely explanation for the predictability results.
