This is a 257-page preview version of a brand new book “151 Trading Strategies”, which provides detailed descriptions, including more than 550 mathematical formulas, for more than 150 trading strategies across a host of asset classes and trading styles. These include stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured assets, volatility, real estate, distressed assets, cash, cryptocurrencies, weather, energy, inflation , global macro, infrastructure, and tax arbitrage. Some strategies are based on machine learning algorithms such as artificial neural networks, Bayes, and k-nearest neighbors. The book also includes source code for illustrating out-of-sample backtesting, around 2,000 bibliographic references, and more than 900 glossary, acronym and math definitions. The presentation is intended to be descriptive and pedagogical and of particular interest to finance practitioners, traders, researchers, academics, and business school and finance program students. The book is being published by Palgrave Macmillan, an imprint of Springer Nature.
I got the idea and was inspired to write this book following the success of my paper “101 Formulaic Alphas” (https://ssrn.com/abstract=2701346), which provides explicit formulas – that are also computer source code – for 101 real-life quantitative trading signals (alphas). “151 Trading Strategies” takes this concept to the next level: instead of focusing on quant trading alphas or any particular asset class, it goes across essentially all asset classes and a number of trading styles, so it comes as no surprise that it took almost 9 months to write it. — Zura Kakushadze
3. Challenging the Conventional Wisdom on Active Management: A Review of the Past 20 Years of Academic Literature on Actively Managed Mutual Funds by Martijn Cremers (University of Notre Dame), Jon A. Fulkerson (University of Dayton), and Timothy B. Riley (University of Arkansas – Department of Finance)
The financial media often portrays academic research as categorically finding little reason to choose active management. That apparent consensus has helped build the ‘conventional wisdom’ that active managers do not create value for their investors, which has fueled the rise of passive management. However, as academic researchers ourselves, we were aware of many studies not aligned with the conventional wisdom. In our paper, we surveyed the literature on active management—focusing primarily on mutual funds—to determine the extent to which the conventional wisdom was supported. Put simply, we found that the conventional wisdom has judged the performance of active managers too harshly. The debate between active and passive is far from settled, but the current evidence shows that active management is more promising for investors than the conventional wisdom claims. — Jon Fulkerson
4. Pulling the Goalie: Hockey and Investment Implications by Clifford S. Asness (AQR Capital Management, LLC), and Aaron Brown (New York University (NYU) – Courant Institute of Mathematical Sciences)