The Journal of Investment Strategies is dedicated to the rigorous treatment of modern investment strategies; going well beyond the “classical” approaches in both its subject instruments and methodologies. In providing a balanced representation of academic, buy-side and sell-side research, the Journal promotes the cross-pollination of ideas amongst researchers and practitioners, achieving a unique nexus of academia and industry on one hand, and theoretical and applied models on the other.
The Journal contains in-depth research papers as well as discussion articles on technical and market subjects, and aims to equip the global investment community with practical and cutting-edge research in order to understand and implement modern investment strategies.
With a focus on important contemporary investment strategies, techniques and management, the journal considers papers on the following areas:
- Fundamental Strategies: including fundamental macro, fundamental equity or credit selection
- Relative Value Strategies: estimation of and investing in the relative valuation of related securities, both vanilla and derivatives
- Tactical Strategies: strategies based on forecasting of, and investing in, patterns of market behavior, such as momentum or mean reversion, and tactical asset allocation strategies.
- Event-Driven Strategies: strategies based on the forecast of likelihood of market-moving events or market reactions to such events
- Algorithmic Trading Strategies: models of market microstructure, liquidity and market impact and algorithmic trade execution and market-making strategies
- Principal Investment Strategies: investment strategies for illiquid securities and principal ownership or funding of real assets and businesses
- Portfolio Management and Asset Allocation: models for portfolio optimization, risk control, performance attribution and asset allocation
- Econometric and Statistical Methods: with applications to investment strategies
This paper identifies a number of structural inefficiencies in the US small-cap equity market that may be exploited to generate alpha.
This paper investigates a sector-rotation strategy in order to elucidate two congruent objectives.
This paper introduces an efficient Sharpe ratio (ESR) that diffuses explosive ASRs for HFT so that they are comparable to SRs for other actively managed funds.
This paper assesses the performance of the real-time diagnostic of the bubble regime in Chinese stock markets.
The authors of this paper develop the theory of Kelly and Thorp for determining optimal bet sizes for blackjack by incorporating two practical considerations.
This paper presents empirical evidence of how different components of order flow affect returns.
This paper aims to help investors better understand the commonalities and differences between risk-based portfolio strategies in the investment industry.
This paper explores the potential role of multi-asset solutions in the indexing landscape as well as challenges in constructing multi-asset indexes
The authors of this paper aim to test empirically the performance of several optimization algorithms that exist in the literature and then compare them, in both a single-regime market and a two-regime market.
This paper shows how to handle the problem of trend detection in the context of trend-following trading strategies, when the data is potentially erroneous. The questions raised in this paper are important for many commodity trading advisors, and more...
This paper discusses aspects of optimizing weights for alpha streams (by alpha streams the author means a sequence of predictions of expected returns for each asset given by different models employed by portfolio managers).
The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets
The stochastic-volatility, jump-diffusion optimal portfolio problem with jumps in returns and volatility
The risk-averse optimal portfolio problem is treated with consumption in continuous time for a stochastic jump-volatility-jump-diffusion (SJVJD) model for both the risky asset and the volatility.
The author uses behavioral finance theory to create a measure that detects when stock markets become irrational.
In this paper we examine the effectiveness of intraday hedging models for credit default swap index trading by means of more liquidly traded exchange-based futures contracts.
We discuss various implementations of L1 filtering in order to detect some properties of noisy signals.
Risk balancing has been considered a heuristic asset allocation method. In this paper, the authors show that, on the contrary, risk balancing is a special case of a utility optimization problem with log regularization that constrains risk concentration.