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
Abstracting and indexing: Clarivate Analytics Emerging Sources Citation Index; EconLit; EconBiz; and Cabell’s Directory
Journal Impact Factor: 0.2
5-Year Impact Factor: 0.1
The authors put forward a Bayesian nonparametric estimation method which reconstructs a counterfactual generalized Wiener measure from historical price data.
This paper explores the Sherman ratio and find that it has merit in the optimization of portfolio construction.
The authors investigate and summarize experimental studies on automated trading strategies in financial markets.
The authors investigate the pricing of options using an EP-EL approach, finding that this methodology generates large amounts of useful information for option traders.
The authors examine the All-Weather portfolio in relation to other popular portfolios and investigate the impact of various static and dynamic portfolio-rebalancing strategies on the All-Weather portfolio.
The authors use eight models of pairwise dependency to select predictors that offer a high level of dependency in stock returns.
The authors extend their impact cost model beyond the typical factors to address the larger transaction costs brought on by stock market crowding effects in times of market turbulence.
The authors investigate the role of past volatility in the cross section of returns on US stocks, equity mutual funds and corporate bond funds.
The authors investigate the contracts, structures, screening, pricing mechanisms of Islamic Mutual Funds and attempt to harmonize and standardize the benchmarks of these funds
Creating factor clusters in the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) universe
The authors identify 7 clusters and provide insight into their current or prospective UCITS holdings by observing their performance in the context of the relevant cluster.
The authors apply an information-theoretical argument to a Bernoulli process to find least biased investment strategy consistent with expected exponential growth.
The authors apply k-means clustering to low interest rate periods in order to analyze the equity hedging property of government bonds.
This paper explores the day-of-the-week impact and efficiency of the stock markets in Mexico, Indonesia, Nigeria and Turkey by using closing prices of a major index from each stock market.
Does reinvesting payouts in plain vanilla exchange-traded funds enhance household portfolio performance?
This study analyzes whether reinvesting payouts in exchange-traded funds that replicate broad and internationally diversified market indexes enhances households’ portfolio performance after transaction costs.
We show that including risk reversals in an equity portfolio creates a better portfolio compared with a pure index position.
Using Canadian data for the period 1957–2018, this paper provides evidence in support of portfolio rebalancing by professional portfolio managers.
This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for developed and emerging markets from 2010 up until 2020.
Is factor momentum greater than stock momentum? Yes – this paper argues – but only at short lags.
This paper revisits the cross-sectional approach to the performance analysis of multifactor investment strategies.
In this paper the author studies the performance of factor investment strategies from a practitioner’s point of view.