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
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.
This paper examines the CBOE VIX, the VIX options’ implied volatility and the smirks associated with these options.
Following the example of the Kim–Markowitz model, this study adopts similar mechanisms of market operation to perform computer simulations based on agent modeling on the financial market, where shares of one company and a bank account are available …
This study analyzes the impact of cryptocurrencies on the function and position of financial markets.
This paper proposes a new idea to determine the adjustment weight vector in order to construct a passive portfolio with lower risk than the risk of the benchmark index.
The authors' findings affirm prior work illustrating the importance of profitability, size, liquidity, momentum and market returns, although we observe minimal evidence of the importance of investment in capital expenditures.
What drives the January seasonality in the illiquidity premium? Evidence from international stock markets
This study is, to the best of the authors’ knowledge, the first attempt to comprehensively examine and explain the January effect in the illiquidity premium.
This paper treats covariance as uncertain in order to find a risk parity weighting that does not count on perfectly optimized hedges and is robust to changes in regime.
This paper discusses portfolio construction for investing in N given assets, eg, constituents of the Dow Jones Industrial Average (DJIA) or large cap stocks, based on partitioning the investment universe into clusters.
The authors formulate the portfolio allocation problem from a trading point of view, allowing both long and short positions and taking trading and interest rate costs into account.