Journal of Investment Strategies
ISSN:
2047-1238 (print)
2047-1246 (online)
Editor-in-chief: Ali Hirsa
About this journal
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 Metrics:
Journal Impact Factor: 0.2
5-Year Impact Factor: 0.1
CiteScore: 0.6
Latest papers
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.
Uncertain risk parity
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.
Quant investing in cluster portfolios
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.
Portfolio allocation based on expected profit and loss measures
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.
The price of Bitcoin: GARCH evidence from high-frequency data
This is the first paper that estimates the price determinants of Bitcoin in a generalized autoregressive conditional heteroscedasticity (GARCH) framework using high-frequency data.
The price of liquidity in the reinsurance of fund returns
The authors consider a new type of contract for insuring the returns of hedge funds and aim to extend downside protection to an investment portfolio beyond the first tranche of losses insured by first-loss fee structures, which have become increasingly…
Sign prediction and sign regression
This paper proposes an approach whereby the loss function regularizes the errors in prediction in different ways.
Realized profits on the Stationary Offshore Ocean Economy: an analysis
This paper analyzes the recent financial performance of the publicly traded companies that employ stationary structures on the open ocean using a comprehensive Thomson Reuters Eikon search.
What’s so special about time series momentum?
We find that the buy-and-hold (B&H) strategy for the S&P 500 index (^GSPC) for January 1950–April 2019 had a significantly higher return than that produced by time series momentum (TSM). However, TSM was superior in terms of the Sharpe ratio due to its…
Strangle to resuscitate: evidence from India
This study examines the performance of two strangle strategies at different legs to find the best strategy for consistent profit generation when trading on the Indian stock market index Nifty.
Smaller drawdowns, higher average and risk-adjusted returns for equity portfolios, using options and power-log optimization based on a behavioral model of investor preferences
The authors use a power-log utility optimization algorithm based on a behavioral model of investor preferences, along with either a call or a put option overlay, to reverse the negative skewness of monthly Standard & Poor’s 500 (S&P 500) index returns…
Eigenportfolios of US equities for the exponential correlation model
In this paper, the eigendecomposition of a Toeplitz matrix populated by an exponential function in order to model empirical correlations of US equity returns is investigated.
Optimal dynamic strategies on Gaussian returns
It is hoped that this paper will form a foundational approach to the study of dynamic strategies and how to optimize them. We make efforts to understand their properties without claiming to understand why they work (ie, why there are stable…
Is trading indicator performance robust? Evidence from scenario building
This paper challenges widely applied trading indicators with regard to their ability to generate a robust performance.
The pricing of firm-specific risk in emerging markets
This paper finds that a zero-investment strategy that goes long (short) in the highest (lowest) quintiles of firm-specific risk earns overall positive excess returns across twenty-one emerging markets.
Portfolio management of Commodity Trading Advisors with volatility-targeting
This paper shows analytically that a volatility-targeted allocation methodology improves the risk-adjusted performance of portfolios under a broad set of assumptions regarding the serial correlation of returns and the dependence of the expected Sharpe…
Connecting equity and foreign exchange markets through the WM “Fix”: a trading strategy
In this paper, the authors show the connection between equities and foreign exchange markets via this window, they leverage this connection using an algorithmic trading strategy and rank various statistical techniques used to make predictions for trading…
Should we invest more in multinational companies when domestic markets decline?
This paper uses a twenty-year data set of all publicly listed US firms from 1995 to 2014 to create a unique measure of both the extent and the scope of firm-level multinationality.
A consistent investment strategy
This paper introduces a consistent performance strategy (CPS), which, if followed, leads to a portfolio having consistently positive returns over time and exhibiting a steady upward trend.
Factor-based tactical bond allocation and interest rate risk management
This paper offers two composite bond market factor investment strategies each for the Swiss bond market and for the global sovereign bond market.