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
Risk constraints for portfolio optimization with fixed-fee transaction cost
In this paper the authors investigate how fixed-fee transaction costs affect portfolio rebalancing.
Investing across periods with Mahalanobis distances
The authors propose an analytical framework to measure investment opportunities and allocate risk across time based on the Mahalanobis distance.
Statistical risk models
In this paper, the authors give complete algorithms and source code for constructing statistical risk models.
On optimizing risk exposures with trend-following strategies in currency overlay portfolios
This paper proposes using an optimization mechanism in the currency overlay portfolio construction process.
Optimal closing-price strategy: peculiarities and practicalities
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.
Insights into robust optimization: decomposing into mean–variance and risk-based portfolios
The authors of this paper aim to demystify portfolios selected by robust optimization by looking at limiting portfolios in the cases of both large and small uncertainty in mean returns.
Equal risk allocation with carry, value and momentum
The authors of this paper analyze an equal-weight portfolio of global cross-asset-class risk factor exposures.
Multifactor risk models and heterotic CAPM
The authors of this paper give a complete algorithm and source code for constructing general multifactor risk models via any combination of style factors, principal components and/or industry factors.
Fractional Kelly strategies with low-risk stocks
This paper uses the fractional Kelly strategies framework to show that optimal portfolios with low-beta stocks generate higher median wealth and lower intra-horizon shortfall risk.
The effect of market conditions on forward-looking portfolio performance
The authors of this paper apply a forward-looking approach to the minimum variance portfolio optimization problem for a selection of 100 stocks.
The excess returns of “quality” stocks: a behavioral anomaly
This paper investigates the causes of the quality anomaly by exploring two potential explanations - the “risk view” and the “behavioral view”.
Portfolio insurance with adaptive protection
This paper investigates the optimal design of funds which provide capital protection at a specific maturity.
Optimal trading with alpha predictors
This paper studies the problem of optimal trading using general alpha predictors with linear costs and temporary impact.
Reconciling factor optimization with portfolio constraints
This paper projects an optimal unconstrained factor portfolio onto a set of all feasible portfolios using tracking error as a distance measure.
Performance versus turnover: a story by 4000 alphas
This paper analyzes empirical data for 4000 real-life trading portfolios with holding periods of about 0.7-19 trading days.
Optimal trading trajectories for algorithmic trading
This paper derives explicit formulas for the optimal implementation shortfall trading curve with linear and nonlinear market impact.
Stock selection with principal component analysis
The authors of this paper propose a stock selection method based on a variable selection method used with PCA in multivariate statistics.
Do quantitative country selection strategies really work?
This paper compares sixteen distinct country-selection strategies within a sample of seventy-eight countries between 1999-2015.
Under the radar: structural alpha in the small-cap equity market
This paper identifies a number of structural inefficiencies in the US small-cap equity market that may be exploited to generate alpha.
The dynamics of energy futures and equity sectors: evidence from the United States and Canada
This paper investigates a sector-rotation strategy in order to elucidate two congruent objectives.