PT  - JOURNAL ARTICLE
AU  - Vinesh Jha
TI  - Timing Equity Quant Positions with Short-Horizon Alphas
AID  - 10.3905/jot.2016.11.3.053
DP  - 2016 Jun 30
TA  - The Journal of Trading
PG  - 53--59
VI  - 11
IP  - 3
4099  - https://pm-research.com/content/11/3/53.short
4100  - https://pm-research.com/content/11/3/53.full
AB  - Many managers of long-horizon quantitative stock selection portfolios do not use short-horizon alpha signals because of the fast decay of these signals. The author demonstrates a simple tactical trade timing strategy that allows a long-horizon manager to take advantage of short-horizon alphas without incurring additional transaction costs. He shows that the strategy’s value added is consistent across time and capitalization groups and does not affect the portfolio’s risk exposures.TOPICS: Portfolio construction, security analysis and valuation