TY - JOUR T1 - Timing Equity Quant Positions with Short-Horizon Alphas JF - The Journal of Trading SP - 53 LP - 59 DO - 10.3905/jot.2016.11.3.053 VL - 11 IS - 3 AU - Vinesh Jha Y1 - 2016/06/30 UR - https://pm-research.com/content/11/3/53.abstract N2 - 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 ER -