We were lucky enough to present our research on using short-horizon alphas to trade long-horizon books at the London Quant Group two weeks ago – now our research has been published in the Journal of Trading!
In our paper on timing long-horizon quant strategies using shorter-horizon alphas we found that by using ExtractAlpha’s TM1 model, a quant trading a typical value/momentum/quality portfolio can significantly enhance their entry and exit points without increasing turnover. That paper just got accepted by the Journal of Trading and will be appearing in their Summer edition (so I had to take the working paper version offline, sorry!) I’ll also be presenting on the topic at the London Quant Group on June 14th, and likely at CQAsia in Hong Kong in late June.
Meantime Rob Smith‘s quant equity research team at JP Morgan in Hong Kong just published a really nice piece, “Trade Timing in Global Equities” referencing our paper, which captures the same idea; they’ve been getting quite a bit of traction with it. They do things a little differently, of course, as they don’t use TM1 and run their tests on a monthly framework, but the basic finding is the same: that there are several ways short-horizon alphas can improve trading without dramatically altering the composition of a long-horizon strategy. Their research is available on Bloomberg, and at their research portal MorganMarkets(login required).
It’s nice to see our work confirmed, and indeed extended to global portfolios. The timing framework is still rare among managers we speak to, but it seems to be gaining interest!