#6 - Volatility Effect in Stocks - Long-Short Version #7 - Volatility Effect in Stocks - Long-Only Version #20 - Volatility Risk Premium Effect Authors: Ilmanen Title: Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets? Link:

#237 - Dispersion Trading Authors: Deng Title: Volatility Dispersion Trading Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1156620 Abstract: This papers studies an options trading strategy known as dispersion strategy to investigate the apparent risk premium for bearing correlation risk

The paper gives evidence of a novel pricing factor for the cross-section of carry trade returns based on trade relations between countries. In particular, we apply network theory on countries' bilateral trade to construct a measure for countries' exposure to a global trade risk. A higher

#3 - Sector Momentum - Rotational System Authors: Du Plessis, Hallerbach Title: Volatility Weighting Applied to Momentum Strategies Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2599635 Abstract: We consider two forms of volatility weighting (own volatility and underlying volatility)

This paper tests the Pairs Trading strategy as proposed by Gatev, Goetzmann and Rouwenhorts (2006). It investigates if the profitability of pairs opening after an above average volume day in one of the assets are distinct in returns characteristics and if the introduction of a limit on the days the

#20 - Volatility Risk Premium Effect Authors: Israelov, Nielsen Title: Still Not Cheap: Portfolio Protection in Calm Markets Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2579232 Abstract: Recent equity volatility is near all-time lows. Option prices are also low. Many analysts suggest

#21 - Momentum Effect in Commodities #22 - Term Structure Effect in Commodities Authors: Bakshi, Bakshi, Rossi Title: Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2589057 Abstract: We show that a model

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Investors based in different countries earn different returns on same strategies because the same risks covary differently with countries' stochastic discount factors (SDFs). We document that investors in low-interest-rate countries earn more than those in high-interest-rate countries on

The aim of this paper is to investigate the impact of the financialization of commodity markets on the profitability of strategies based on momentum and term structure. The performance of an array of portfolios from double-sorts on non-commercial traders’ participation, historical returns and term

Pairs trading is a well-acknowledged speculative investment strategy that is widely used in the financial markets, and distance method is the most commonly implemented pairs trading strategy by traders and hedge funds. However, this approach, which can be seen as a standard linear correlation

#5 - FX Carry Trade #8 - FX Momentum Authors: Olszweski, Zhou Title: Strategy diversification: Combining momentum and carry strategies within a foreign exchange portfolio Link: http://apps.olin.wustl.edu/faculty/zhou/O_Z_JHDF_2014.pdf Abstract: Hedge funds, such as managed futures, typically use two

#12 - Pairs Trading with Stocks #55 - Pairs Trading with Country ETFs Authors: Leung, Li Title: Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2222196 Abstract: Motivated by the industry practice of pairs trading, we

#44 - Paired Switching Authors: Schizas, Thomakos Title: Market timing using asset rotation on exchange traded funds: a meta-analysis on trading performance Link: http://businessperspectives.org/journals_free/imfi/2013/imfi_en_2013_02cont_Schizas.pdf Abstract: The ultimate goal of any “paper”

Related research paper has been included into existing free strategy review. #100 - Trading WTI/BRENT Spread Authors: Lubnau Title: Spread trading strategies in the crude oil futures market Link: http://econstor.eu/bitstream/10419/96520/1/783913591.pdf Abstract: This article explores whether common

Related research paper has been included into existing free strategy review. #33 - Post-Earnings Announcement Effect Authors: Kwon, Kim Title: Investment Horizon of Shareholders and Post-Earnings-Announcement Drift Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2545189 Abstract: We

Related research paper has been included into existing free strategy reviews. #5 - FX Carry Trade #8 - FX Momentum #9 - FX Value – PPP Strategy Authors: Pojarliev, Levich Title: A New Look at Currency Investing Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2571391 Abstract: The authors

#83 - Pre-Holiday Effect Authors: Carchano, Tornero Title: The Pan-European Holiday Effect Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2556949 Abstract: The construction of a single European block in the context of financial markets has caused the different national stock exchanges of