We analyze empirical data for 4,000 real-life trading portfolios (U.S. equities) with holding periods of about 0.7-19 trading days. We find a simple scaling C ~ 1 / T, where C is cents-per-share, and T is the portfolio turnover. Thus, the portfolio return R has no statistically significant...

Cover -- Title Page -- Copyright -- Contents -- Preface -- Preface (to the Original Edition) -- Acknowledgments -- About the WebSim Website -- PART I Introduction -- 1 Introduction to Alpha Design -- Designing Alphas Based on Data -- Defining Quality in Alphas -- Alpha Construction, Step By Step...