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Statistik › Intraday und Marktmikrostruktur › Short horizon reversal

Daily reversal pays 0.30 per cent on transaction prices and 0.18 on midpoints

ConstructionMean a dayStandard deviationAnnualised Sharpe
Stocks, transaction prices0.30%0.568.44
Stocks, transaction prices, beta hedged0.29%0.489.58
Stocks, quote midpoints0.18%0.614.50
Stocks, quote midpoints, beta hedged0.17%0.544.91
48 industries, transaction prices0.02%0.520.56
The broad market index, for comparison0.02%1.350.26

Daily returns, weights proportional to the negative of market adjusted returns over the previous five days, scaled to one dollar long and one dollar short, January 1998 to December 2010 on all listed US common stocks. No t statistics or standard errors are reported for any of these means, which is a real limitation of the source. Returns are explicitly before trading costs, with a 50 per cent margin assumption.

The short term reversal strategy earns 0.30 per cent a day measured on traded prices and 0.18 on quote midpoints, so about forty per cent of the gross effect is bid and ask bounce that cannot be captured.

0.30%, Sharpe 8.44Daily reversal on transaction prices
0.18%, Sharpe 4.50The same on quote midpoints
0.02%, Sharpe 0.56Measured on 48 industries instead of stocks
0.28% to 0.35%Effective spread on the stocks that generate it

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