Estadísticas › Intraday y microestructura de mercado › Short horizon reversal
Daily reversal pays 0.30 per cent on transaction prices and 0.18 on midpoints
| Construction | Mean a day | Standard deviation | Annualised Sharpe |
|---|---|---|---|
| Stocks, transaction prices | 0.30% | 0.56 | 8.44 |
| Stocks, transaction prices, beta hedged | 0.29% | 0.48 | 9.58 |
| Stocks, quote midpoints | 0.18% | 0.61 | 4.50 |
| Stocks, quote midpoints, beta hedged | 0.17% | 0.54 | 4.91 |
| 48 industries, transaction prices | 0.02% | 0.52 | 0.56 |
| The broad market index, for comparison | 0.02% | 1.35 | 0.26 |
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.
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