Reference: BEST PRACTICES IN RESEARCH FOR QUANTITATIVE EQUITY STRATEGIES
Taxonomy is simply a classification of something.
- Strategies differ in their motivation to trade, information used to trade,and the instrunments traded.
- Metrics such as: trading frequencies, and holding periods are functions of the investment theory underlying the strategy.
- Multifactor strategies: Models which invest in equities based on multiple characteristics that replicate how investors make decisions.
- Allocation strategies: Strategies which make decisions based on allocations to different variables eg. Factor timing, sectors, regime switching etc.
- Stock specific strategies: Strategies which focus on information available to a specific individual security.
- Event studies: Strategies which generate alpha from certain market events,such as M&A, Earnings announcements.
- Market micro-structure strategies: Strats which exploit profitable opportunities arising from trading flows and dynamics of the equity markets.
- Stat-Arb: Strategies which exploit systematic relationships among equity securities with similar characteristics.
- Textual strats: Quant strats based on qualitative textual signals, such as news reports, internet sentiment on social media.
- Macro-strategies: Strats which trade baskets of securities based on broad themes in the economic environment, tech, demography etc.