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Tag Archives: Consumer Staples
I’ve received a fair amount of interest in providing an update to the quant portfolios I’ve presented on the blog in the past. For those trying to implement the portfolios themselves it can provide a good check on their implementations. For newbies, it is a good re-intro to the power of quant systems. In this post I’ll start with the consumer staples value system. I introduced the consumer staples value system in this post. It is one of the easiest quant systems to implement. It simply limits the stock universe to the consumer staples sector, ranks the stocks by shareholder … Continue reading
Today’s post will cover the second half of the Combined Consumer Staples/Utilities Strategy presented in the book What Works On Wall Street. The first part was covered in my last post. This strategy has one of the best risk adjusted returns of all the strategies tested and also has the lowest downside risk. The utilities portion of this strategy offers compound returns of 16%, a sharpe ratio of 0.76, and a drawdown of 33%. With strong compound returns, lower risk, and reasonably high base rates this strategy should be at the top for more conservative investors interested in adding quant strategies to … Continue reading
After a few introductory posts (part 1, part 2, part 3) on quantitative investing it’s time to get down to some real current portfolios. In this post I want to look at the first half one of the best risk adjusted return strategies presented in What Works On Wall Street and how an investor can implement it in their own portfolio. The Combined Consumer Staples/Utilities Strategy is one of the best strategies ranked by risk-adjusted return with annual returns of 16.56%, a Sharpe ratio of 0.84 and also with a maximum drawdown of -34%. This strategy leverages investing in the … Continue reading