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Tag Archives: OShaughnessy
In quant investing there is always an urge to continuously look for ways to improve a model. Trying better ways of doing things can be a worthy and profitable endeavor. After all, markets do change. You learn new things, etc… But it can also be fraught with pitfalls. Data mining is a constant worry. With these caveats in mind in this post I’ll take a look at a potential new value composite metric and it’s performance over the last 16 years. My idea for a new value composite comes from Professor Damodaran at NYU, his blog is at Musing on Markets. His academic … Continue reading
Recently, Jim O’Shaughnessy, the author of What Works On Wall Street, took to Twitter with his first tweet storm (basically a short post in a series of tweets). In it he spoke about his thoughts on active management. I thought I should capture it for future reference. I’ll add comments and links throughout. What Works On Wall Street (4th edition) is basically 681 pages on a handful of factors; mainly value and momentum, with minor roles played by small-cap, equal-weighting, and quality. The lack of ability to focus on the long term is the number one behavioral issue that prevents … Continue reading
Any investment strategy that is not ‘the market’ will experience periods of under performance. Sometimes quite extended like value investing in the late 90s. How an investor handles those periods of underperformance goes a long way to determining whether they have any chance of outperforming the averages over time. In today’s post I want to highlight the recent under performance of one the best performing quant strategy from What Works on Wall Street. In my first post on quantitative investing I introduced the top quantitative investing strategies as presented in the book What Works on Wall Street by O’Shaughnessy. I focused … Continue reading