Tag Archives: Shareholder Yield

Quant investing: improving the value of shareholder yield

Part of quant investing is always being on the look out for better metrics and systems that enhance performance. Today I want to look at a simple improvement to the value metric shareholder yield. I’ll look at this in the context of the quant index replication strategy I posted on here. First, lets look at shareholder yield in more detail. Recently there has been some interesting discussion on the level of buybacks, as a percentage of market cap, and how strong a conviction by management that represents. The idea being that the higher percentage of shares a company is buying … Continue reading

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Quant investing: building a better index

Today I wanted to take a look at how you can use quant investing to build a better stock market index. For my previous posts on quant investing see this series of posts. In a way stock market indices are quantitative models. And due to history and other factors they are not very well constructed. For example, the Dow Jones index is comprised of 30 stocks weighted by the price of the stocks! Kind of silly in today’s day and age no? How about the grand daddy of the indices, the SP500? It’s much better than the Dow but still … Continue reading

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Quantitative Investing – Consumer Staples Strategy

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

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