Tag Archives: Trending Value

TAA vs buy and hold in overvalued markets

US stocks are expensive. There seems to be article after article on the expensiveness of US stocks these days. Plus, bonds in general are really really expensive. Both US stocks and all bonds are in the top (90th+ percentile) tiers of expensiveness relative to history. As Cliff Asness of AQR points out, the problem is that they are both at these expensive levels at the same time, which hasn’t happened ever. That means that a portfolio of US stocks and bonds (50/50, 60/40, take your pick) has a very low expected return going forward. Maybe the lowest ever. OK. Now what? … Continue reading

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Quantitative investing: trending value system update

In today’s post I’ll update the Trending Value quant system. The primary difference Trending Value has in relation to the three other systems that I have updated (Utilities Value, Consumer Staples Value, and Enhanced Yield) is that it uses relative price momentum in addition to value to screen for stocks. I first discussed the system almost 2 years ago now. Let’s update the results and see how it has performed and what stocks the screen favors today. The trending value system combines the best of value and momentum. It first uses a composite value score (VC2), like in the utilities … Continue reading

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Trending value performance update (Aug 2013 port)

This is a simple house keeping post on a quant portfolio from last year. In the comments section of my post last year on the Trending Value portfolio I linked to a Trending Value portfolio I created as of Aug 9 2013 to help some readers compare holdings in their versions of trending value portfolios. The link to that portfolio in Google sheets is here. The portfolio I reference here is the TV2 FCF NA 50 tab. Below I update the one year performance for that portfolio. First, the snapshot at the close on Aug 9 2014 from my FINVIZ … Continue reading

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A year in the life of a trending value portfolio

It’s kind of hard to believe but almost a year ago I introduced the trending value quant portfolio. Since I’m coming up on a rebalancing and I’ll start work on the new portfolio this weekend I wanted to take a look back and see how last year’s portfolio performed. Also, I’ll point out some highlights and lowlights in the portfolio. Lets start with performance. Below is a snapshot as of this morning of the performance of the trending value portfolio from June 14,2013. I use a $100K portfolio starting value because FINVIZ has a feature where it automatically calculates the … Continue reading

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Quantitative Investing – Trending Value Strategy

Time to move on to the next quant strategy I want to highlight. This post will cover a strategy called Trending Value, aka the value stocks on the mend strategy. This strategy is the top ranked strategy by risk adjusted return (sharpe ratio) in the book What Works On Wall Street. This strategy shows the power of combining the three market factors that have been proven to outperform over time; size, value, and momentum. Actually you get two strategies out of this one since you start out with a powerful value screen. With the basics we learned in the previous … Continue reading

Posted in Portfolio, Quant Investing | Tagged , , , , | 59 Comments