Tag Archives: Utilities

Quantitative Investing – Utilities Strategy

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. TheĀ utilitiesĀ 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

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