Quant strategies: Q3 2017 YTD performance update

Q3 2017 is now behind us. Time to update some performance numbers. In this post I update the quant portfolio performance stats for through Q3 2017. Below are the 2017 YTD total return (through Sep 30, 2017) and max drawdown numbers for the various quant strategies I track. For explanations of the various quant strategies see the portfolios page. All equity portfolios…

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Quant investing: getting the big things right

Keep it sweet and simple. That’s the fit-for-publishing version of KISS. And it is critical for being successful in the long term with quant investing. The biggest mistake I see new quant investors make is over complicating things. This just leads to failure. By focusing on a few high impact factors a quant strategy can still significantly outperform while being…

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Quant investing: the profitability factor

What would you think of a quant strategy that only invests in the most profitable companies? Would it under perform the market or beat the market? If you’re an efficient market person you may think that higher profitability must be priced into equities and therefore at best the strategy would match the market. Not so. Turns out that profitability is…

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Quant investing: making momentum tolerable

For today’ s post and the next few I’ll be going back to my favorite topic, quant investing. In this post I want to explore pure momentum quant portfolios and in particular ways to make pure momentum investing tolerable and implementable to more investors. Note: for a refresher on momentum and its power (arguably the most powerful factor in investing) see…

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Quant stock investing vs smart beta strategies

Factor based investing has become quite popular these days. Factors are characteristics of a group of stocks, the most famous being value and small cap, that are used to sort the overall universe of stocks. For quite some time certain factors have been shown to outperform the overall market over extended periods of time. The finance industry has jumped all…

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Quant investing: microcap trending value

After my last post updating quant system performance I realized I’ve never posted on one of the quant systems, the microcap trending value system. In this post I’ll describe the microcap trending value system, its historical performance, and a tweak from the O’Shaughnessy version of the system which improves performance. The top performing quant system, by annual return, from O’Shaughnessy’s…

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When quant portfolios underperform

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…

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What to do about poor future returns

There’s been a lot of chatter recently about asset valuations, in particular US stocks and US bonds, and their impact of future returns. This is nothing new. It just seems to get louder at the start of every new year. I’ve discussed this topic before on the blog. Last time here. Basically, my point was that we may indeed, in…

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Improving the performance of quant value portfolios

Value investing holds the promise of great returns over the long run and appeals to many investor’s innate sense of value derived from their personal experiences. But value investing has a couple of key downsides that make it very hard for many investors to stick with the approach long enough to experience the promised great long term out performance. Big…

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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…

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