Following up on my last post re-introducing quantitative investing in individual stocks, I wanted to address probably the most important part of investing in individual stocks with quantitative methods, and that is how to choose which strategies to invest in? I’ll start out with a very obvious method but in Read more…
It’s been almost 11 years now since I posted my introduction to quantitative investing. It’s kind of hard to believe as I’m typing these words. A lot has happened since that summer day in 2013. And a lot has stayed the same. Learning about, implementing, and allocating to this type Read more…
Next up on the performance review for 2021 are the Volatility Curve Models that are part of the Quant Pulse service. For a quick background on these models and hoe they work, start with this post where I first introduced the concepts behind the volatility curve model. Also, here are Read more…
One of the challenges of using a quantitative approach to investing in individual stocks is choosing the actual strategies to use among of sea of seemingly ever expanding strategies. In my quant work I’ve narrowed down the universe of strategies to 11 but that is still an overwhelming number of Read more…
Time for my annual post updating statistics for the various portfolios that I track. This is the last post rounding up 2020 statistics. All portfolio stats were gathered using AllocateSmartly, P123, and various other sites like MSCI. Obviously, there are many more portfolio options out there. This is just a sampling Read more…
This post updates the quant strategies performance through year end 2020. The 2019 version of the post is here. If you’re new to all this quant stuff, and like what you see, you can start on my Portfolios page and read through the posts in the quant section where I have Read more…
In today’ post, I’ll formally outline a model I’ve alluded to several times in the past, the VOL-COMP model. The model is a combination of the SPY-COMP model (which is the basis for all the models in the Economic Pulse Newsletter) and the VOL Curve Original model with several enhancements. While Read more…
In this post I present an extended backtest of the Volatility Curve Model. To understand the methodology and investment model behind my analysis you can read the original vol curve post here. The Q&A post on the model can be found here, and the enhanced version of the model here. Read more…
In this post I introduce an enhancement to the original volatility curve model. The enhanced version of the model introduces a mean reversion component to the original model that seeks to take advantage of extreme high volatility situations in order to enhance returns. Let’s dive right in. First, let’s take Read more…
The VOL CURVE model recently closed out it’s latest trade, that was started by the risk-off signal on Feb 24th, 2020. Here I just wanted to update the results of the model including this latest trade. First, let’s just look at the current snapshot of where the model’s year to Read more…
Recently, I have received a bunch of questions on the volatility curve model that I introduced a few months back. In this post I wanted to answer a few key questions on the model. Current Status What has the model done during this most recent period? The details are for Read more…