An optimized, risk-managed approach to quant investing If you’re reading this, you’re interested in learning and more about and using quantitative stock portfolios in your investment arsenal. And hopefully you’re familiar with the basics of this type of quant investing. The basic principle is to take a quantitative and portfolio Read more…
My apologies for the lack of posting recently. I’ve had many life changes recently. You may know already, but my wife and I recently moved to the SW of France. We’ve bene here since early April and it’s taken a while to settle in and get into a new rhythm Read more…
In today’s post I present Q1 2018 performance stats for the various quant strategies that I cover on the blog. Let’s get started. Below are the first quarter total return and max drawdown numbers for the various quant strategies I track. For explanations of the various quant strategies see the portfolios page. Read more…
In today’s post I present full year 2017 performance stats for the various quant strategies that I cover on the blog. Let’s get started. Below are the 2017 full year total return and max drawdown numbers for the various quant strategies I track. For explanations of the various quant strategies Read more…
Today I want to talk about momentum. I’m always struck by the hand wringing I see from investors as prices reach new highs. This seems particularly evident over the last year during a great run for stocks. This is odd when you look at the historical evidence for momentum. Momentum Read more…
In today’s post I’m going to present how using a simple economic indicator can increase returns and lower drawdowns in quant portfolios. I’ve alluded to this in many of my quant posts in the past. Here I present the results of such an approach across a range of quant portfolios. Read more…
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 Read more…
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 Read more…
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 Read more…
It’s time to get back to talking about quant portfolios. I haven’t posted on any quant related stuff in a while. Doesn’t mean anything. I’ve just been focused on other things. And my quant portfolios require very little maintenance so once they’re up and running there is not much to Read more…
In quant investing there is always an urge to continuously look for ways to improve a model. Trying better ways of doing things can be a worthy and profitable endeavor. After all, markets do change. You learn new things, etc… But it can also be fraught with pitfalls. Data mining is a Read more…