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Latest Blog Posts

  • Benchmarking TAA Portfolios
    by Paul
    May 14, 2024
    What is the appropriate benchmark for a TAA portfolio? This is a subtle but I think often overlooked aspect when measuring the performance of a TAA strategy or portfolio. The classic choice, just like in buy and hold, is the 60/40 US stock, US bond portfolio. The are other choices… Read more: Benchmarking TAA Portfolios
  • An Update on TAA Strategy Performance
    by Paul
    May 2, 2024
    It’s been a while since I’ve write about TAA Strategy Performance so I thought it was high time for an update. I’ll compare mainly long term performance but also the consistency of that performance of about 90 TAA strategies. Also, I’ve made some some small but important changes to my… Read more: An Update on TAA Strategy Performance
  • How To Choose A Quant Strategy
    by Paul
    April 25, 2024
    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: How To Choose A Quant Strategy
  • A Re-introduction To Quantitative Investing
    by Paul
    April 19, 2024
    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: A Re-introduction To Quantitative Investing
  • Trend Following with Return Stacking
    by Paul
    April 11, 2024
    After my last post on using trend following in Crypto markets I thought I’d continue on that thread and look at applying trend following on a newish concept (similar concepts have existed at the institutional level for a long time) in creating diversified portfolios, called return stacking. First, what is… Read more: Trend Following with Return Stacking
  • Trend Following in Crypto Markets
    by Paul
    April 6, 2024
    It has been a while since I’ve updated the blog. These days I spend most of my time writing for subscribers of my newsletter but I’d like to get back to writing publicly again. So, to launch myself back into public blogging I thought I would write about Crypto and… Read more: Trend Following in Crypto Markets
  • Volatility Curve Models 2021 Performance
    by Paul
    January 17, 2022
    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: Volatility Curve Models 2021 Performance
  • TAA Strategy Performance Ranks For 2021
    by Paul
    January 10, 2022
    Happy New Year to everyone! A quick post to present the performance results of the TAA strategies that are part of the Economic Pulse and Quant Pulse Newsletters. I’ll also discuss how the performance compares to other TAA strategies. Overall, it was a good year for my strategies and I’m quite pleased… Read more: TAA Strategy Performance Ranks For 2021
  • Momentum in individual stock quant strategies
    by Paul
    April 29, 2021
    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: Momentum in individual stock quant strategies
  • Comparing Portfolio Performance (1973 To 2020)
    by Paul
    February 20, 2021
    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: Comparing Portfolio Performance (1973 To 2020)
  • Quant Strategies: Historical Performance Update (2020)
    by Paul
    January 20, 2021
    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: Quant Strategies: Historical Performance Update (2020)
  • TAA Strategy Performance for 2020
    by Paul
    January 12, 2021
    A quick post to present the performance results of the TAA strategies that are part of the Economic Pulse and Quant Pulse Newsletters. I’ll also discuss how the performance compares to other TAA strategies. Let’s dive in. First, let’s look at the TAA strategies that are part of the Economic… Read more: TAA Strategy Performance for 2020
  • The Pain Factor in TAA vs the Reward – part II
    by Paul
    November 3, 2020
    This post is a follow up to my last post on the pain factor in TAA strategies. In that post I compared the various TAA strategies by three common pain points that I hear from investors; taxes, number of trades, and turnover. In this post I want to incorporate the… Read more: The Pain Factor in TAA vs the Reward – part II
  • The Pain Factor in TAA Strategy Implementation
    by Paul
    October 22, 2020
    TAA strategies look amazing on paper. After all, what is not to like about higher absolute and higher risk-adjusted returns over a buy and hold portfolio? But in the real world when implementing TAA strategies there are a few common barriers that limit and make difficult their implementation for many… Read more: The Pain Factor in TAA Strategy Implementation
  • Ten Year Blogiversary!
    by Paul
    September 16, 2020
    Wow! I just realized this morning that 2 days ago, September 14th, was my 10 year blogiversary. When I started writing this blog I never imagined I would still be doing it 10 years later. I wrote my first blog post in our first year of full-time RV’ing across the… Read more: Ten Year Blogiversary!
  • Combining SPY-COMP and the Volatility Curve Models
    by Paul
    August 11, 2020
    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: Combining SPY-COMP and the Volatility Curve Models
  • Extended backtest of Volatility Curve Model
    by Paul
    July 17, 2020
    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: Extended backtest of Volatility Curve Model
  • Quant investing: Enhanced Volatility Curve Model
    by Paul
    July 11, 2020
    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: Quant investing: Enhanced Volatility Curve Model
  • Update on VOL CURVE Model YTD Performance
    by Paul
    June 24, 2020
    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: Update on VOL CURVE Model YTD Performance
  • SPY-COMP on AllocateSmartly
    by Paul
    April 25, 2020
    A quick post today to let you know that my base strategy from the Economic Pulse Newsletter has been tested by AllocateSmartly and is now available on the platform. I wanted to put my base TAA model to the test on an apples to apples basis against the best TAA… Read more: SPY-COMP on AllocateSmartly
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