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 […]
This post updates the quant strategies performance through year end 2019. The 2018 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. Then you […]
In this post I take a look a popular and quite simple quant strategy that combines value and profitability, the Greenblatt Value Strategy. Results are impressive and the strategy has held up better than most value strategies over the last 10 years. And even more impressive it has even outperformed […]
Update: added comparison to SPY-COMP. This post introduces a quant trading model based on volatility. More specifically it uses the prices of volatility futures contracts based on the SP500 to make risk-on and risk-off decisions that can be used to trade various risk-assets. Why Volatility? There is a bunch of […]
Back in March of this year I posted about a low volatility quant strategy that I added to the QuantPulse subscription. In that post I mentioned a strategy that combines the low volatility, value, and momentum factors to increase performance and still keep drawdowns in check. The strategy is called […]
In this post I describe a simple low volatility quant strategy that outperforms the market and another strategy that combines low volatility with value and momentum to provide further outperformance. Stocks that exhibit low volatility outperform more volatile stocks, contradicting the efficient market theory and the capital asset pricing model […]
All of the QuantPulse portfolios and books have been updates for members as of Sunday, February 17, 2019. Also, all the performance figures have been updated. To learn more about the QuantPulse service or subscribe, see this introduction. For 2019 I’ve added options to allow subscriptions to individual strategies. This is a […]
All of the QuantPulse portfolios and books have been updates for members as of yesterday, January 20, 2019. Also, all the performance figures have been updated. To learn more about the QuantPulse service or subscribe, see this introduction. For 2019 I’ve added options to allow subscriptions to individual strategies. This is a […]
This post updates the quant strategies performance through year end 2018. For this year I decided to combine the 2018 year end performance and the overall historical returns update for the strategies all in the same post. The 2017 versions of the posts are here and here. If you’re new to […]
All of the QuantPulse portfolios and books have been updates as of today, December 23, 2018. Also, all the performance figures have been updated. The QuantPulse homepage remains open to the public. To read about the service see this introduction. Now, on to the update. Performance for the 4-week period ending Dec 21, 2018, […]
All of the QuantPulse portfolios and books have been updates as of yesterday, November 25, 2018. Also, all the performance figures have been updated. The QuantPulse homepage remains open to the public. To read about the service see this introduction. Now, on to the update. Performance for the 4-week period ending Nov 23, 2018, […]