Here are the 2015 total return 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 consist of 25 stocks and were formed at the end of 2014. No changes in the holdings since that time. In […]
Now, that equity markets have experienced a nice 10%+ correction this year I thought it would be of value to look at the performance of various quant strategies year to date, especially during a tough year for stocks as 2015 has been. For explanations of the various quant strategies see […]
This page is a list of the various portfolios I frequently talk about on the blog, along with links to the portfolio source material and/or my posts describing the portfolios. I also have three sub pages. One has the daily status of the GTAA13, AGG3, and AGG3 portfolios, and one […]
In today’s post I’ll update the Trending Value quant system. The primary difference Trending Value has in relation to the three other systems that I have updated (Utilities Value, Consumer Staples Value, and Enhanced Yield) is that it uses relative price momentum in addition to value to screen for stocks. […]
Time to update quant system #3 in my series. See my previous two posts for the first two system updates (here and here). Today I’ll update the enhanced dividend yield system which I originally posted on almost 2 years ago. Let’s dive right in. The enhanced dividend yield strategy originally […]
In today’s post I’ll update the second quant investing system, the utilities sector value system. In my last post I updated the consumer staples value system. The utilities sector value system can be used on it’s own or combined in a portfolio with the consumer staples system. Lets get right […]
It is that time of year to start updating performance figures for the various portfolios I track here on the blog. In this post I’ll quickly present the performance of the quant portfolios I’ve presented in the past. The quant portfolios I’ve presented on the blog are (with links to […]
Early in 2013 I presented a quantitative strategy based on dividend paying stocks from OShaughnessy’s What Works On Wall Street. The Enhanced Dividend Yield strategy. The strategy provides market beating returns, higher sharpe ratios, and a healthy dividend stream. One of the best things about this strategy is it’s high […]
Today I finally get around to doing something I mentioned way back in my first post on quantitative investing. Quant portfolios can help an investor handily beat the market over time and often with even lower risk. If that is the case then how could they impact safe withdrawal rates […]
Today I want to cover the Enhanced Dividend Yield quant strategy from What Works On Wall Street. This strategy is a bit more complicated to implement than the others I’ve covered (see previous posts), especially for individual investors. Its performance results are much better than other dividend based strategies. While […]
Today’s post will cover the second half of the Combined Consumer Staples/Utilities Strategy presented in the book What Works On Wall Street. The first part was covered in my last post. This strategy has one of the best risk adjusted returns of all the strategies tested and also has the […]