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Tag Archives: microcap
After my last post updating quant system performance I realized I’ve never posted on one of the quant systems, the microcap trending value system. In this post I’ll describe the microcap trending value system, its historical performance, and a tweak from the O’Shaughnessy version of the system which improves performance. The top performing quant system, by annual return, from O’Shaughnessy’s What Works On Wall Street is the microcap trending value system. From the Table 28.1, page 597, from 1965 through 2009 the strategy returned 22.33% per year with a standard deviation of 20.38%, Sharpe ratio of 0.85, and a max … Continue reading