Quant investing: microcap trending value

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…

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