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Quant

Quant Investing

Comparing Portfolio Performance (1973 To 2020)

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…

By Paul, 4 years ago
Quant Investing

Combining SPY-COMP and the Volatility Curve Models

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…

By Paul, 5 years ago
Quant Investing

Quant Investing: Greenblatt Value Strategy

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 Read more…

By Paul, 5 years ago
Quant Investing

Quant Investing: Volatility Curve Model

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 Read more…

By Paul, 5 yearsDecember 20, 2019 ago
Quant Investing

Quant investing: low volatility strategies

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 Read more…

By Paul, 6 yearsMarch 20, 2019 ago
Quant Investing

February 2019 QuantPulse Portfolio Update

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 Read more…

By Paul, 6 yearsFebruary 20, 2019 ago
Quant Investing

January 2019 QuantPulse Portfolio Update

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 Read more…

By Paul, 6 yearsJanuary 21, 2019 ago
Quant Investing

Quant Strategies: Historical Performance Update (2018)

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 Read more…

By Paul, 6 yearsJanuary 17, 2019 ago
Quant Investing

November QuantPulse Portfolio Update

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, Read more…

By Paul, 6 yearsNovember 26, 2018 ago
Quant Investing

October QuantPulse Portfolio Update

** Instead of sending a monthly email to QuantPulse Members I’ve decided to try the monthly post method. There is nothing really secret here that I’m giving away here so this post is open to all. The specifics of each quant portfolio, where the real value is, is for members Read more…

By Paul, 7 yearsOctober 28, 2018 ago
Quant Investing

Quant strategies: Q3 2018 performance

In today’s post I present Q3 2018 performance stats for the various quant strategies that are part of my new Quant Pulse Service. The strategies are slightly different than the versions I’ve presented previously in these series of posts. I will use the performance figures for the Quant Edge strategies Read more…

By Paul, 7 yearsOctober 3, 2018 ago

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