One of the challenges of using a quantitative approach to investing in individual stocks is choosing the actual strategies to use among of sea of seemingly ever expanding strategies. In my quant work I’ve narrowed down the universe of strategies to 11 but that is still an overwhelming number of Read more…
This post updates the quant strategies performance through year end 2020. The 2019 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 where I have Read more…
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…
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 Read more…
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…
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 Read more…
This is my last post in the three part series on TAA bond portfolios before I get back to the equity side of things. Today I wanted to look at a way an investor can significantly increase returns in their bond strategies. The TAA strategy I’ll present below uses fixed Read more…
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…
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…
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…
** 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…