Quant Investing

Q&A on Volatility Curve Model

Recently, I have received a bunch of questions on the volatility curve model that I introduced a few months back. In this post I wanted to answer a few key questions on the model. Current Status What has the model done during this most recent period? The details are for subscribers only but the model did trigger risk off and…

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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 the index over the last 3 years, which is saying…

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Quant Investing

Quant investing: the conservative formula

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 the Conservative Formula and you can read a great summary…

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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 (CAPM). For a great explanation of the low volatility anomaly…

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