Recently, Jim O’Shaughnessy, the author of What Works On Wall Street, took to Twitter with his first tweet storm (basically a short post in a series of tweets). In it he spoke about his thoughts on active management. I thought I should capture it for future reference. I’ll add comments and links throughout. What Works On Wall Street (4th edition)…
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Building a portfolio from individual quant strategies
In this post I want to briefly return to putting together quantitative strategies into a an overall portfolio. I wrote about this in 2014 but I have better tools and more data now. Basically let’s build a portfolio of quant strategies that reflects a typical 60/40 US stock US bond benchmark and compare portfolio statistics to the SP500 and to…
Tactical asset allocation – April 2016 update
March was good month for risk assets. Let’s see if it continues in April. Here is the tactical asset allocation update for April 2016. Below are the updates for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found here. These signals are valid after every trading day. So, while I’ll maintain these month end updates this means that…
Juicing up small cap value quant portfolios
The world of quantitative finance is never boring. At least not from the research perspective. Today I want to explore some new research from one of the top quant shops on the small company effect and see how an investor can apply it simply to an existing quant approach. Specifically, I want to investigate if adding a quality screen to…
A trend following bond portfolio for any environment
Interest rates are going up. Interest rates are going down. The 30 year bull market in bonds is coming to an end. The FED cannot afford to raise rates significantly without killing the economy. Bonds will have negative real returns going forward. We’re in the biggest bond bubble of all time. Bonds are still the best diversifier of equity risk.…
One portfolio to rule them all?
Unfortunately, portfolios are not like a certain type of ring, forged with magical powers to rule over the world, man/hobbit/elf kind, and all other types of investment portfolios. There is no one portfolio to rule them all. There are many different styles and types of portfolios with very different characteristics, asset allocations, and histories. Most importantly, the appropriate type of investment…
Using dividends to cushion against market gyrations
Early in 2013 I presented a quantitative strategy based on dividend paying stocks from OShaughnessy’s What Works On Wall Street. The Enhanced Dividend Yield strategy. The strategy provides market beating returns, higher sharpe ratios, and a healthy dividend stream. One of the best things about this strategy is it’s high stick-to-it-iveness. That’s a highly technical financial term that means that…
Improving the performance of quant value portfolios
Value investing holds the promise of great returns over the long run and appeals to many investor’s innate sense of value derived from their personal experiences. But value investing has a couple of key downsides that make it very hard for many investors to stick with the approach long enough to experience the promised great long term out performance. Big…
Trending value performance update (Aug 2013 port)
This is a simple house keeping post on a quant portfolio from last year. In the comments section of my post last year on the Trending Value portfolio I linked to a Trending Value portfolio I created as of Aug 9 2013 to help some readers compare holdings in their versions of trending value portfolios. The link to that portfolio…
Yes, you are trying too hard
“True wisdom comes to each of us when we realize how little we understand about life, ourselves, and the world around us.” Socrates When I read the Socrates quote above I can’t imagine what he would have said about today’s world. We live in a highly complex non-linear world with access to way more information than even massive computers can…
A year in the life of a trending value portfolio
It’s kind of hard to believe but almost a year ago I introduced the trending value quant portfolio. Since I’m coming up on a rebalancing and I’ll start work on the new portfolio this weekend I wanted to take a look back and see how last year’s portfolio performed. Also, I’ll point out some highlights and lowlights in the portfolio.…