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…
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2014 quantitative portfolio performance
It is that time of year to start updating performance figures for the various portfolios I track here on the blog. In this post I’ll quickly present the performance of the quant portfolios I’ve presented in the past. The quant portfolios I’ve presented on the blog are (with links to the into post): Trending value Utilities value Consumer staples value…
Putting together quant portfolios
One of the more overlooked areas of quantitative investing is how to integrate quant strategies into a diversified portfolio. Let’s look at a few of the issues involved and some possible solutions. I’ve discussed the big allocation decision already, i.e. how much to put into quant strategies vs bonds already. I think this decision should be primarily driven by how much…
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…
A better retirement through quantitative investing
Today I finally get around to doing something I mentioned way back in my first post on quantitative investing. Quant portfolios can help an investor handily beat the market over time and often with even lower risk. If that is the case then how could they impact safe withdrawal rates (SWRs) in retirement? Lets find out. I’ve sort of already…
Quant investing: building a better index
Today I wanted to take a look at how you can use quant investing to build a better stock market index. For my previous posts on quant investing see this series of posts. In a way stock market indices are quantitative models. And due to history and other factors they are not very well constructed. For example, the Dow Jones…
Quantitative investing – going global
One of the great things about learning how to do your own Quantitative screening is that once you’ve mastered the basics and learned how to implement popular screens you can then customize screens to fit your investment style, new ideas, etc… In this post I’ll take a look at how we can modify the basic O’Shaugnnessy Value Composite 2 and…
Quantitative investing in a can
For today I’d like to get back to one of my favorite topics, Quantitative Investing. I did a series of 7 posts (the last one in the series is here) showing how an investor can implement quantitative strategies on their own with free or low cost available tools. But this is still more than many investors can or are willing…
Quantitative Investing – Enhanced Dividend Yield
Today I want to cover the Enhanced Dividend Yield quant strategy from What Works On Wall Street. This strategy is a bit more complicated to implement than the others I’ve covered (see previous posts), especially for individual investors. Its performance results are much better than other dividend based strategies. While not as good as the strategies I’ve presented previously it…
Quantitative Investing – Trending Value Strategy
Time to move on to the next quant strategy I want to highlight. This post will cover a strategy called Trending Value, aka the value stocks on the mend strategy. This strategy is the top ranked strategy by risk adjusted return (sharpe ratio) in the book What Works On Wall Street. This strategy shows the power of combining the three…
Quantitative Investing – Utilities Strategy
Today’s post will cover the second half of the Combined Consumer Staples/Utilities Strategy presented in the book What Works On Wall Street. The first part was covered in my last post. This strategy has one of the best risk adjusted returns of all the strategies tested and also has the lowest downside risk. The utilities portion of this strategy offers compound returns…