Quant Investing

Momentum in individual stock quant strategies

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 strategies to select from. In practice, you usually have to…

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Quant Investing , TAA 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 of three main portfolio varieties; buy and hold, TAA (tactical…

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Quant Investing

Update on VOL CURVE Model YTD Performance

The VOL CURVE model recently closed out it’s latest trade, that was started by the risk-off signal on Feb 24th, 2020. Here I just wanted to update the results of the model including this latest trade. First, let’s just look at the current snapshot of where the model’s year to date and overall the long term compared to it’s benchmarks.…

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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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