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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TAA Investing

SPY-COMP on AllocateSmartly

A quick post today to let you know that my base strategy from the Economic Pulse Newsletter has been tested by AllocateSmartly and is now available on the platform. I wanted to put my base TAA model to the test on an apples to apples basis against the best TAA strategies available on the best TAA backtesting platform. I felt…

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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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Portfolio , TAA Investing

Comparing Portfolio Performance (1973 To 2019)

Time for my annual post updating statistics for the various portfolios that I track. This is the last post rounding up 2019 statististics. All portfolio stats were gathered using AllocateSmartly, P123, various other sites like MSCI, and the wonder that is Excel. Obviously, there are many more portfolio options out there. This is just a sampling of three main portfolio varieties;…

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TAA Investing

TAA Batting Averages 2019

In this post I update my TAA Batting Averages post from last year. The introduction to that post sums up the intent of this excercise pretty well so I’ll just say the same thing again this year. In today’s post I want to look at long term TAA model performance in a different way. I think intuitively most investors realize…

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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: Volatility Curve Model

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 research that shows that historical volatility is predictive of future…

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