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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General

My interview on SystemTrader Podcast

A quick post this morning. Recently, I had the pleasure to be interviewed on the System Trader Podcast. Thanks Jack! Jack has had some great guests on his show like Gary Antonacci, Jack Vogel, Andreas Clenow and many more. The interview comes at a great time too as pretty soon, Feb 2010 to be exact, it will be 10 years…

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Bonds , TAA Investing

Enhancing Returns of TAA Bond Strategies

Note: an enhanced version of this strategy, BOND-COMP, is now part of the Economic Pulse Newsletter Most tactical asset allocation strategies focus on equites. That’s completely understandable. They are the highest return asset class over the long run and that is where most of the TAA research has been done. The principle factor that most TAA strategies exploit, momentum, also…

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TAA Investing

Tactical Asset Allocation 1H 2019 Overview

Note: one of my posts from last year, When Models Fail, was chosen for Faber’s Best Investment Writing Volume 3. Check it out if you get a chance. Time to take a quick look back at 2019 YTD performance. In this post I present a quick overview of 1H 2019 Tactical Asset Allocation performance and make some brief observations. Let’s…

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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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Quant Investing

February 2019 QuantPulse Portfolio Update

All of the QuantPulse portfolios and books have been updates for members as of Sunday, February 17, 2019. Also, all the performance figures have been updated. To learn more about the QuantPulse service or subscribe, see this introduction. For 2019 I’ve added options to allow subscriptions to individual strategies. This is a great way for beginners to become familiar with quant strategies…

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Portfolio , TAA Investing

TAA Batting Averages: Calculating Base Rates for TAA Portfolios

In today’s post I want to look at long term TAA model performance in a different way. I think intuitively most investors realize that any strategy they pick will have periods of outperformance and underperformance. But decision making under real circumstances exposes us to all kinds of biases which often cause is to make intuitive, gut decisions based on incomplete…

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