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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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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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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Quant Investing

January 2019 QuantPulse Portfolio Update

All of the QuantPulse portfolios and books have been updates for members as of yesterday, January 20, 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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Quant Investing

December QuantPulse Portfolio Update

All of the QuantPulse portfolios and books have been updates as of today, December 23, 2018. Also, all the performance figures have been updated. The QuantPulse homepage remains open to the public. To read about the service see this introduction. Now, on to the update. Performance for the 4-week period ending Dec 21, 2018, worse than the SP500. The 10 stock and 25 stock…

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Quant Investing

November QuantPulse Portfolio Update

All of the QuantPulse portfolios and books have been updates as of yesterday, November 25, 2018. Also, all the performance figures have been updated. The QuantPulse homepage remains open to the public. To read about the service see this introduction. Now, on to the update. Performance for the 4-week period ending Nov 23, 2018, on average matched the performance of the SP500. The 10…

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Quant Investing

October QuantPulse Portfolio Update

** Instead of sending a monthly email to QuantPulse Members I’ve decided to try the monthly post method. There is nothing really secret here that I’m giving away here so this post is open to all. The specifics of each quant portfolio, where the real value is, is for members only. All of the QuantPulse portfolios and books have been…

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Quant Investing

Quant strategies: Q3 2018 performance

In today’s post I present Q3 2018 performance stats for the various quant strategies that are part of my new Quant Pulse Service. The strategies are slightly different than the versions I’ve presented previously in these series of posts. I will use the performance figures for the Quant Edge strategies going forward.  Let’s get started. Below are the updated total…

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Quant Investing

Introducing the QuantPulse Service – a better way to quant

An optimized, risk-managed approach to quant investing If you’re reading this, you’re interested in learning and more about and using quantitative stock portfolios in your investment arsenal. And hopefully you’re familiar with the basics of this type of quant investing. The basic principle is to take a quantitative and portfolio approach to picking stocks. For an introduction to what this…

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