Quant Investing

Quant Strategies: Q1 2018 Performance

In today’s post I present Q1 2018 performance stats for the various quant strategies that I cover on the blog. Let’s get started. Below are the first quarter total return and max drawdown numbers for the various quant strategies I track. For explanations of the various quant strategies see the portfolios page. All equity portfolios consist of 25 stocks and were formed…

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Quant Investing

Quant strategies: 2017 Performance

In today’s post I present full year 2017 performance stats for the various quant strategies that I cover on the blog. Let’s get started. Below are the 2017 full year total return and max drawdown numbers for the various quant strategies I track. For explanations of the various quant strategies see the portfolios page. All equity portfolios consist of 25 stocks and…

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Quant Investing

Quant strategies: Q3 2017 YTD performance update

Q3 2017 is now behind us. Time to update some performance numbers. In this post I update the quant portfolio performance stats for through Q3 2017. Below are the 2017 YTD total return (through Sep 30, 2017) and max drawdown numbers for the various quant strategies I track. For explanations of the various quant strategies see the portfolios page. All equity portfolios…

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Quant Investing

Quant investing: getting the big things right

Keep it sweet and simple. That’s the fit-for-publishing version of KISS. And it is critical for being successful in the long term with quant investing. The biggest mistake I see new quant investors make is over complicating things. This just leads to failure. By focusing on a few high impact factors a quant strategy can still significantly outperform while being…

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Quant Investing

Quant investing: the profitability factor

What would you think of a quant strategy that only invests in the most profitable companies? Would it under perform the market or beat the market? If you’re an efficient market person you may think that higher profitability must be priced into equities and therefore at best the strategy would match the market. Not so. Turns out that profitability is…

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Quant Investing

Quant investing: a better value composite?

In quant investing there is always an urge to continuously look for ways to improve a model. Trying better ways of doing things can be a worthy and profitable endeavor. After all, markets do change. You learn new things, etc… But it can also be fraught with pitfalls. Data mining is a constant worry. With these caveats in mind in this post…

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Quant Investing

Quant strategies: Q1 2017 performance update

Here are the Q1 2017 total return and max drawdown numbers for the various quant strategies I track. For explanations of the various quant strategies see the portfolios page. All equity portfolios consist of 25 stocks and were formed at the end of 2016. No changes in the holdings since that time (except for the TAA Bond strategy which re-balances every 4…

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