Investing For A Living

3 min read 2021-04-30 00:52:03

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

3 min read 2021-02-20 16:39:21

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

4 min read 2021-01-20 17:19:37

This post updates the quant strategies performance through year end 2020. The 2019 version of the post is here. If you’re new to all this quant

3 min read 2021-01-12 20:37:24

A quick post to present the performance results of the TAA strategies that are part of the Economic Pulse and Quant Pulse Newsletters. I’ll also

3 min read 2020-11-03 16:07:08

This post is a follow up to my last post on the pain factor in TAA strategies. In that post I compared the various TAA strategies by three common

4 min read 2020-10-22 17:10:05

TAA strategies look amazing on paper. After all, what is not to like about higher absolute and higher risk-adjusted returns over a buy and hold

3 min read 2020-08-11 15:10:49

In today’ post, I’ll formally outline a model I’ve alluded to several times in the past, the VOL-COMP model. The model is a combination of the

3 min read 2020-07-17 18:25:28

In this post I present an extended backtest of the Volatility Curve Model. To understand the methodology and investment model behind my analysis you

3 min read 2020-07-11 14:36:53

In this post I introduce an enhancement to the original volatility curve model. The enhanced version of the model introduces a mean reversion

3 min read 2020-06-24 18:09:07

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

1 min read 2020-04-25 15:07:07

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

3 min read 2020-03-09 16:51:29

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

3 min read 2020-01-27 19:29:02

In today’s post I want to take a look at an alternative measure of risk in portfolios, the Ulcer Performance Index, and use it to rank the various

3 min read 2020-01-21 01:21:57

Time for my annual post updating statistics for the various portfolios that I track. This is the last post rounding up 2019 statististics. All

4 min read 2020-01-15 23:00:45

This post updates the quant strategies performance through year end 2019. The 2018 version of the post is here. If you’re new to all this quant