Quant Mashup - Sharpe Returns

Scenarios for Momentum Investing [Sharpe Returns]

In the previous post, we reviewed momentum’s robustness. We looked at how momentum has stood the test of time. We also stress-tested the Global Equities Momentum (GEM) strategy to see whether it’s performance is not overly sensitive to changes in the strategy’s settings (i.e. the 12-month(...)

Testing Momentum’s Robustness [Sharpe Returns]

Happy new year! I have noticed that my quantitative posts get the most readership and discussion. So this year, I’ll be posting a lot more research and will start the year off by exploring momentum’s robustness. There are two good ways to test the robustness of a rules-based trading strategy:(...)

Momentum on Individual Stocks vs Asset Classes [Sharpe Returns]

I had the pleasure of finally meeting Gary Antonacci earlier this year. Gary is the creator of the momentum strategy that I follow and have been discussing on this blog. I first came across his work in 2011 on the blog Abnormal Returns (which should be a daily read for investors). Gary and I have(...)

High Valuations and Low Yields [Sharpe Returns]

This is how your average buy-and-hold investor probably feels right now if they are looking to deploy new capital for the long run. Today, bond yields are puny while stock valuations are rich. In fact, we currently have one of the worst yield and value combinations in history as seen in the charts(...)

Should we consider Gold? [Sharpe Returns]

I read a post on Mebane Faber’s blog a few months back about something he calls the “Three-Way Model.” It’s a simple trend following model that uses 3 ETFs: Stocks, Bonds and Gold. The rule is simply: Invest equally in whatever is going "up" (ie. 3 month moving average > 10(...)