Quant Mashup - Investing for a Living
Quantocracy is now on Bluesky and Threads. See the links in the header. - Mike
A Re-introduction To Quantitative Investing [Investing For A Living]
It’s been almost 11 years now since I posted my introduction to quantitative investing. It’s kind of hard to believe as I’m typing these words. A lot has happened since that summer day in 2013. And a lot has stayed the same. Learning about, implementing, and allocating to this type of
- 7 months ago, 22 Apr 2024, 10:26pm -
Trend Following with Return Stacking [Investing For A Living]
After my last post on using trend following in Crypto markets I thought I’d continue on that thread and look at applying trend following on a newish concept (similar concepts have existed at the institutional level for a long time) in creating diversified portfolios, called return stacking. First,
- 7 months ago, 11 Apr 2024, 10:22pm -
Trend Following in Crypto Markets [Investing For A Living]
It has been a while since I’ve updated the blog. These days I spend most of my time writing for subscribers of my newsletter but I’d like to get back to writing publicly again. So, to launch myself back into public blogging I thought I would write about Crypto and how classic trend following
- 8 months ago, 6 Apr 2024, 06:12pm -
Quant Investing: Greenblatt Value Strategy [Investing For A Living]
In this post I take a look a popular and quite simple quant strategy that combines value and profitability, the Greenblatt Value Strategy. Results are impressive and the strategy has held up better than most value strategies over the last 10 years. And even more impressive it has even outperformed
- 4 years ago, 28 Dec 2019, 12:22am -
Quant Investing: Volatility Curve Model [Investing For A Living]
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
- 4 years ago, 22 Dec 2019, 04:14pm -
TAA vs buy and hold in overvalued markets (CAPE > 30 edition) [Investing For A Living]
Personal note: Sorry for the long delay from posting. I had a death in the family this summer, a big overseas family wedding, and I’ve been working on getting my newsletter released, which I’ll announce in a later post. Now, I’m back. I was thinking this morning that with the increasing talk
- 7 years ago, 2 Oct 2017, 11:50am -
The profitability factor [Investing For A Living]
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
- 7 years ago, 14 Jul 2017, 09:25am -
Ranking the top and bottom TAA strategies [Investing For A Living]
Following up on my last post, I’d like to take a deeper dive into the performance of TAA strategies. In particular, I’ll take a look at the differences between the top performing TAA strategies and the bottom performing ones. There are some important points that come out of this analysis which I
- 8 years ago, 7 Dec 2016, 06:37pm -
TAA strategy performance over time [Investing For A Living]
In this post I’m going to take a look at performance as a whole of a group of TAA strategies and how that performance has varied over time. I’ll then compare it to the classic 60 40 US stock US bond portfolio and a more globally diversified and modern portfolio, the All Weather Portfolio.
- 8 years ago, 1 Dec 2016, 10:10pm -
Quant investing: making momentum tolerable [Investing For A Living]
For today’ s post and the next few I’ll be going back to my favorite topic, quant investing. In this post I want to explore pure momentum quant portfolios and in particular ways to make pure momentum investing tolerable and implementable to more investors. Note: for a refresher on momentum and
- 8 years ago, 16 Nov 2016, 06:38pm -
TAA portfolios: Antonacci’s Composite Dual Momentum [Investing For A Living]
One of the TAA strategies that I have often been asked about is Antonacci’s Composite Dual Momentum (ACDM from now on). I never got around to tracking or writing about it but now the the folks at Allocate Smartly have it covered. In this post I’ll highlight the key details of the strategy and
- 8 years ago, 10 Nov 2016, 10:11am -