For the month of May, my quantitative portfolio netted +0.6% for the month — far outstripping the 6% loss in the SPY. Year to date, the Quant has returned +17.7%, crushing the SPY’s +10% showing to small bits and microscopic pieces.
How does it work? Why is it better?
It draws from two pools of stocks, one growth at a reasonable prices (GARP) and another value. There’s also hedges involved, all to do with TLT and GLD. But mostly, the portfolio’s strength is in its diversity, allocating to all 8 sectors of the market evenly and being steered strongly towards stocks with strong technicals. We used the Sharpe ratio as the final arbiter in this picking process.
Last year we had a similar process, but only focused on growth. This year we started a value pool in the hopes of slowing down losses during periods of duress.
So far, so good.
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Outstanding performance. Any back-testing for a bear?
Yea but the market plunged into the end of 2018 so there was some luck here buying near the bottom.on 1/1.
Yes, but that is why any good evaluation uses a benchmark.
So only a fool would look at the 17.6% alone, but Fly *did* tell you his benchmark: SPY, up 10%. So that is the bar you measure against, and he crushed it. Of course, if I saw numbers like that, I’d want to know how the Quant performed in Oct-Dec 2018 investing a dime. That’s the only way to know if the outperformance was due to Alpha (insight) or Beta (leverage).
Tech killed on this DOJ stuff.
What a day to cut off us retards
This is why I consider guys like you (a)lphas, and not Alphas.
(a)lphas have the stereotypical Alpha personality, but are nothing but a followers looking to take orders without questioning them. (a)lphas are the foot soldiers of authoritatrians, dictators, and fanatics.
Also, I thought I already proved that using Sharpe ratio to pick stocks doesn’t work? Or more precisely, I thought *you* proved that:
https://ibankcoin.com/flyblog/2019/04/16/bought-gentle-waves-risk/#comment-560098
There is ***zero*** evidence that Sharpe ratios have any long-term or short-term Alpha for stock picking.