One of the major concerns with quantitative investing is that the “black box” running the portfolio suddenly goes Skynet and destroys the portfolio. It raises an interesting distinction between “quantitative investing” as I intend it and as it is often perceived. For many, the word “quantitative” in relation to investing suggests two potentially dangerous elements: [...]
Archive for the ‘Quantitative investment’ Category
“Black box” blues
Posted in About, Quantitative investment, Stocks, tagged Quantitative on January 26, 2010 | 6 Comments »
Research comparing the performance of quantitative and qualitative hedge funds
Posted in About, Quantitative investment, Stocks, Value Investment, tagged Quantitative, Value on January 18, 2010 | 1 Comment »
Recently I’ve been laying the groundwork for a quantitative approach to value investment. The rational is as follows: simple quantitative or statistical models outperform experts in a variety of disciplines, so why not investing in general, and why not value investing in specific? Well, it seems that they do. A new research paper argues that quantitative [...]
Intuition and the quantitative value investor
Posted in About, Quantitative investment, Stocks, Value Investment, tagged Quantitative, Value investing on January 14, 2010 | 11 Comments »
The rationale for a quantitative approach to investing was first described by James Montier in his 2006 research report Painting By Numbers: An Ode To Quant: Simple statistical models outperform the judgements of the best experts Simple statistical models outperform the judgements of the best experts, even when those experts are given access to the simple statistical [...]
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- Why Does an Equal-Weighted Portfolio Outperform Market Capitalization- and Price-Weighted Portfolios?
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