Longer term quant based trades

DTB2 · Nov 6, 2016

Does anyone have thoughts or debunking ideas on this strategy?

O’Shaughnessy also found that looking for the most fundamentally sound stocks within the consumer staples sector could really improve your odds of success. For example, companies in the top quintile based on shareholder yield (buyback yield plus dividend yield) returned 17.8% compounded over the 42-year study. And, they did so with a lower standard deviation and a lower maximum drawdown than the sector as a whole.

Deuteronomy_24_7 · Nov 6, 2016

DTB2 said:
Does anyone have thoughts

Would be nice if you included the source, and/or added value, for instance by updating past the 2009 data included in the original work.

DTB2 · Nov 6, 2016

Deuteronomy_24_7 said:
Would be nice if you included the source, and/or added value, for instance by updating past the 2009 data included in the original work.

Wish I had more to offer on the forward performance but as a sector, Consumer staples returned 13.57% from 1967-2009 and 2010-2016 YTD returned 13.06%, pretty consistent.

wintergasp · Nov 7, 2016

DTB2 said:
Wish I had more to offer on the forward performance but as a sector, Consumer staples returned 13.57% from 1967-2009 and 2010-2016 YTD returned 13.06%, pretty consistent.

What's the vol ? It's useless to just say it made 14%.... for what vol ? What's the sharpe...

bln · Nov 7, 2016

Any info on how often is the "top quintile" is resampled and stocks in the portfolio replaced?

Should be fairly easy to develop and test in Quantopian/QuantConnect so one get the risk-return metrics.

DTB2 · Nov 7, 2016

The top quintile is rebalanced annually.

The prior backtest from 1967-2009 indicated .86 Sharpe ratio and 14.88% standard deviation.

From the book What Works on Wall Street.

2rosy · Nov 7, 2016

here's a strategy. buy the dip of indexes. they don't go to 0

USDJPY · Nov 7, 2016

There are much better long term stock strategies.

Zzzz1 · Nov 7, 2016

Probably the soundest of all long term strategies, given one can be patient and one does not leverage. That is exactly how Buffett made his fortune.

2rosy said:
here's a strategy. buy the dip of indexes. they don't go to 0

Sig · Nov 7, 2016

You also have no idea that this wasn't just data mining without an out of sample test. I've found lots of spectacular strategies using Quantopian that then fail spectacularly on an out of sample or forward test.