Diary of a Financier

Quant screens: 2013 full year review

In Trading Desk on Tue 31 Dec 2013 at 16:34

As part of my year end review, I wanted to audit my monthly quantitative screens from 2014.  This is a good exercise to help me refine my portfolio management tools and skillset.  In particular, this helps me appraise the efficacy of a pure, fully-automated, algorithmic quant system on one end of the spectrum vs. fully-discretionary on the other.  As my approach is more hybrid, this self-appraisal gives me valuable information to optimize decisions regarding holding period, entry/exit tactics, slippage, etc.

First, a couple notes…

My lists have included a number of buyout targets who were acquired via M&A, so ytd data may be affected by lack of performance data from delisted securities.

In addition, I’ve documented every monthly screen’s output within this Diary.  [Tag: “Quantitative“]  Further, I’ve documented all trade activity in real time via my Squawk Box, with some activity echoed in certain entries herein.  [Tag: “Trades“]

~~~~

The 2014 results from each of my regular screens are presented below–Core Value and Low/Negative Enterprise Value, respectively.  I’ve included data for both absolute returns (ex-dividends) and relative alpha (over $SPX) over the 1-month, 1-month annualized, and year-to-date starting from each screen’s output date.  I’ve also displayed both average (mean) and cumulative return for each holding period, where applicable, including absolute return, alpha, and sigma (i.e. volatility/standard deviation).

Finally, I’ve added an illustration of our open positions, showing the total return and alpha to date (over SPX from trade date).  In 2013, we did not close/realize any positions sourced from quant screens, so everything exhibited is unrealized.

The data includes months in which I did not post an output for a specific screen because the filter yielded substantially similar results as the preceding month, as disclosed at that time.  These cells have been left blank and excluded from average/cumulative calculations…

Core Value

Core Value_2014FY review

Low/Negative Enterprise Value

Low/Negative EV_2014FY review

Open positions

Quant screens- Open positions_2014YE review

–Romeo

^Core Value screen upgraded from version 2.0 to 3.0 in February 2013

*December’s “ytd” data are month-to-date

Mentions: $ARII $BMA $FL $FXCM $GCO $HCI $IBKR $JOSB $SMP $VMI

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