The Globe and Mail on quantitative strategies:
A huge pile of research points to an array of simple numerical stock strategies that boosts returns over the long term. Such methods range from low-ratio value strategies to momentum-oriented schemes.
If the studies are to be believed, it should be easy as pie to make a small fortune on Bay Street. (Even when you don’t start with a large one.) All you have to do is to select a strategy and stick with it, letting the cold, hard numbers determine your buying and selling for you.
Picking a good long-term approach is one thing. But actually following it for a long period is quite another. It turns out that there are more than a few devils in the practical details.
I was recently reminded of a big one when I watched Tobias Carlisle’s informative presentation to the UC Davis MBA Value Investing Class on quantitative techniques. He discussed James Montier’s suggestion that numerical methods might represent a ceiling to potential returns, rather than a floor, for those who tinker with them.
My emphasis added. Anyone who can read can see that the results of momentum strategies are compelling over time. The challenge for those inclined to tinker is resisting the urge to mess with a good model. There are very good reasons for the systematic in Systematic Relative Strength.
HT: Abnormal Returns
