Posts filed under “Quantitative”

Max Gains and Drawdowns for Investors by Decade

The most interesting thing I read today comes from Michael Batnick (Director of Research at RWM).

In a post titled “The Power of Defense” he discusses “the max gains and drawdowns buy and hold investors would have received over each of the previous eleven decades.”

I found the table below fascinating; every decade saw double digit drawdowns, even when measured in closing monthly prices.


 click for ginormous table
Source: Irrelevant Investor



Category: Investing, Markets, Quantitative

Simons: Mathematics, Common Sense, and Good Luck

James Simons – Mathematics, Common Sense, and Good Luck: My Life and Careers

Hat tip theirrelevantinvestor

Read More

Category: Mathematics, Quantitative, Trading, Video

History of High-Frequency Trading

Source: Investoo

Category: Digital Media, Quantitative, Trading

A Brief History of Financial Engineering

Killer slice of history from Bloomberg Business:   click for utterly ginormous infographic Source: Bloomberg Business

Category: Derivatives, Digital Media, ETFs, Gold & Precious Metals, Quantitative

Drawdowns in S&P 500 Since March 9, 2009

Source: A Dash of Insight

Category: Data Analysis, Investing, Quantitative

Tony Robbin’s Recent Weather Portfolio

Jim O’Shaugnessy took a closer look at what I am now dubbing the Tony Robbin’s Recent Weather portfolio. It is akin to taking an umbrella today because it rained yesterday. Jim is a quant extraordinaire, and his analysis confirms what I wrote earlier this morning: This is a biased sample, form fitted to have done…Read More

Category: Apprenticed Investor, Asset Allocation, Quantitative, Really, really bad calls

Correction or New Bear Market ?

Here we are, 10-plus months into the year, and we have nothing to show for it. At least, that is the case if we measure our progress by the gains (or losses) of the Dow Jones Industrial Average. The index is now unchanged for the year after last week’s losses. The previously one direction market…Read More

Category: Cycles, Investing, Quantitative, Trading

Predict This!

Over the years, I have discussed how little I care for predictions (see “The Folly of Forecasts“). We have chatted about how poor Wall Street is at making forecasts, wondered why they keep at it and revealed the secret to making better predictions. But the bottom line is that you humans are terrible at forecasting…Read More

Category: Investing, Quantitative, Really, really bad calls

MiB: James O’Shaugnessy

This week’s Masters in Business Radio show at 10:00 am and 6:00 pm on Bloomberg Radio 1130AM and Siriux XM 119 (it also repeats all weekend). Our guest this week is James O’Shaugnessy of O’Shaugnessy Asset Management, author of What Works On Wall Street. You can listen to live here or stream it below or…Read More

Category: Investing, Media, Podcast, Quantitative

Single Variable Market Analysis is for Losers

If you work in finance, you will invariably come across an example of single-variable analysis. Almost daily, we see terrible examples of this sort of analytic error, rife with logical weakness, yet offered with the highest degree of certainty. The way this works is as follows: Some ominous data point will be shown, along with…Read More

Category: Analysts, Data Analysis, Investing, Philosophy, Psychology, Quantitative, Really, really bad calls