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January 23, 2023

How to invest money wisely

NOTE: This post continues a discussion started on Quora

The easiest way to do this is to invest in an index fund (such as SPY, or IWM). This will give you market like performance (almost exactly, minus a fraction of a percent), market like risk, and almost zero brain cells used to manage the investment.…

November 29, 2022

Why do quantitative investment?

Quantitative investment is quite a mouthful – seven syllables. Why is it even worth caring about? We’re going to break it down into manageable pieces.

Why do we invest?

Investment is the art of forgoing current pleasure to gain something more tomorrow – at least in theory. Squirrels invest: they bury nuts for the winter.…

July 16, 2022

Two bad days in a row

Two bad days in a row seem to be bad news… at least when rebalanced quarterly, or bi-monthly. Here we also limit it to stocks with a market cap over $1 billion, so that the large number of smaller stocks don’t bias the results.

Backtest Report for Jul 16, 2000 to Jul 16, 2021 for Two Bad Days In a Row

This normal screen rebalances quarterly.…

May 26, 2022

Putting Piotroski to the Test

The Petroski Formula is a nine-point investing formula used to rank stocks. In this article, we put the formula through a variety of tests.
May 21, 2021

Sector Booting using SCTR

Can we boost performance by getting rid of a couple of bad industries? Certainly. Can we do it via the SCTR? Maybe.

The best case: what future prediction can bring

Before we get started, we want to understand what perfect prediction could bring us.

This chart is what would happen, from 2000, if we could magically throw out the bottom 20% of these 11 sectors (usually 3), in terms of future performance next quarter.…

August 23, 2019

What does “S&P-like” mean, anyways?

In a previous article, we compared the S&P 500 index to an EquitiesLab macro, issandplike. Our goal was to analyze the S&P’s value, by comparing the official index’s performance with a collection of similar stocks. But what does “similar” mean in this case?

According to Standard & Poor’s website, an S&P stock must meet the following requirements.…

July 28, 2019

Net Income Verses Free Cash Flow

Show me the money

People look at net income, otherwise known as just earnings, as well as Free Cash Flow to decide whether they like a company. Why? Net income is the “real” income the firm makes, but it has one weakness: it doesn’t actually track money coming into (or out of) the firm.…

May 15, 2019

Does the S&P 500 cheat?

Introduction

The S&P 500 has performed so spectacularly that some find its performance hard to believe. Are the stocks that make up the S&P being cherry-picked to only show the most successful performers? If the contents of this benchmark are not selected organically, its usefulness is suspect. If not selected impartially through a repeatable algorithm, how can these stocks represent a baseline “safe” investment?…

March 26, 2019

Will The Real O’Shaughnessy Please Stand Up?

O’Shaughnessy’s screen focuses on low-cost tickers with small market caps. His reasoning goes that, as small as these companies are, most analysts ignore them. This lack of attention suggests that there quite a few diamonds in the rough within microcap stocks. Is he right?
March 15, 2019

Should I Invest In Money Losing Companies?

A common theory is that a company making money will outperform a company that doesn’t. Is that really true? I am here today to test how companies that make negative money or no money do compared against the S&P 500.

The graph to the right shows a screener with companies not making money in green and the S&P 500 in brown.

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