Quantitative Investing

Fred Piard

This book is aimed at providing simple quantitative strategies that individual investors can implement with little work using simple, free or cheap tools and services.

DisclaimerAbout The AuthorPrefaceAcknowledgementsIntroduction1. MethodologyFocus on Simple Basic PrinciplesEvaluating StrategiesThe Cost of a DrawdownTools and RequirementsCommon Hypotheses, Vocabulary and PresentationChapter Summary2. Market TimingS&P 500 Market TimingMulti-Indexes TimingSector Portfolio TimingGlobal Assets Portfolio TimingChapter Summary3. MomentumSector RotationGlobal Assets RotationPaired SwitchingChapter Summary4. Seasonal PatternsThe Only Strategy Backtested Over 319 YearsA Two-Season StrategyA Four-Season StrategyThe End of Year PatternSeasons and SectorsMore Seasonal PatternsChapter Summary5. Mixing StrategiesAn Attempt To Combine EverythingThe "No Brain No Gain" StrategyBuilding a Systemic PortfolioThe Luck FactorChapter Summary6. Fundamental Quantitative ModelsHypothesesA Value ModelA Growth ModelA Dividend ModelMarket Timing and HedgingCombining ModelsChapter Summary7. Designing A StrategyThe FrameworkThe Deadly Sins of BacktestingChapter SummaryConclusionAppendicesAppendix 1: Summer and Winter returns since 1950Appendix 2: A New Kind of Quantitative IndicatorAppendix 3: BibliographAppendix 4: SupportIndex