Month: August 2022

Timing an Index Fund

Passive index investing is gaining momentum (pun intended) among millennials. One of the questions that popped into my head

what would be better to buy an index hold or buy and sell using some easy-to-follow quantitative rule?

I ran some numbers

  • ETF – ASX VAS, Invests in Top 300 companies in Australia, It’s our version of USA S&P 500 or NIFTY 50 in India
  • Time Frame – Last 5 years
  • Strategy 1 – Bold and Hold (100 units)
  • Strategy 2 – Buy 100 Units if Current Market Price goes above Simple Moving Average (SMA 20) and Sell 100 Units if Current Market Price goes below Simple Moving Average (SMA 20)
  • The first entry is the same for both strategies

If you are a color person then every time the blue line (price) goes above the red line (SMA 20) you buy and sell if the blue line falls below the red line you sell

The initial results are unbelievable, Strategy 2 beats Strategy 1 by 2X

Also following this quantitative technique one can almost perfectly be saved from the covid crash. Given I was interested in the initial results I wanted to understand what would be benefits in real life … Read the rest

Leeds , UK

Quant based smallcase worth adding to your watchlist

Came across another smallcase that is free and has a very good track record.

ARQ Prime is a long-only equity portfolio

ARQ Prime recommends stocks for investment based on a set of rules, free from human intervention or human bias. In the world of investing – it is called “Smart Beta”. ARQ Prime adopts the time-tested and proven rules for investing in stocks. ARQ scans all types of stocks to pick Winners: Value stocks, Quality stocks, High Momentum stocks, and Growth stocks across the market cap.

Their CEO talks about this product in an interview for moneycontrol , it does a weekly rebalance so that may put off some of you but is performance has been really good

 

 

 

there is not much info on stock selection criteria most likely it’s proprietary and not open source, but given its performance, it’s most likely based on momentum strategies.

Their website claims that drawdown is smaller compared to markets

Its strong risk management system cuts the losses early and allows profits to be big, thereby maximizing profits and reducing drawdowns/losses

Using the smallcase graph we can verify it managed drawdown better than the index, even the recent dip in 2022. … Read the rest