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I am an individual invesor who uses quantatative analysis to make investment decisions and employs algorithmic trading for portfolio management.
  • Reading The Markets' Tea Leaves 0 comments
    Sep 4, 2014 7:26 PM

    Recently I came across a very useful blog IntuQuant Research Blog that is put together by the same company whose backtesting software, Strategy Explorer, I use to try out my own investment ideas. This particular post examines internal statistics of SP500 constituent companies by grouping them into 15 factors within 8 categories to see which factors generate alpha.

    When I look at the factors where SP500 alpha is generated over presented short term time period of 1 week to 1 month, I can make the following conclusion about the future market direction: one month alpha comes from low quality, expensive, low dividend stocks while one week alpha comes from high quality, inexpensive, high dividend stocks. This clearly points to a sentiment shift towards a risk-off period for stocks which typically leads SP500 lower.

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