Quant Investor's  Instablog

Quant Investor
Send Message
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.

Back To Quant Investor's Instablog HomePage »

Instablogs are blogs which are instantly set up and networked within the Seeking Alpha community. Instablog posts are not selected, edited or screened by Seeking Alpha editors, in contrast to contributors' articles.

Comments (0)
Track new comments
Be the first to comment
Full index of posts »
Latest Followers

StockTalks

More »

Latest Comments


Most Commented
Instablogs are Seeking Alpha's free blogging platform customized for finance, with instant set up and exposure to millions of readers interested in the financial markets. Publish your own instablog in minutes.