I have done quantitative analysis for two years, and here is what I thought.
Summary of all, I didn't get satisfactory result through this method.
Thinking of the main stream for analysis on Wall Street, it is still for stock analyst. If use the tools like portfolio123.com only, then the problem would be easy and everyone would become rich.
However, things is not like that.
I do have simulation as annual return high as 200%. Not only talking about the data fitting, these return are coming from the high turnover of the portfolio as high as 1500% a year and stocks in portfolio less than 5. Also should consider some of the stocks are not so liquid. The slippage kills everything. Even if the real portfolio shown in portfolio123 is good, the portfolio in brokerage account is just not making any money.
Then I turned to portfolio around turnover at 500% and simulation annual return at 30-40%. However, this annual return does not exist under the bear market we currently have under the slow turnover. Now the index down 50%, but the portfolio is down 70%, which has the same return as index in a 2 year period. No any alpha exist.
I am currently running two portfolios, one for short and one for long. During the last half year, the return is around 3%. Well, if the return is just 3%, then passive management on asset allocation may be more prefer.
My current thought, quantitative analysis is not enough, but it can help to downsize a stock portfolio to less than 50 stocks. Then I have to analysis each stock individually, through the general stock analysis process. This might works.
My main source of return through this half year can be concluded from day trading. Other return are from contrary strategy on futures. This kind of active involvement can make me sure when to in and when to out within one day and that works for me.
Anyway, not easy job for me. Hope enjoy reading my post.
