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July P&L Disappointing For Quants

Submitted by Tyler Durden on 08/07/2010 21:22 -0400

Ian Arvin's Innovative Quant Solutions has completed its July performance tracking analysis, and the result is a major weakness for quants in the just completed otherwise animal spiritsh month, as increasingly fewer factors proved successful, with pronounced weakness in the traditionally robust during the bear market rally Momentum factor. From the summary of the attached report: "The IQS model was down 1.57% for the 4 weeks ending July 31, while the sector neutral model was down 1.01%. Year-to-Date, the IQS model is down 2.74%. IQS top decile of stocks has returned +3.6% YTD, while (according to the WSJ) the DJIA has returned +0.4% YTD, S&P 500 has returned -1.2% YTD, and The Total Stock Market has returned -.04% YTD. The IQS 1000 model was down 6.03% for the 4 weeks ending July 31, and down 6.09% YTD. IQS 1000 top decile of stocks has returned -.8% YTD. Factor categories that added to performance were led by Value and Sentiment. Momentum and Improving Financials underperformed. Weekly returns were volatile – up one week, down the next. IQS 1000."

Full IQS report

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Sat, 08/07/2010 - 21:31 | 509202 Oswald Spengler

Fascinating.

Sat, 08/07/2010 - 21:58 | 509232 AUD

"Weekly returns were volatile – up one week, down the next."

This story has already been written, go back to the period 2000-05.

Sat, 08/07/2010 - 22:14 | 509240 dark pools of soros

quants quit and go back to porn..news at 11

http://www.huffingtonpost.com/2010/08/05/ex-goldman-sachs-employee_n_671997.html

Sat, 08/07/2010 - 23:02 | 509265 Pamela Anderson

dark pools of soros,

Thanks for the posting, this is really good, did you read the complete story??? In case you didn't this is the link... Thanks a lot!

>>>>>>>>>>>>>>>

Why founding a three-person startup with zero revenue is better than working for Goldman Sachs.

<<<<<<<<<<<<<<

"... go out and write your own story, or you’ll just be a character in someone else’s..." what a great article!!!

Sun, 08/08/2010 - 19:10 | 509894 dark pools of soros

yes its a great read.. and not just for wall street - for everyone to keep chasing their own dreams

Sat, 08/07/2010 - 22:28 | 509259 rapunzel

just completed otherwise animal spiritsh month

i must say, i second this motion. truly, july was one H E L L

of a animal spiritsh month, boyz‡

not that i didn't C O M E to immense conclusions about the stock market and economy, well throw in israel, athens, men in general. cheers to all the 24/7 hrs you all put into education of all things J A P A N.

danke schoen

Wayne Newton - Danke Schoen (1968).flv

Sun, 08/08/2010 - 00:51 | 509339 AccreditedEYE