Quantitative strategies in stress testing

For many investors, time, patience and financial resources are limited which also means that the possibilities for active stock picking are also limited. Quantitative strategies can help here. At the beginning of 2018, we presented various quantitative strategies that had delivered good results in the past and that we have now reviewed.

Last year was not an easy year for equities, with quantitative strategies also showing weak results and often performing disappointingly. For quantitative portfolios, it is difficult when longer-term trends are breached, as we saw in 2018. All in all, however, the results of the previous year have confirmed that outperformance can be achieved on the basis of simple screenings. Nevertheless, the volatility of the strategies can be high.

We continue to see very good results in the past and, derived from this, good opportunities for the future in screenings of companies with a favourable mix of valuation ratios. Dividend and momentum strategies also signal good prospects. But simply hoping that the losers will recover or that an undervaluation based on individual valuation ratios can be reduced is not a favourable approach to take.

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