The journey of quantitative investing involves weeks spent developing and optimizing strategies through comprehensive testing. However, real market conditions often cause these strategies to fail, exposing the limitations of backtested theories. The Quantitative Primer serves as a critical resource, revealing the common mistakes and failures in quantitative investing rather than celebrating successful strategies. Many quant strategies are ultimately ineffective, yet they persist in usage due to institutional fear of deviating from the herd. Ultimately, market durability proves to be more valuable than clever ideas, which often do not hold up over time.
The Primer opens with a kind of confession. Ideas that sound brilliant, like buybacks drive performance or retail traders are reliable contrarian indicators, have all been tested. And over the long haul, they just don't work. Not consistently. Not across timeframes or across regions.
Most quant strategies fail. The market doesn't reward cleverness. It rewards durability, and durability is incredibly rare.
A surprising number of these ideas keep getting used. And the reason is almost never ignorance. It's fear.
Failing as part of the herd feels better than taking a solo hit, even when the strategies are proven ineffective.
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