Principles of Quantitative Equity Investing: A Complete Guide to Creating, Evaluating, and Implementing Trading Strategies

1. Overview of Quantitative Investing

Quantitative investing is generally defined as the use of a rigorous set of rules based on easily observable criteria to guide investment decisions. It encompasses a wide variety of strategies, from longer-term equity strategies where equities are bought and held for periods up to or longer than a year, to very short-term strategies trading in and out of securities multiple times during the course of a day. Of course, these shorter-term strategies do not really “invest” in the securities. Regardless of the exact type of strategy employed, there are several common steps in all types of quantitative investing: (1) screens, (2) backtests, and (3) implementation. This general process is graphically represented ...