Archive - Systematic Investing

Don’t put yourself in someone else’s shoes - Systematic Personality

Hi, today I want to write a quick note about the behavioral aspects of systematic investing and typical traits which could show that YOU are indeed made…

Jun 25 •

Systematic Investing

April 2025

Today I checked my cyclical microcap universes with the Portfolio123 X-Ray tool to see the Median and Top10% breakpoints of common yield metrics.

Apr 1 •

Systematic Investing

February 2025

Q4/2024 data now available on the Ken French Data Explorer

The Ken French Factor Database was finally updated and the 2024 data is complete.

Feb 5 •

Systematic Investing

January 2025

Forward Multiples vs. Future Returns

Everyone with a statistics background hates these charts from the JPM Guide to the Markets because the data is very overlapping and accounting for that…

Jan 14 •

Systematic Investing

Superstition Arbitrage

Jan 8 •

Systematic Investing

May 2024

A Look at the Average Firm Size of Low and High US Momentum Buckets over Time

Equity momentum is a well known concept.

May 17, 2024 •

Systematic Investing

January 2024

Understanding Systematic Value/Momentum (Facts, Opinions and Fairy Tales)

I wanted to write a short piece trying to explain what happens in the background of my system, why I do what I do and what are the main differences…

Jan 16, 2024 •

Systematic Investing

October 2023

Riding the Smallcap/Largecap Cycle

Smallcap investors currently have a hard time.

Oct 16, 2023 •

Systematic Investing

September 2023

Which US portfolios did best during the begin of the great inflation (and a shameless introduction to my new web app)

Thanks for reading Systematic Investing!

Sep 7, 2023 •

Systematic Investing

August 2023

Don't Catch Falling Knives

Buying in the 52-week low list, looking for “bargains” based on bad recent stock price performance, winning by going against the crowd… Many investors…

Aug 17, 2023 •

Systematic Investing

Small Reminder: Don't turn your back on Smallcap Value now.

If you are either a) underinvested in Smallcap Value or b) you are overweight Smallcap Value since a while and you are disappointed and about to quit…

Aug 2, 2023 •

Systematic Investing

June 2023

How would Cheap and Glamour Stocks have performed without multiple expansion?

Jun 6, 2023 •

Systematic Investing

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