QuantaMental Investing

Performance   Measurement

• Annualized Return(%) 23.71

• Win Ratio(%) 78.38

• Information ratio(IR) 1.0078

• Sharpe ratio(SR) 1.2722

Strategy   v.s.   TWII(HPR%)

Cumulative   Return

Estimated   Distribution

The   core   logic   of   this   strategy

• High ROIC

• Low \(\frac{P}{E}\)

Calculation

• Calculate ROIC = \(\frac{NOPAT}{Invested Capital}\)

• ROIC filter:
  remove those companies with negative ROIC

• Key variables filter:
  remove those companies do not meet “conditions”

• Rank ROIC and \(\frac{P}{E}\) in each sector

• Find the optimal quantile in ROIC and \(\frac{P}{E}\) to maximum the backtesting performance

Execution

• Pick stocks from near 5 quarter’s data of financial reports

• Equal weighted to each selected stock

• Buy and hold until next quater fiscal reports announce

Inspired   by   Joel   Greenblatt