Examples of quantitative financial analysis successfully applied to investment portfolio management.
Can historical data on securities be used to determine if any given rule-based plan for active investment management is well-drawn or not, so that existing programs can be improved and new and better ones developed? Yes!
The codified methods of portfolio management in use here are are conceptually rather simple so that understanding them does not require advanced prior understanding of statistical science. But accepted rules of statistical inference are followed.
Presently the charts of this page show outcomes of a form of active asset management that is based on an adaptive momentum strategy, here applied to groups of stocks that simulate funds. The improvements to the strategy and the evidence that the strategy works are presented in detail in the working paper “Fund and Subportfolio Momentum” by Mike O'Connor, which is downloadable below. It explains the strategy in plain language and also discloses the details of the algorithm.