No. of Recommendations: 9
Are there any commercially available products that do this or something like this?
I presume there are portfolio managers who will attempt something similar. Between their fees, the necessity to hold cash for redemptions, and other institutional imperatives, the small anticipated advantage would likely disappear. Even without those burdens, my predictions for the strategy were merely a reasonable hope of moderate long run outperformance (with very low chances of doing materially worse), not a free lunch.
I tried meeting with a "wealth management" bank once, asking them if they would implement my strategy for me. They said no.
That generally leaves trying it yourself. One big advantage is the power to eliminate stocks you find unacceptably odious as investment candidates for whatever reason. And of course control over the precise strategy chosen.
There are certainly some denizens of the Mechanical Investing board who have done well with purely quant/mechanical strategies, though not many. Most strategies look good in backtest but when used in real life they fall down because the backtest was just too "lucky".
Of note is a strategy outlined in 2000 if I recall, which has been followed by one board member with real money all this time. He has done very well. The account is up 20-fold in 20 years, which is a little over 16%/year compounded. It is a spectacularly wild ride, though. He holds about 2/3 cash at any given time, and puts the other 1/3 into call options for stocks mechanically chosen mostly on momentum. Note, the 20x return is on the entire account including the drag of the large cash pile--the return on the actual positions is much higher. The drawdowns would give someone white hair quite quickly, which is why he does it in a separate account. It started out as "play money" sized, but grew to be a relative significant fraction of his overall assets simply because it did so well.
Jim
