Wharton Wrds released their WRDS Quant Alpha Report this past November.
The third quarter of 2014 saw strong long-short performance for quantitative strategies, with the broad WQA Composite LS reporting a 6.1% return (8.9% YTD). In fact, all of the various WQA Composites generated impressive long-short returns in this quarter, from 0.2% (WQA UnCorrelated, 5.1% YTD) to 8.6% (WQA Novel, 13.8% YTD). Among the individual signals in our newly expanded library, more than 75% showed long-short returns outperforming the risk-free benchmark. At the theme level, Technical showed the highest long-short return at 5.8% (4.8% YTD), followed by 5.6% for the Quality theme (5.2% YTD).
Wharton Wrds are a sponsor of our upcoming Trading Show West Coast.
Trading Show West Coast will be held March 5, 2015 at Parc 55 Wyndham in San Francisco, CA.