ZPR’s quantitative strategies are based on research studies which assess how a particular set of investment rules would have performed historically. These studies typically try to identify stock market anomalies, or sets of conditions where stocks are mispriced and the potential for excess return exists.
In this process the research is done up front, in the study and design of the strategy. Over time a strategy will often be refined based on actual experience or subsequent research. We typically implement these strategies in a disciplined way, not allowing other information or judgment to influence the decisions. However, it’s impossible to anticipate all real world situations in a study design, and we review decisions to ensure that they fit the strategy objectives. The review and implementation is typically performed at preset intervals (often quarterly) which matches the historical research.
With a quantitative strategy our objective is typically to achieve in the future what we have seen in the past in our research. So we want to match the research as closely as possible while still making sensible decisions regarding implementation. We don’t typically perform our Fundamental Analysis on these companies, since that could alter the nature of the strategy and muddy the linkage to our research results.
Several of ZPR’s quantitative strategies have relatively high turnover and may be more suitable for non-taxable accounts. Please consult with us regarding your specific needs.