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A real track record is better than backtesting! I am looking for

  • products, funds, certificates, indices etc. that are based on
  • quantitative trading strategies where the
  • strategies and performance data are completely transparent and reproducible (apart perhaps from trading costs).

The markets and locations are not important as long as the above mentioned criteria are met. The track record could be negative or positive (from both we learn). The underlyings could also be all kinds of asset classes (linear or non-linear products).

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2 Answers 2

up vote 11 down vote accepted

There are a large range of products that are now being offered as "alternative beta". These try to provide consistent returns in a known systematic bias or strategy, as defined by an index tracking that strategy.

ETF's can be a very good source of information on transparent quantitative strategies that have a published track record. See, for example, some of the funds mentioned in "ETFs that Track Quantitative Indexes" and "Quasi-index and Quantitative Model ETFs: It's Beta, Not Alpha".

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Root around in ETFdb Categories, particulary in Quantitative Methodology ETFs, Hedge Fund ETFs, and Long-Short ETFs. Not all of the ETFs listed are completely transparent and completely quantitative but ETFdb is a good start.

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