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Quantitative Micro-cap Portfolio

This post showed up in my news feed yesterday: https://seekingalpha.com/article/4253717-misled-ishares-micro-cap-etf

In it the author claims that a simple quantitative micro-cap portfolio would have significantly outperformed the IWC microcap ETF. I followed his criteria (except the bit about short interest, since I still don't know how to access that information in Quantopian) and lo and behold -- Looks impressive.

1 response

I also gave it a go hedging with stocks (though in practice this would likely be too costly). Surprisingly consistent returns until 2017.

1.52 sharpe over a 15-year backtest is not bad!