Citation of the Day: What Happened to the Quants in August 2007?

It’s a holiday so this is a short post. I have completed preliminary work adapting Andrew Lo’s mean reversion strategy to the Straits Times Index, and it looks like this:

It’s looking pretty good, making 4% over a year with a max 2% drawdown UNLEVERED and MARKET NEUTRAL. More analysis to be done, but in the meantime, HAPPY CHRISTMAS!