Adapting a Famous Quant Value Strategy to Crypto Assets: Some New Ideas About Value Indicators for C
Value indicators are one of the cornerstones of quantitative(quant) trading. Even today, in the mist of the golden era of quant investing, most strategies were based on variations of three fundamental indicators: value, size and momentum. In the case of crypto-assets, value indicators are entirely clear as there is no established methodology to evaluate the value of this new asset class. What it is clear, however, is that establishing some notion of value indicators is foundational to assessing the potential of crypto assets. Years ago, Wall Street legend James O’Shaughnessy proposed one of the most famous quant value strategies of all time. Today, I would like to revisit some of those ideas in the context of crypto assets.