A webcast presentation by Matthew Lutey, PhD as part of the CMT Association’s Educational Web Series.
The strategy integrates principles from famous investors with a risk-adjusted overlay based on capital-weighted volume. This approach enhances risk-adjusted returns by lowering volatility and improving Sharpe and Sortino ratios.
Inspired by Buffett, Graham, Greenblatt, and O’Neil, stock selection is validated by bullish momentum in capital-weighted volume, reducing drawdowns and volatility while outperforming buy-and-hold strategies. A secondary study uses the Volume Price Confirmation Indicator (VPCI) to filter low-volume stocks from major indices. Adding a momentum-based sell rule further boosts performance.
Since 1990, this refined methodology has delivered exponential returns while maintaining controlled risk.
