Quant Investing


All of the QuantPulse portfolios and books have been updates as of yesterday, November  25, 2018 . Also, all the performance figures have been updated. The  QuantPulse homepage  remains open to the public. To read about the service see  this introduction . Now, on to the update.

Performance for the 4-week period ending Nov 23, 2018, on average matched the performance of the SP500. The 10 stock and 25 stock portfolios were down -0.8%, compared to -0.8% for the SP500.

As the table above shows, 4 week performance, the conservative strategies are outperforming the aggressive strategies as you would expect in the current market environment. There is nothing surprising in portfolio results. It is all perfectly normal.

For 2018 YTD, the portfolios are holding up well vs the SP500, both the 10 stock and 25 stock portfolios are still outperforming the SPY. The Microcap portfolio continues to lead the way in 2018 and the Dividend Portfolio and the Trending Value Portfolios are lagging behind the most.

As far as the current portfolio re-balance goes, you’ll see above average turnover this month. Many positions triggered their stop loss rules and there was also a switch to higher ranked stocks across several of the portfolios. You’ll also notice a lot of sector rotation into the more conservative sectors.

As far as the overall market there still aren’t many signs that we’re done with this correction so here’s a reminder about risk management in the portfolios. We use the SPY-COMP indicator, from the  Econ Pulse Newsletter , as our basic risk-on risk-off trigger for all of the portfolios. When that indicator triggers to risk-off, the quant portfolios will also trigger to risk-off. For the quant strategies, the safety stop trigger in SPY-COMP, is optional for the quant portfolios. In the past it has reduced returns while reducing drawdowns slightly. So, it depends on your existing portfolio allocations and your personal risk tolerance. I’ll keep track of both options for members.

That’s about it for this update. This month was a lot quieter than last month. The quant portfolios, which are diversified across the market and factors, have performed as one would expect. This is also reminder of what makes these strategies so difficult for many investors. It is one thing to see historical drawdown stats in a spreadsheet or blog post, it is quite another to live through them. But if you can, and put strategies and tactics in place to help you ride out the whipsaws, in the long term the results are worth it.

Drop me an email if you have any questions.

Tagged , , ,