Quant Investing


In today’s post I present Q3 2018 performance stats for the various quant strategies that are part of my new Quant Pulse Service . The strategies are slightly different than the versions I’ve presented previously in these series of posts. I will use the performance figures for the Quant Edge strategies going forward.  Let’s get started.

Below are the updated total return and max drawdown numbers for the various quant strategies I use in Quant Pulse as of the end of the third quarter of 2018. The first two columns are the compounded annual returns from Jan 1999 through Sep 2018 for the strategies and the benchmark respectively. The rest of the columns are the more recent performance stats for the quant strategies. There are 10 stock and 25 stock versions of each strategy. For a general overview of the various quant strategies see the portfolios  page. All performance numbers are from  Portfolio123.com .

Just like at the beginning of the year, the pure momentum and microcap strategies continue to lead the way in performance on a YTD basis. And on the flip side the more conservative strategies, like Consumer Staples, Utilities, and Dividend Yield, continue to struggle as one would expect in a strong bull market. A nice surprise this year has been the performance of the pure value strategy, VC2.

Overall, the strategies have kept up with the SP500 for the year, and are slightly ahead. For the third quarter alone, the SP500 had it’s best quarter since 2013 (with a 7%+ total return) which only a few of the strategies could keep up with. Noting surprising there either.

Finally, starting this quarter, I’ll begin posting the performance figures for various combinations of the quant strategies. The strategies within each combination are re-balanced at the end of each year. Obviously, there are many more combinations that you could make with these strategies but these are a few that I like.

That’s it for Q3 2018. Let me know if you have any questions.

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2 thoughts on “ Quant strategies: Q3 2018 performance

  1. Thanks Paul! I signed up for your new service. Great idea and great advice.

    You’d recommend starting a new allocation to these at the rebalance point and not mid-month (or even a few days late), right?

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