Quant Investing


My apologies for the lack of posting recently. I’ve had many life changes recently. You may know already, but my wife and I recently moved to the SW of France. We’ve bene here since early April and it’s taken a while to settle in and get into a new rhythm and life. The only thing that has changed for me on the investment, blog, newsletter side of things is the hours I work to keep up to date with the market. Not a bad thing actually. 

Also, on professional note, I’m considering launching a quant stock service to help investors more easily implement their own quant stock portfolios. I realize that it is not so easy to implement these portfolios on your own. If you’re interested in being a beta tester please drop me an email.

This is a post I’ve been behind on for a few months. It’s mainly a reference post. I wanted to update the historical performance statistics for the main quant portfolios that I track. All the numbers below are through the end of 2017. If you’re new to all this quant stuff, and like what you see, you can start in my Portfolios page and read though the posts in the quant section. Then you can dive into more detail by reading the posts in the quant category on the blog. Better yet, buy What Works On Wall Street . Let’s jump right into it.

The table below shows the top 8 basic quant portfolios that I track. There portfolios are the same or at least very similar to the same portfolios presented in What Works on Wall Street. I’ve made every effort to replicate them as close to the models described in the book. Data for these portfolio from 1965 to 2009 is taken directly from the book. The data for my replicated portfolios is from 1999 through 2017. Portfolios were replicated and backtested in Portfolio123.

As the table shows the performance of these quant portfolios is very impressive. The portfolios have stood the test of time, have outperformed the SP500 in bull and bear markets, and have outperformed a basket of representative factor ETFs.

The next table shows the performance of the same quant portfolios but using the SPY-UI indicator to manage the significant market drawdowns that are par for the course for these type of quant strategies. You can read about using the SPY-UI indicator in quant portfolios here .

Similar story here. The table shows the performance of these quant portfolios is very impressive. The portfolios have stood the test of time, have outperformed the SP500 in bull and bear markets, and have outperformed a basket of representative factor ETFs. The main difference here is the reduction in drawdowns over the simpler portfolios.

That’s about it. I’ll put these updated tables in the Portfolios section as well.




6 thoughts on “ Quant Strategies: Historical Performance Update (through 2017)

  1. Thanks for sharing Paul. When I graphed out the outperformance of the more popular quant strategies from AAII relative to SPY you can see a clear negative trend over the past 15 years (i.e. these quant screens appear to be less and less likely to beat buy and hold SPY). Your own data seems to suggest the same thing with the relative performance shrinking each timer period. At what point would you just throw in the towel and buy/hold SPY? Sure you might miss out on a few percent but imagine all the time you will save to enjoy life. Thats what I am struggling with right now 🙂

    1. Hey Brad, always a good question to ask. I look at data across market cycles, not just one bull market. So, from the table the columns I really care about are the long term data from O’Shaughnessy (column 5) vs the 1999 to 2017 data (column 2). Using that data the quant portfolios have held up very well. The data from the current bull market, is useful and interesting, but not as relevant.

      As far as what is the minimum threshold to make quant worth it? That’s a very individual decision. For me two things; one, even an extra 1 or 2% a year is life changing compounding over a long period of time. Two, buying and hold SPY with a high chance of 50% drawdowns is not enjoying life at all.


  2. Paul,

    Many thanks for this. I’ve followed your site with a great deal of interest, so it’s great to see new content.

    Can you clarify, however, why the addition of the SPY-UI indicator leads to improved (or at least different) performance for all of the strategies over the last 5 years? At least as I’ve modeled it Portfolio123, the SPY-UI indicator hasn’t triggered at all in the last 5 years, so the performance over that period should be unchanged, should it not?

    1. Hey Grant,

      Thanks. Yes, true. The increased performance is an outcome of re-balancing/checking the portfolio more often. In or to implement SPY-UI you check/re-balance the portfolio every 4 weeks. That in and of itself increased the performance of the strategy. So, as you stated, for the last 5 year period, the performance of the strategies purely from using SPY-UI would be the same.


      1. Makes sense that it hasn’t been triggered in a while since we’ve been in quite the uptrending market for a while. It’s been interesting, but something’s gotta give soon or maybe a prolonged snake-like adventure.

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