Quant Investing


In today’s post I present Q1 2018 performance stats for the various quant strategies that I cover on the blog. Let’s get started.

Below are the first quarter total return and max drawdown numbers for the various quant strategies I track. For explanations of the various quant strategies see the  portfolios  page. All equity portfolios consist of 25 stocks and were formed at the end of 2017. No changes in the holdings since that time (except for the TAA Bond strategy and the Pure Momentum strategy which re-balance every 4 weeks). Like last quarter’s  post  I also included more aggressive versions (less stocks, more frequent re-balancing, etc) of the portfolios. I also added the Foreign versions of TV2 and VC2 to the main portfolios I track. All performance numbers are from  Portfolio123.com .

Overall, the quant portfolios had a tough first quarter, just like the markets, but eeked out some better performance versus the overall market. It wasn’t by much but I’ll take that kind of alpha in a tough market any day. For the first quarter the average performance of the quant portfolios came in at -2.74% with an ~10% max daily drawdown. The average of the aggressive versions was 1.23% with a 11% max daily drawdown.

Leading the way were the Pure Momo and Microcap portfolios. In the aggressive portfolios it was the aggressive value portfoflio and a blow out performance from the aggressive Microcap portfolio.

On the bond side, the TAA Bond 3 quant portfolio lost -2.7% in Q1 2018 as rising rates impacted the aggressive bond holdings.

In summary Q1 2018 was a rough quarter for the quant strategies but a decent one in terms of relative performance.