Quant Investing , TAA Investing


Time for my annual post updating statistics for the various portfolios that I track. This is the last post rounding up 2020 statistics. All portfolio stats were gathered using AllocateSmartly P123 , and various other sites like MSCI. Obviously, there are many more portfolio options out there. This is just a sampling of three main portfolio varieties; buy and hold, TAA (tactical asset allocation) and quant portfolios. See my Portfolios page  for a description of many of these portfolios. Also, go to  AllocateSmartly  for more on all kinds of other TAA portfolios.

This year I’ve added a few more of my portfolios from the Economic Pulse Newsletter. You can see the allocations for the various buy and hold portfolios and benchmarks on my portfolios page . Also, like last year, I average the various buy and hold and TAA portfolios so you can better see the bigger picture as to what each of these approaches offers without getting lost in the details of each approach.

This post updates the portfolio statistics, through 2020, for all the various portfolios I track that I have data for going back to 1973. It is not comprehensive by any means but contains a good sample of various diversified global buy and hold portfolios, tactical asset allocation portfolios, and quant portfolios, as well as the popular benchmarks. Last year’s post is here  and the portfolios are defined on the portfolios  page . I’ll present the comparison of the portfolios in several ways with my favorite being risk adjusted returns. On to the data. The table below sorts the portfolios by compounded annual returns, from 1973 to 2020, the longest period.

Portfolios in light red are my own. In light blue are the two buy and hold benchmarks I track, 60/40 and the Vanguard Model. In light green are the averages of the TAA and average buy and hold portfolios that I track. 

As the table shows, over the last 48 years quant and TAA strategies have delivered higher annual returns than any buy and hold strategy. The highest ranked buy and hold approach is the IVY 13 Buy and Hold portfolio from Meb Faber. It is the most diversified buy and hold strategy across assets, regions, and factors. Over a more recent time period that is probably more relevant to modern market structure is performance over the last 20 years. The table below ranks strategies by compound annual return over the last 20 years.

Now, let’s look at risk-adjusted returns as measured by the Sharpe ratio.

In this table, it is pretty clear what TAA really brings to the table. Higher risk-adjusted returns than buy and hold, which greatly helps investor behavior. The spread to buy and hold is even greater. The highest ranked buy and hold strategies in this metric as you might expect are Risk Parity and the Permanent Portfolio. The secondary impact of these higher risk-adjusted returns, particularly for investors in the portfolio withdrawal phase of their lives, are higher SWRs (safe withdrawal rates) in retirement (see column marked ‘1966 SWRs’ in the tables). The table below shows the strategies ranked by safe withdrawal rates. TAA strategies are the best in raising safe withdrawal rates.

That about it for this year’s roundup. The overall table will be posted over on my  portfolios page  for future reference.

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4 thoughts on “ Comparing Portfolio Performance (1973 To 2020)

  1. Ok I see. Thanks. It obviously stands out in many ways!

    Do you publish the max drawdown of all of these portfolios? And equally importantly, the drawdown underwater period? As a near-retiree, those numbers are as important to me as overall CAGR when comparing strategies.

    Also, is WFGPM 50% WF-COMP and 50% GPM-COMP? Or some other ratio, perhaps even a variable one?

    Thanks again,

    1. Yes, I publish the max dd’s for all of my portfolios, UPIs, and a bunch of other stats. WFGPM is a 50/50 split.
      The are various possible splits depending what you’re trying to maximize.


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