Portfolio , Quant Investing


It is that time of year to start updating performance figures for the various portfolios I track here on the blog. In this post I’ll quickly present the performance of the quant portfolios I’ve presented in the past.

The quant portfolios I’ve presented on the blog are (with links to the into post):

  1. Trending value
  2. Utilities value
  3. Consumer staples value
  4. Enhanced dividend yield
  5. Foreign trending value
  6. Large stock shareholder yield value

Now for the 2014 performance of the quant portfolios and some of the various benchmarks. I decided to add one portfolio I have not talked about on the blog yet. It is a value and momentum quant strategy focused on microcap (<$200M market cap) stocks. From a total return perspective it is actually the top performing quant strategy in What Works On Wall Street with compounded returns over 20% a year.

Quant port 2014 performance

As the table shows some quant strategies punched above their weight last year, in particular utilities, while others punched way below their weight, VC2 and TMC for example. While all the quant strategies have higher expected returns than the appropriate benchmark over time that outperformance is lumpy to day the least. I discussed this in a post on base rates a while back. This is why choosing a strategy with the highest return is not always the best option and more importantly why you should not just pick one quant strategy to invest in. Imagine a die hard value investor who only chose VC2 last year. How would they be feeling heading into 2015? Diversification also matters in quant investing.

That’s it for the 2014 quant portfolio performance update. In the next post I’ll update the various IVY, Permanent, and other portfolios I track as long as data is available.

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5 thoughts on “ 2014 quantitative portfolio performance

  1. Just got an update from Wheelingit. You and Nina must be sitting and typing. Her photos where better than your charts, LOL. Hard to compete with nature.

    I’m in the process of reading a few of your past postings. My adviser moved some money into utilities earlier (Waddell and Reed). I’ll have to compare against your numbers. I’ve got a hard decision to make over the next few years. Move out of Waddell and Reed to funds that charge less for expenses or not? I had managed my own when with Fidelity years ago.

  2. Great site and great job! I found your site about a month ago and have been reading feverishly.

    You described SIPro many times but recently detail using the portfolio123 screener. I like the “cheapness” of SIPro but hate that it has no easy back-testing capability. Do you like portfolio123 and why?

    For your Trending Value International tracking numbers, are you limiting to ADR’s only or instead using where country ‘USA’ (thus including ADR’s and Companies not based in the US) in your criteria?

    Are you “live” on any of the WWoWS quant screens? Any gotcha’s or fyi’s from your “live” experiences to date with any of the WWoWS quant screens.

    Are you using portfolios of 25 stocks for each of the WWoWS screens? And, are you rebalancing yearly or doing laddered (say buying/selling a quater of the portfolio each quarter).

    PS – Your wife’s site is very good too. I was reading about your tilting solar energy panels – very cool.

    1. Brian, I also liked the cheapness of SIPro but I founds many data quality issues. My primary reason for going to P123 was the quality of the dataset. P123 use the Compustat database which is the best.

      In international screens, I limit to ADRs.

      Yes, I am live on several of the quant portfolios I talk about on the blog. No, there are no major gotchas but following the detailed portfolio rules can sometimes be challenging in terms of M&As, company events, etc… No, since I run several quant portfolios each of my ports is less than 25 stocks, usually 15, although I run some ports with 10 stocks. Mostly, I rebalance yearly. I do run one port with a monthly rebalance – this is a trial for me.


  3. Thanks so much for all you do to help us DIY investors! Do you have any plans on updating the screens for your Quant portfolios for 2015? I think this is the year that I start committing some real capital to the strategy, but I want to run my screens against yours to see how many in common we have.

    Also, the stock screener that I use (Zacks) does not have an Enterprise Value metric – any advice on how to imitate the EV/EBITDA metric?

    Thanks again – John

    1. I had no plans to do that John but it is not a bad idea to help people get started with their own implementations.

      My advice on EV/EBITDA is to pay for a screener that has it. I think it’s one of the most important value metrics. Tested on their own in fact it outperforms all other value metrics.


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