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):
- Trending value
- Utilities value
- Consumer staples value
- Enhanced dividend yield
- Foreign trending value
- 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.
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.