Quant Investing


Here are the 2016 YTD total return (through the end of Q3) 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 2015. No changes in the holdings since that time (except for the TAA Bond strategy which re-balances every 4 weeks).

In the table below I list various quant strategies along with their YTD performance and drawdowns. Also, listed are various benchmark indices.


Similar to the 1H 2016 results, overall the 9 months of 2016 are working quite well for the various quant strategies. The utility strategy is continuing to lead the pack with a stellar 20%+ YTD. None of the quant strategies is underperforming so far this year. TV2 is bringing up the rear this year at 9.44%. Momentum in general is having a tough time in this market. The staples value strategy continues to perform very well in almost every environment. Just like I said last quarter, and the quarter before, I have been consistently surprised by this strategy. It’s probably due for a period of underperformance but not yet it seems. I’ll just shut up about this strategy. Glad I haven’t shaken myself out of it. Probably the toughest thing I’ve done over the last few years.

TAA bond strategy is still killing it this year as well, mainly driven by allocations to high yield, emerging market bonds, and long duration treasuries. And with only ~3% drawdowns. Not a normal year by any stretch.

I realize that these strategies are often difficult to implement for many investors. And tools like portfolio123.com can be challenging to learn. A reader pointed me to a couple of web sites that have some canned quant strategies. A bit like AAII stock screens . The two sites are Value Signals and Quant Investing . I haven’t used the sites at all. I’m just passing on the information.

YTD 2016 for quant strategies has been great and much better than overall stock indexes and also the TAA strategies.

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3 thoughts on “ Quant strategies: Q3 2016 performance update

  1. Paul,

    Have gotten an amazing education from your writings & references to other works.

    It appears from my screen that your table is missing from this post. Just letting you know.

    Please continue this project.

    All best, Craig

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