Here are the first half 2016 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 2015. No changes in the holdings since that time (except for the TAA Bond strategy).
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 results for Q1 2016 , overall the first half of 2016 is working quite well for the various quant strategies. The utility strategy is leading the pack with a first half performance. Only the Large stock SHY strategy is underperforming the relevant benchmarks just by a bit. The staples value strategy continues to perform very well in almost every environment. Just like I said last quarter, I have been consistently surprised by this strategy. It’s probably due for a period of underperformance but not yet it seems.
Also, the TAA bond strategy did really well in Q2 2016 bringing first half returns to solid benchmark beating numbers.
More aggressive versions of these strategies are also doing quite well. Ways to get more aggressive with these strategies are to run more concentrated portfolios, re-balance and check the portfolios more often, and in most portfolios the use of trailing stops enhances returns. A good stock and portfolio tool like portfolio123.com lets you do any of these quite easily.
Also, for traders, the quant portfolios are fantastic idea generating lists for potential trades. I use them for this purpose every so often.
In general, a great first half of 2016 for quant strategies and much better than overall stock indexes and also the TAA strategies.