Quant Investing

Quant strategies: Q1 2017 performance update

Here are the Q1 2017 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 2016. No changes in the holdings since that time (except for the TAA Bond strategy which re-balances every 4…

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TAA Investing

TAA bond strategy on Allocatesmartly

Just a quick post today on the TAA bond strategy that I’ve posted on and keep track of here. Starting yesterday, the strategy is on AllocateSmartly. See the blog post discussing the details of the strategy and it’s historical performance. A few important items that I’d like to highlight follow. First, the strategy is slightly different from the original that…

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TAA Investing

Tactical asset allocation – oct 2016 update

Here is the very quick version of the tactical asset allocation update for Oct. Signals are valid for until the end of the month. Below is the snapshot for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found here. One change for AGG3. VBK replaces VNQ. Two changes for AGG6. IAU and VEA replace VNQ and VGLT. For the Antonacci…

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Quant Investing

Quant strategies: 1H 2016 performance

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…

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TAA Investing

Tactical asset allocation – july 2016 update

Here is the tactical asset allocation update for July 2016. If you didn’t listen to the news all month or didn’t check prices during the month then you would think it was a pretty uneventful month and overall quite a decent month for almost all asset classes. Unfortunately, like most people you probably at least paid some passing interest to…

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