Category Archives: 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 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 … Continue reading

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Using economic indicators to time the market – part 4

Today I’d like to wrap up this series on using economic indicators to time the market. In this final post I’ll look at using the unemployment-200day SMA indicator I’ve used in the first 3 parts of the series (link to part 3) but this time apply it to individual stock quant portfolios. All of the strategies mentioned are listed in the Portfolios page. Lets jump right in. The analysis here is pretty straightforward. I’ll take 3 example quant portfolios I’ve discussed many times here, then compare the portfolio stats of the stand-alone quant strategy with that of the quant strategy … Continue reading

Posted in Quant Investing, TAA Investing | Tagged , , | 12 Comments

The future of beta – slip sliding away…

Value, momentum, size, quality, volatility, etc as factors in investing are quite popular. They’ve produced significant outsized returns relative to benchmarks. Now, we even have Smart Beta funds and ETFs popping up all over to make taking advantage of factors super easy. That brings up the critical question every investor interested in taking advantage of factors in their portfolio should ask – will the outperformance of factor investing continue in the future? Here I’ll take a look at a recent post from Alpha Architect that addresses this question. In short, investors should expect past outperformance to decrease in the future. … Continue reading

Posted in Portfolio, Quant Investing, TAA Investing | Tagged , , , | 7 Comments

Quant stock investing vs smart beta strategies

Factor based investing has become quite popular these days. Factors are characteristics of a group of stocks, the most famous being value and small cap, that are used to sort the overall universe of stocks. For quite some time certain factors have been shown to outperform the overall market over extended periods of time. The finance industry has jumped all over this and now offers many off the shelf funds and ETFs that aim to invest in these factors and outperform the market. There are about 400 Smart Beta funds now, totaling about $400B in assets. No need to do … Continue reading

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Quant strategies: Q1 2016 performance

Here are the Q1 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. In the table below I list various quant strategies along with their YTD performance and drawdowns. Also, listed are various benchmark indices. Overall, the start of 2016 is working quite well for the various quant strategies. The utility strategy is leading the pack with a huge Q1. Only the microcap … Continue reading

Posted in Quant Investing, Stocks | Tagged , , | 8 Comments

Quant strategies: 2015 performance review

Here are the 2015 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 2014. No changes in the holdings since that time. In the table below I list various quant strategies along with their YTD performance and drawdowns. Also, listed are various benchmark indices. The consumer staples value (CS value) strategy and the Mircocap strategy were the best performing strategies for 2015 with 15.13% and 13.71% 2015 return respectively. The 50/50 combo of … Continue reading

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Quant investing: improving the value of shareholder yield

Part of quant investing is always being on the look out for better metrics and systems that enhance performance. Today I want to look at a simple improvement to the value metric shareholder yield. I’ll look at this in the context of the quant index replication strategy I posted on here. First, lets look at shareholder yield in more detail. Recently there has been some interesting discussion on the level of buybacks, as a percentage of market cap, and how strong a conviction by management that represents. The idea being that the higher percentage of shares a company is buying … Continue reading

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Quant investing: microcap trending value

After my last post updating quant system performance I realized I’ve never posted on one of the quant systems, the microcap trending value system. In this post I’ll describe the microcap trending value system, its historical performance, and a tweak from the O’Shaughnessy version of the system which improves performance. The top performing quant system, by annual return, from O’Shaughnessy’s What Works On Wall Street is the microcap trending value system. From the Table 28.1, page 597, from 1965 through 2009 the strategy returned 22.33% per year with a standard deviation of 20.38%, Sharpe ratio of 0.85, and a max … Continue reading

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Quant strategies – YTD performance update

Now, that equity markets have experienced a nice 10%+ correction this year I thought it would be of value to look at the performance of various quant strategies year to date, especially during a tough year for stocks as 2015 has been. 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 2014. No changes in the holdings since that time. In the table below I list various quant strategies along with their YTD performance and drawdowns. Also, listed are various benchmark indices (highlighted in … Continue reading

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Quantitative investing: trending value system update

In today’s post I’ll update the Trending Value quant system. The primary difference Trending Value has in relation to the three other systems that I have updated (Utilities Value, Consumer Staples Value, and Enhanced Yield) is that it uses relative price momentum in addition to value to screen for stocks. I first discussed the system almost 2 years ago now. Let’s update the results and see how it has performed and what stocks the screen favors today. The trending value system combines the best of value and momentum. It first uses a composite value score (VC2), like in the utilities … Continue reading

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