Category Archives: Quant Investing

Building a portfolio from individual quant strategies

In this post I want to briefly return to putting together quantitative strategies into a an overall portfolio. I wrote about this in 2014 but I have better tools and more data now. Basically let’s build a portfolio of quant strategies that reflects a typical 60/40 US stock US bond benchmark and compare portfolio statistics to the SP500 and to the 60/40 benchmark. First things first. Picking the quant strategies (you can find the background to all the strategies in the Portfolios section of the blog). You can definitely spend a ton of time here and go way off into … Continue reading

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Quant investing: making momentum tolerable

For today’ s post and the next few I’ll be going back to my favorite topic, quant investing. In this post I want to explore pure momentum quant portfolios and in particular ways to make pure momentum investing tolerable and implementable to more investors. Note: for a refresher on momentum and its power (arguably the most powerful factor in investing) see this great paper from AQR.  You may have noticed that none of the quant portfolios that I have presented on the blog are pure momentum strategies. Only two strategies, trending value and microcap trending value, use momentum to picks stocks … Continue reading

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Update on SPY-UI timing indicators

This post is a brief update of the SPY-UI indicators I reviewed in this post and this one. Refer back to both those posts for details on the two indicators I presented. Turns out we’re in the midst of a real time test of both of these indicators. As a quick reminder the basic SPY-UI indicator attempts to time the market by being risk on when the unemployment rate is below its 12 month simple moving average and by being risk off when the unemployment rate is above it’s 12 month simple moving average. The second, combo indicator, uses basic … Continue reading

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Quant strategies: Q3 2016 performance update

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 … Continue reading

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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

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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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