Tag Archives: Quantitative Investing

O’Shaughnessy on active management

Recently, Jim O’Shaughnessy, the author of What Works On Wall Street, took to Twitter with his first tweet storm (basically a short post in a series of tweets). In it he spoke about his thoughts on active management. I thought I should capture it for future reference. I’ll add comments and links throughout. What Works On Wall Street (4th edition) is basically 681 pages on a handful of factors; mainly value and momentum, with minor roles played by small-cap, equal-weighting, and quality. The lack of ability to focus on the long term is the number one behavioral issue that prevents … Continue reading

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Comparing portfolio performance (1973 to 2016)

Note: All the data tables have been updated to include the TAA bond strategy. Thanks to AllocateSmartly, P123, and Stockcharts.com, I was able to gather 2016 performance data much sooner than last year. This post updates the portfolio statistics, through 2016, for all the various portfolios I track that I have data for going back to 1973. It is not comprehensive by any means but contains a good sample of various diversified global buy and hold portfolios, tactical asset allocation portfolios, and quant portfolios, as well as the popular benchmarks, in particular the 60/40 portfolio for US investors. Last year’s … Continue reading

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Quant strategies: 2016 performance review

Happy New Year everyone! Hope you all had a great holiday season full of great food, family, and a lack of financial market news and data. I just returned from two weeks with my entire family, plus my wife’s family, down in Coconut Grove, Fl in a great Airbnb rental. It provided a much needed rest and re-charge particularly from the markets. Now, its time to get back to business in 2017. For the first couple of posts this year I’ll do some looking back at 2016 performance. Today I’ll cover 2016 total returns for the various quant strategies I … Continue reading

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Bond quant performance during the bond selloff

I was going to title this post something like ‘bond quant performance during the bond meltdown’ or something a bit more hyperbolic than the current title. But there’s enough hyperbole in the financial news without me adding to the mix. Just google ‘bond meltdown’ and you’ll see what I mean. Anyway, in this post I want to take a quick look at how the Bond Quant model has performed during the recent bond selloff. I’ll look at performance from the end of 2015 through yesterday. First, let’s take a look at some benchmarks for broad bond portfolios. Here’s the YTD … Continue reading

Posted in Bonds, Quant Investing | Tagged , , , | 23 Comments

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

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

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

Posted in Quant Investing | Tagged , , , , , | 15 Comments

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

Posted in Quant Investing | Tagged , , | 3 Comments

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