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 yellow).

In table above, strategies that have outperformed their benchmark indices are shown in green. As you may expect, the results are mixed, some strategies outperformed, some did not. 4 of the 7 equity strategies listed outperformed both US and International stocks. The consumer staples value strategy (CS Value) has led the way with a 14% YTD return plus a very low drawdown. The laggard has been trending value (TV2) at -9.59%. This is not surprising when you look at the historical data. Momentum strategies can be quite volatile.  Microcaps have also done well at 8.88% YTD. Enhanced Yield (EY) and Utility value have also lagged in performance. The ‘build your own index’ strategy (large SHY) has outperformed the SPY  but with higher drawdown. Yield strategies in general have had a rough time in 2015.

I also listed the TAA bond strategy in the table which has slightly underperformed the US bond index (BND) and outperformed the International bond index (BNDX).

That’s it. A quick look at some 2015 YTD performance figures for various quant strategies. In my next post I’ll take a look at a very simple way to further enhance quant strategy performance.