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 Consumer Staples and Utilities would have returned 5% for the year with a max drawdown of about 9%, once again proving the value of this conservative strategy in tough markets.

The large SHY strategy, aka the build your own index strategy, returned 0.63% for the year. This strategy suffered in 2015 for being an equal weighted strategy. The SPY performance was dominated by a handful of large cap stocks in 2014. As evidence, the equal weight SP500 index, RSP, returned -2.67% in 2015. I also noted in the table what the large SHY performance would have been had it also filtered for stocks with only significant buybacks (as presented here). That return would have been 4.72% for the year. Going forward I will include this improvement in the base large SHY system.

Anything with any decent yield in 2015 did poorly, Enhanced yield at -7.2% and Utilities Value at -5.06%. Value also had a tough year as evidence by the performance of VC2 and TV2. The value index (VTV) also underperformed with a return of -0.98% for 2015.

On the bond side the TAA Bond quant strategy returned -2.3% for the year. A more aggressive version of TAA Bond that only held the top ETF each month returned -5.5% for 2015 as noted in the table.

In short, a mixed year for quant strategies but in general better than the TAA strategies.