Q3 2017 is now behind us. Time to update some performance numbers. In this post I update the quant portfolio performance stats for through Q3 2017.
Below are the 2017 YTD total return (through Sep 30, 2017) 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 2016. No changes in the holdings since that time (except for the TAA Bond strategy and the Pure Momentum strategy which re-balance every 4 weeks). Like last quarter’s post I also included more aggressive versions of the portfolios and some other quant portfolios that I have written about in the past. All performance numbers are from Portfolio123.com.
The average performance of the 8 quant portfolios is 7.98% YTD with only 2 of the 8 outperforming the SPY and none outperforming the international markets. This is a nice improvement over first half 2017 results. The aggressive versions of the portfolios are doing better as we should expect with an average performance of 10.39%.
The microcap portfolio (18.91%) and the utility value portfolio (19.01%) continue to lead the way in 2017. Quite an odd combination of portfolios to lead the way. On the other side trending value and the value composite portfolio were the laggards. The foreign versions of these portfolios did quite a bit better. Foreign TV2 is up 11.27% for the year and Foreign VC is up 23.88% for the year. The other equity quant portfolios lagged the market as well but are positive for the year. On the bong side TAA Bond returned 3.45% for the first half while the more concentrated version TAA Bond 1 returned 3.50%.
In summary, 2017 continues to be a challenging year for quant portfolios.
Full Disclaimer - Nothing on this site should ever be considered advice, research or the invitation to buy or sell securities. These are my personal opinions only.