Quant Investing

Quant strategies: 2017 Performance

In today’s post I present full year 2017 performance stats for the various quant strategies that I cover on the blog. Let’s get started.

Below are the 2017 full year 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 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 (less stocks, more frequent re-balancing, etc) of the portfolios and some other quant portfolios that I have written about in the past. All performance numbers are from Portfolio123.com.

Overall, the quant portfolios had a great Q4, having finished Q3 2017 with a gain of ~8%. However, that still wasn’t enough to catch the indices which had a spectacular year. For the full year the average performance of the quant portfolios came in at 15.6% with an ~8% max daily drawdown. The average of the aggressive versions was 20.4% with a 9.3% max daily drawdown.

Leading the way were the Utility Value portfolio with a 25% gain, the Earnings Yield (EY) portfolio with a 22% gain, and the Microcap portfolio with a 21.3% gain for the year. In the aggressive portfolios it was similar but also with Large SHY and Momentum with gains of 25% and 51% respectively.

On the bong side, the TAA Bond 3 quant portfolio handily beat it’s benchmark with a 5.2% return in 2017.

In summary 2017 was a pretty good year for the quant strategies on an absolute basis. But the equity benchmarks had a banner year. It is not unusual to see this kind of spread in performance during bull markets. Onwards to 2018.

 

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.

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About paul.novell@gmail.com

2 thoughts on “Quant strategies: 2017 Performance

  1. Your pure Momo has had pretty amazing returns the last couple years! Maybe time to start a Hedge fund 😉

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