Quant Strategies: Q1 2016 Performance

by: Paul Novell

Here are the Q1 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.

In the table below, I list various quant strategies along with their YTD performance and drawdowns. Also, listed are various benchmark indices.

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Overall, the start of 2016 is working quite well for the various quant strategies. The utility strategy is leading the pack with a huge Q1. Only the microcap strategy is underperforming the relevant benchmarks. And that is after a great year in 2015. So not a big surprise. The staples value strategy continues to perform very well in almost every environment. I have been consistently surprised by this strategy. It's probably due for a period of underperformance but not yet it seems.

More aggressive versions of these strategies are also doing quite well. Ways to get more aggressive with these strategies are to run more concentrated portfolios, re-balance and check the portfolios more often, and in most portfolios the use of trailing stops enhances returns. A good stock and portfolio tool like portfolio123.com lets you do any of these quite easily.

Also, for traders, the quant portfolios are fantastic idea generating lists for potential trades. I use them for this purpose every so often.

In general, a great start to 2016 for quant strategies and much better than overall stock indexes and also the TAA strategies.