Quant Strategies: Q1 2018 Performance

In today's post, I present Q1 2018 performance stats for the various quant strategies that I cover on the blog. Let's get started.

Below are the first quarter 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 2017.

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. I also added the Foreign versions of TV2 and VC2 to the main portfolios I track. All performance numbers are from Portfolio123.com.

Overall, the quant portfolios had a tough first quarter, just like the markets, but eked out some better performance versus the overall market. It wasn't by much but I'll take that kind of alpha in a tough market any day. For the first quarter, the average performance of the quant portfolios came in at -2.74% with an ~10% max daily drawdown. The average of the aggressive versions was 1.23% with an 11% max daily drawdown.

Leading the way were the Pure Momo and Microcap portfolios. In the aggressive portfolios, it was the aggressive value portfolio and a blowout performance from the aggressive Microcap portfolio.

On the bond side, the TAA Bond 3 quant portfolio lost -2.7% in Q1 2018, as rising rates impacted the aggressive bond holdings.

In summary, Q1 2018 was a rough quarter for the quant strategies but a decent one in terms of relative performance.