Quant Strategies: Historical Performance Update (Through 2017)

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Includes: IWM, MTUM, RSP, SHY, SPY, VTV, XLP, XLU
by: Paul Novell

My apologies for the lack of posting recently. I've had many life changes recently. You may know already, but my wife and I recently moved to the south west of France. We've been here since early April, and it's taken a while to settle in and get into a new rhythm and life. The only thing that has changed for me on the investment, blog, newsletter side of things is the hours I work to keep up to date with the market. Not a bad thing, actually.

Also, on a professional note, I'm considering launching a quant stock service to help investors more easily implement their own quant stock portfolios. I realize that it is not so easy to implement these portfolios on your own. If you're interested in being a beta tester, please drop me an email.

This is a post I've been behind on for a few months. It's mainly a reference post. I wanted to update the historical performance statistics for the main quant portfolios that I track. All the numbers below are through the end of 2017. If you're new to all this quant stuff and like what you see, you can start from my Portfolios page and read though the posts in the quant section. Then, you can dive into more detail by reading the posts in the quant category on the blog. Better yet, buy What Works On Wall Street. Let's jump right into it.

The table below shows the top 8 basic quant portfolios that I track. These portfolios are the same as, or at least very similar to, the portfolios presented in What Works on Wall Street. I've made every effort to replicate them as close to the models described in the book. Data for these portfolios from 1965 to 2009 is taken directly from the book. The data for my replicated portfolios is from 1999 through 2017. Portfolios were replicated and backtested in Portfolio123.

As the table shows, the performance of these quant portfolios is very impressive. The portfolios have stood the test of time, have outperformed the S&P 500 in bull and bear markets, and have outperformed a basket of representative factor ETFs.

The next table shows the performance of the same quant portfolios but using the SPY-UI indicator to manage the significant market drawdowns that are par for the course for these types of quant strategies. You can read about using the SPY-UI indicator in quant portfolios here.

Similar story here. The table shows the performance of these quant portfolios is very impressive. The portfolios have stood the test of time, have outperformed the S&P 500 in bull and bear markets, and have outperformed a basket of representative factor ETFs. The main difference here is the reduction in drawdowns over the simpler portfolios.

That's about it. I'll put these updated tables in the Portfolios section as well.