Tag Archives: bnd

Quant Strategies – YTD Performance Update

Now, that equity markets have experienced a nice 10%+ correction this year I thought it would be of value to look at the performance of various quant strategies year to date, especially during a tough year for stocks as 2015 has been. 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 2014. 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 (highlighted in yellow). In table above, strategies that have outperformed their benchmark indices are shown in green. As you may expect, the results are mixed, some strategies outperformed, some did not. 4 of the 7 equity strategies listed outperformed both U.S. and International stocks. The consumer staples value strategy (CS Value) has led the way with a 14% YTD return plus a very low drawdown. The laggard has been trending value (TV2) at -9.59%. This is not surprising when you look at the historical data. Momentum strategies can be quite volatile. Microcaps have also done well at 8.88% YTD. Enhanced Yield (EY) and Utility value have also lagged in performance. The ‘build your own index’ strategy (large SHY) has outperformed the SPY but with higher drawdown. Yield strategies in general have had a rough time in 2015. I also listed the TAA bond strategy in the table which has slightly underperformed the Vanguard Total Bond Market ETF (NYSEARCA: BND ) and outperformed the V anguard Total International Bond ETF (NASDAQ: BNDX ). That’s it. A quick look at some 2015 YTD performance figures for various quant strategies. In my next post I’ll take a look at a very simple way to further enhance quant strategy performance. Share this article with a colleague

Asset Class Scoreboard Entering The Final Quarter

We’re entering the final quarter of 2015, and if we take the sports analogy a little further – it’s time for the star of your portfolio to show up if there’s any hope of winning the game. Because no matter the make up of your team in 2015, you’re likely losing through three quarters, with every asset class besides bonds and cash in the red and in need of a 4th quarter comeback. As for alternatives – managed futures are just barely in the red, but red nonetheless, while hedge funds are down for the year, but better than stocks themselves. (Disclaimer: Past performance is not necessarily indicative of future results) Notes: No asset class has been up double digits at any point on the year. Commodities are down by more than -20% for the year. World stocks are down about -17% from their 2015 highs (ouch). World stocks have had five consecutive months of negative returns (Hedge Funds 4). Bonds are at the top of the scoreboard only up 1.01%. For as many articles there have been about the end of the bull market, U.S. stocks are only down -31% on the year. We’re seeing less articles about hedge funds underperforming stocks (because they’re beating them!). Finally, a look at how each asset class performed YTD of every month in 2015 thus far. (click to enlarge) (Disclaimer: past performance is not necessarily indicative of future results.) Source: All ETF performance data from Morningstar.com Sources: Managed Futures = Newedge CTA Index, Cash = 13 week T-Bill rate, Bonds = Vanguard Total Bond Market ETF (NYSEARCA: BND ), Hedge Funds = IQ Hedge Multi-Strategy (NYSEARCA: QAI ) Commodities = iShares GSCI ETF (NYSEARCA: GSG ); Real Estate = iShares DJ Real Estate ETF (NYSEARCA: IYR ); World Stocks = iShares MSCI ACWI ex US Index Fund ETF (NASDAQ: ACWX ); US Stocks = SPDR S&P 500 ETF (NYSEARCA: SPY ) Share this article with a colleague

Ivy Portfolio October Update

The Ivy Portfolio spreadsheet track the 10-month moving average signals for two portfolios listed in Mebane Faber’s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets . Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages. The Ivy Portfolio spreadsheet tracks both the 5 and 10 ETF Portfolios listed in Faber’s book. When a security is trading below its 10-month simple moving average, the position is listed as “Cash.” When the security is trading above its 10-month simple moving average the positions is listed as “Invested”. The spreadsheet’s signals update once daily (typically in the late evening) using dividend/split adjusted closing price from Yahoo Finance. The 10-month simple moving average is based on the most recent 10 months including the current month’s most recent daily closing price. Even though the signals update daily, it is not an endorsement to check signals daily or trade based on daily updates. It simply gives the spreadsheet more versatility for users to check at his or her leisure. The page also displays the percentage each ETF within the Ivy 10 and Ivy 5 Portfolio is above or below the current 10-month simple moving average, using both adjusted and unadjusted data. If an ETF has paid a dividend or split within the past 10 months, then when comparing the adjusted/unadjusted data you will see differences in the percent an ETF is above/below the 10-month SMA. This could also potentially impact whether an ETF is above or below its 10-month SMA. Regardless of whether you prefer the adjusted or unadjusted data, it is important to remain consistent in your approach. My preference is to use adjusted data when evaluating signals. The current signals based on September 30th’s adjusted closing prices are below. This month Vanguard Total Bond Market ETF (NYSEARCA: BND ) is above its moving average and the balance of the ETFs, Vanguard FTSE All-World ex-US ETF (NYSEARCA: VEU ), Vanguard Small Cap ETF (NYSEARCA: VB ), Vanguard Total Stock Market ETF (NYSEARCA: VTI ), SPDR DJ International Real Estate ETF (NYSEARCA: RWX ), Vanguard Emerging Markets Stock ETF (NYSEARCA: VWO ), PowerShares DB Commodity Index Tracking (NYSEARCA: DBC ), S&P GSCI Commodity-Indexed Trust (NYSEARCA: GSG ) Vanguard REIT Index ETF (NYSEARCA: VNQ ) and iShares Barclays TIPS Bond (NYSEARCA: TIP ), are below their 10-month moving average. The spreadsheet also provides quarterly, half year, and yearly return data courtesy of Finviz. The return data is useful for those interested in overlaying a momentum strategy with the 10-month SMA strategy: (click to enlarge) I also provide a “Commission-Free” Ivy Portfolio spreadsheet as an added bonus. This document tracks the 10-month moving averages for four different portfolios designed for TD Ameritrade, Fidelity, Charles Schwab, and Vanguard commission-free ETF offers. Not all ETFs in each portfolio are commission free, as each broker limits the selection of commission-free ETFs and viable ETFs may not exist in each asset class. Other restrictions and limitations may apply depending on each broker. Below are the 10-month moving average signals (using adjusted price data) for the commission-free portfolios: (click to enlarge) (click to enlarge) Disclosures: None.