Quantitative Portfolios 2017-12-10T11:32:37+00:00

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Quantitative ETF Portfolios

Global & Sector USD Portfolios

  • USDGlobal: Global Tactical Asset Allocation, in USD

  • USDSectors: Sector Rotation, in USD

  • Each portfolio holds only two ETFs (or cash)

  • Monthly Rebalanced, equally weighted

  • About 10 trades per year

  • Benchmark: S&P500 (SPY)

  • Invest in the most traded and low-cost ETFs (SPY, XLF, ...)

Global & Sector CAD Portfolios

  • CADGlobal: Global Tactical Asset Allocation, in CAD

  • CADSectors: Sector Rotation, in CAD

  • Each portfolio holds only two ETFs (or cash)

  • Monthly Rebalanced, equally weighted

  • About 10 trades per year

  • Benchmark: TSX (XIC.TO)

  • Invest in the most traded and low-cost ETFs (VSP, XEG, ...)

S&P500 Trend Following USD/CAD Portfolio

  • SPY4ALL: S&P500 Trend Following (TF)

  • TF strategy applied on US stocks and bonds

  • Holds only one ETF (either stocks or bonds), available both in USD and CAD

  • Monthly Rebalanced

  • Less than 2 trades per year

  • Benchmark:┬áS&P500 (SPY)

Key Metrics

  • CAGR = Compounded Average Growth Rate (the higher the better)

  • MaxDD = Maximum DrawDowns (the lower the better)

  • MAR = Managed Accounts Report = CAGR/MaxDD (the higher the better)

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