Quantitative Portfolios 2018-01-15T14:51:50+00:00

Quantitative ETF Portfolios for DIY Investors

Last Article

Archives

2018 Returns

ETF (USD) Portfolios: USDGlobal & USDSectors

  • Access Trades Here

  • 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: US market S&P500 (SPY)

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

ETF (CAD) Portfolios: CADGlobal & CADSectors

  • Access Trades Here

  • 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: Canadian market TSX (XIC.TO)

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

ETF (CAD/USD) Portfolio: SPY4ALL

  • Access Trades Here

  • SPY4ALL: S&P500 Trend Following (TF)

  • TF strategy applied on US stocks and bonds

  • Monthly Rebalanced

  • Less than 2 trades per year

  • Benchmark:┬áS&P500 (SPY)

Key Metrics

  • YTD = Year-To-Date Returns of the ETF Portfolios and their Benchmarks

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

  • MaxDD = Maximum DrawDowns (peak-to-trough decline): the lower the better

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

  • Sortino = variation of the Sharpe ratio that differentiates harmful volatility: the higher the better