Quantitative Portfolios 2018-02-15T11:17:24+00:00

Last Article

2018 Returns

Past Issues

USDGlobal & USDSectors, since 2003

  • 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: S&P500 (SPY)

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

CADGlobal & CADSectors, since 2003

  • 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: TSX (XIC.TO)

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

SPY4ALL, since 1926

  • Access Trades Here

  • SPY4ALL: S&P500 Trend Following (TF), since 1926

  • TF strategy applied on US stocks and bonds

  • Depending on market conditions, holds from 100% stocks to 100% bonds, available in both USD and CAD

  • Monthly Rebalanced

  • Less than 2 trades per year

  • Benchmark:┬áS&P500 (SPY)

Key Metrics

  • Total Returns = Year-to-date returns including dividends

  • 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)

  • Sortino = Ratio of CAGR to downside deviation (the higher the better, risk-free is zero here). A better measure than Sharpe that does not differentiate up from down deviations