Quantitative Portfolios 2018-05-31T14:14:55+00:00

You're Here Because

  • You are interested in beating the market

  • You want to profit from the current rally, whether it's in stocks, bonds, REIT, gold or oil

  • You believe process is more important than outcome

  • You are comfortable investing without predicting

2018 Returns

Last Issue

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

  • 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

  • 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