Quantletter Q30
Quantletter Q30
Quantletter Q30
Now, this example should quell the fears of those who are ready to jump at hearing the word
quant that it is hi-frequency trading or some such ignorant criticism.
For those who believe in passive investing in index ETFs like Sensex or Nifty also need to
understand that, in fact, any index is also primarily a quant system.
This is the index selection criteria for Sensex. See how it is setup and has a review frequency of 3
months.
https://www.bseindia.com/markets/Derivatives/DeriReports/FAQs.aspx#
Addendum
Q30 Quant Stocks basket backtested returns for quarterly portfolios
Calendar 1st Quarter 2nd Quarter 3rd Quarter 4th Quarter Annual
Year (31st March) (30th June) (30th Sep) (31st Dec)
2007 9.15 13.91 11.33 72.15 138.29
2008 (-34.41) (-3.4) (-1.35) (-4.83) (-40.51)
2009 (-1.58) 32.03 45.11 28.16 141.66
2010 9.21 8.47 31.87 1.11 57.95
2011 1.89 0.03 (-1.08) (-7.63) (-6.87)
2012 7.03 (0.54) 24.84 6.68 41.77
2013 (-14.4) 16.13 10.98 19.92 32.30
2014 3.99 45.43 35.72 10.12 126.02
2015 8.35 3.77 16.9 7.01 40.65
2016 (-6.05) 8.73 15.49 (-6.48) 10.33
2017 20.43 35.09 43.11 49.87 248.93
2018 (-10.71) 1.66 4.24 (-6.51) (-11.54)
2019 0.65 0.87 (-3.99) 27.51 24.29
• If one bought 10 stocks and replaced it a new basket every quarter since 2007, the CAGR is
~46%
• However for the sake of simplicity, the retuns calculation doesn’t include brokerage costs,
doesn’t include dividends and doesn’t include any returns on liquidbees when part of the
portfolio is in cash. There are also slippages likely to be there in executing the trades. You may
discount the above returns by 1% to 2% on account of these factors.
• While only 13 out of 52 quarters have given negative returns, but there are occassions where
multiple quarters have resulted in negative returns one quarter after another in succession.
• 4 out of 13 complete calendar years have been in negative returns. No prizes for guessing which
could possibly have been the best and the worst year.
• Max Returns: 248.93 % in 2017
• Min Returns: (-40.51%) in 2008
• Past is indicative of the existence of an "edge" in the quant strategy. However the future
doesn’t exacty mimic the past. There is no guarantee that future returns will be similar. They
may likely be lower. Please refer to the complete disclaimer before you invest relying on any
of the information contained in this quantletter.