Quantitative Portfolios for Active Investors

Methodology Books Growth Portfolio Market Neutral

Growth Portfolio 

The Weekly Growth Portfolio contains 5 strategies described hereafter. An all-weather portfolio should combine at least 3 or 4 strategies based on different rationales.

CORE ETFs: 4 ETFs on countries, sectors, bonds. Model based on momentum, market timing and seasonal patterns.
SP500 GROWTH&VALUE: 4 S&P 500 companies. Model based on quantitative fundamental analysis.
SP500 DYNAMIC DIVIDEND: 4 S&P 500 companies. Model based on quantitative fundamental analysis and timed hedging.
BOND ROTATION: 2 ETFs on corporate and treasury bonds. Model based on momentum and market timing.
GLOBAL ASSETS: 4 ETFs on international stock indices and international treasury bonds. Model based on momentum and market timing.

The following simulations include trading costs and dividends. Starting dates depend on data availability, end date is 1/1/2015. Past performance, real or simulated, is not a guarantee for future returns.

SimStart: simulation starting date; AnRet: annualized return; MDD: max drawdown depth; Sharpe, Sortino: risk adjusted performance ratios; Kelly: probabilistic robustness ratio; MDL: max drawdown length; Vol: volatility; Cor: correlation with SPY; Ord: average orders/week (replacing 1 stock = 2 orders)

Strategy SimStart AnRet MDD Sharpe Sortino Kelly MDL Vol Cor Ord
CoreETFs Jan 2002 28% -15% 1.5 2.1 26% 10 mths 16% 0.3 1.2
SP500GV Jan 1999 38% -31% 1.5 2.2 25% 10 mths 28% 0.6 1.6
SP500DD Jan 1999 31% -33% 1.3 2 26% 10 mths 21% 0.3 1.6
Bond Rotation Jun 2008 12% -10% 1.2 1.7 30% 7 mths 8% 0 0.6
Global Assets Jun 2003 16% -17% 1 1.3 21% 20 mths 14% 0.3 0.6

YPAFI Weekly Growth Portfolio: 67 USD / month*

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*Recurring billing by credit card or Paypal. Plus tax if your billing address is located in the European Union, Switzerland, Norway or specific locations in the U.S. (NY, NC, CT, Broomfield County CO). You can stop it at any time. The address is for tax compliance purposes, there is no physical mail or delivery.


Information sent by email before the 1st trading day opening of every week. It contains stocks and ETFs that we buy, sell and hold the same day. It also contains useful market timing indicators and a market outlook. This is a follow-up of our portfolio for informational purposes. It is not a recommendation to buy or sell securities. We provide an opinion about the market. Every subscriber is free to use it in any way for individual purpose, except disseminating included information. You are responsible for your investments. Investing is risky. Past performance is never a guarantee for the future. We are not a RIA and cannot provide personal advice. If you have a doubt, please consult a registered advisor.

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