QAS MODEL PORTFOLIO PROGRAM 2023 YEAR-END SUMMARY AND 2024 MARKET OUTLOOK
VARIOUS QAS MODEL PORTFOLIO STRATEGIES OUTPERFORMED ALL ASSET CLASSES IN 2023
Despite all the challenges in 2023, most QAS stock/bonds model portfolio strategies ended up with a double-digit positive performance. Also, several models representing various investment themes (Crypto, Gold, India, US macro-cap, US New economy) delivered higher returns vs. all major asset classes’ benchmarks.
When we created our model portfolio program, we wanted to demonstrate that QAS methodology is an “effective toolbox” for investment managers. Over the years, our model portfolio strategies showcased that our data and signals provided great help in selecting investment instruments, managing risk and generating alpha.
Here are some highlights of the strategies that outperformed all asset classes in 2023.
1. QAS Tactical Crypto Strategy returned +121.0% in 2023.
This is one of our most complex “2-module/ multi-regime” algorithmic strategies, based on rotation between ETH and BTC with an effective hedging process. The main crypto instruments rebounded in the second half of 2023, following the SEC approval of multiple crypto ETFs.
Some key highlights are also included in a 3-yr performance stats table below including significantly lower Volatility, Max Drawdown, and superior Sharpe ratio:
2. QAS India All-Cap Strategy returned +76.6% in 2023.
This long-only stock-selection strategy is based on our standard (all countries/regions) algorithm, which selects and maintains a 20-stock concentrated portfolio structure with a monthly rebalancing process. Overall, the India stock market had a good year. However, there was a clear shift from a traditionally dominating “large-cap” segment to a “small-cap” section in certain industrial sectors. Our rebalancing process effectively reflected this shift, contributing to the excess return of +56% over NIFTY 50 benchmark. We have a strong positive outlook for the India stock market for 2024. However, we will be closely watching for potential shifts within the market-cap and industrial sectors segments. We modified our India stock market database with additional data points to make this information readily available for our clients.
3. QAS Gold Long-Short Strategy returned +29.9% in 2023.
This strategy carried a true diversification factor, outperforming all asset classes for a second year in a row. It has a four-regime structure, including +/- 2x leverage/inverse ETFs. Gold is considered one of the most difficult commodities to trade, because of its price levels which are impacted by multiple layers of the inter-market and other points of analysis (US Dollar, Yields, Geo-Political events and more). With our great multi-year real track record, this strategy proved that QAS methodology can effectively analyze various markets and add value.
Considering extremely difficult global market conditions over the past two years as a solid test-environment, when at some point there was literally nowhere to invest, our Gold Long/Short strategy is likely to continue with its superior diversification effect going forward.
4. QAS US Micro-Cap Equity Strategy returned +29.5% in 2023.
Surprisingly, this long-only 30-stock-selection strategy outperformed the entire Small-Cap/ Micro-Cap segment, which was lagging all year until a sharp rebound towards the end of the year.
5. QAS US New Economy Equity Strategy returned +25.9% in 2023.
We maintain our own investment universe that consists of 200+ stocks representing “New Economy” US Large-Cap stocks. “New Economy” is a buzzword describing new, high-growth industries that are on the cutting edge of technology (innovative products) and are the driving force of economic growth.
This is a stock-selection long-only concentrated portfolio with a monthly rebalancing process. We select and maintain 20 stocks from our New Economy investment universe.
This strategy was significantly outperforming vs. SPY all year until the September-October market decline. However, it has managed to climb above the benchmark towards the end of the year.
6. US High-Yield Bond 50/50-30 Tilt Strategy returned +7.74% in 2023.
In a separate section, we wanted to report superior performance of our synthetic quantitative bond strategy. This 3-regime algorithmic strategy tilts exposure between US High-Yield Bond and 7-10 yr US Treasury ETFs, targeting higher upside potential with lower volatility compared to AGG ETF bond exposure.
In 2023, this strategy outperformed vs. AGG by +2.6%.
QAS’s 2024 Market Outlook
We established a relatively constructive view on the global equity and fixed income markets for 2024:
- S&P 500 15% – 20% upside potential
- Russell 2000 25% – 30% upside potential, likely to become a leading market segment
- S&P Sectors’ leadership: Technology, Industrial, Healthcare, Real Estate
- International leadership group: Japan, India, Brazil, however Emerging Markets segment is likely to lag vs. Developed Market
- US 10-yr Yield 3.4% target, depending on Fed action
