Beating market indices with quantitative strategies
A presentation of quantitative, trend-following strategies, accompanied by published positions.
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The information presented on this site is for informational and educational purposes only. It does not constitute investment advice, an investment recommendation or a solicitation. The author does not manage third-party assets and does not offer any financial services. Past performance does not guarantee future results. Consult a qualified professional before making any investment decision.
A rules-based approach
What I want to demonstrate on this site is that it is possible to beat market indices with quantitative strategies. My approach is systematic: it relies on rules to determine allocations. This is neither passive long-term investing (buy and hold), nor discretionary based on opinions or economic forecasts.
Using a quantitative model does not in itself guarantee positive returns. Like an orchestra, you need the right number of musicians playing in a rhythmic and harmonious way. One out-of-tune ETF and the strategy can amplify losses or create excessive volatility. The same logic applies in every field: in cooking, success depends on choosing and combining the right ingredients; in sport, it is consistent and rigorous practice that can lead to superior results.
The strategies presented on this site are grounded in trend following, an approach validated by more than two centuries of global financial data, according to a recent study by researchers at Robeco and Northern Trust Asset Management:
"Our long-run evidence shows that multi-asset defensive strategies, particularly a return-enhanced version of the Defensive Absolute Return (DAR) portfolio […] and trend-following, provide the most effective downside protection. DAR and trend-following are complementary across tests by diversifying each other across stages of drawdowns."
— Baltussen, Martens & Van der Linden — The Best Defensive Strategies: Two Centuries of Evidence, Robeco / Northern Trust Asset Management, novembre 2025
The starting point
In 2017, I decided to take charge of my own investments. Since 1995, my savings had been managed by traditional portfolio managers, generating a typical annual return of 6.5%. In 2016, after cashing out my investments for a real estate project that never materialized, I missed a 15% market year.
Unsettled, I was determined that would not happen again. I opened a brokerage account. I first tried an intuitive fundamental approach. Through my research, I discovered the quantitative method of trend following and momentum, largely through the work of Meb Faber.
Since then, I have never stopped building and testing rules-based strategies. My portfolio is a laboratory in constant progress and optimization. Nine years later, in March 2026, my compounded annual return stood at around 25% before tax — nearly four times that of my managed portfolio and close to double that of the American index over the same period. I nonetheless aspire to do better, while hoping to minimize the effects of the next market crash.
Comparative performance since January 2026
The chart below shows how the QP1 strategy has performed since the beginning of 2026 relative to the American S&P 500 index. The widening gap over the weeks stems from the concentration in commodities relative to equities.
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Chart provided for informational purposes only. It does not constitute an investment recommendation; past performance is not indicative of future results.
An agnostic and geometric perspective
I never studied finance, which makes me agnostic toward markets and industry biases. I look at return curves from a geometric perspective: I do not try to understand them, but I see in them the expression of a rhythm — with its highs, lows and deviations. The name or nature of the underlying fund generating that curve matters little to me.
I do not day trade. My strategies rely on trends calculated over monthly or bi-monthly periods. Adjustments remain rare: at most, a few funds are replaced once a month. Sometimes no changes are needed for an extended period. To beat the markets, I use certain leveraged funds and non-conventional asset classes while avoiding individual equities.
A logbook, without predictions
For now, I publish this site as a partial journal of my strategies. I share the evolution of my best strategies with data updated daily.
I make no predictions and give no financial advice. I comment on the changes I observe in my models, without necessarily knowing the cause. In November 2025, I noticed that energy funds were being selected and that some strategies began shifting away from American equities toward commodities. This trend was amplified by the war in Iran. For the first quarter of 2026, my QP1 strategy returned 10.3%, compared to −4.6% for the S&P 500, −7.1% for the NASDAQ 100 and 3.3% for the TSX in Canada. That said, the curves could reverse and intersect.
View the strategies
The text on this page presents my approach. The Strategies page is a summary of the strategies and shows how these models are built, classified and tracked over time.