Is There Something Like A Long Term Quant Value Investing Strategy? by Tim du Toit, Quant Investing In an interesting deep value investing forum I follow one of the participants asked an interesting question: “Most quant strategies produce a high turn-over. Can you point me to quant (value/quality) strategies with a very low turn-over and a holding time of more than 3 years?” This is something I have given a lot of thought, specifically because of the 25% capital gains taxes (payable even if you hold the investment for only one day) here in Germany. The following is the best…
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- Value effect works for 5 years
- The 80/20 principle of quantitative value investing
- This is an even better strategy
- You can use any value investing strategy
- Be careful of low price to book value companies
- Make sure you limit your losses
- Fundamental stop-loss
- Inspired by Warren Buffett
- Quantitative fundamental stop loss
- Piotroski F-Score summarised
- Why you should take a serious look at a stop-loss system
- Psychological benefit of a stop-loss
- Back testing this is not easy
- Quant value investing strategy summarised
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