Dear investors, The following article appeared in the 1 march 2013 issue of the Systematic Value Investor newsletter. Sign up here  to receive four investment ideas based on the best long term investment strategies we have tested. New – External Finance Ratio In this article I want to tell you about a ratio we have also added to the screener called the External Finance Rat... [More]

  Mebane Faber (Cambria) has launched an interesting ETF today :   ->The Cambria Shareholder Yield ETF is an actively managed fund that employs the manager's quantitative algorithm to select U.S. listed companies that show strong characteristics in returning free cash flow to their shareholders. Specifically, SYLD invests in 100 stocks with market caps greater than $200 mi... [More]

Dear Fellow Investor The following article appeared in the 1 April 2013 issue of the Systematic Value Investor newsletter. Sign up here  to receive four investment ideas based on the best long term investment strategies we have tested.   Back to the article. Do you think that the quality of a business makes any difference in terms of returns compared to only buying undervalued compa... [More]

The problem with single-factor valuation ratios is that they move “in and out of favor” and can significantly underperform the overall market over any given 10-year period despite their long-term outperformance. The solution ? A valuation factor that uses a few valuation measures overcomes this problem by giving you a list of companies that are undervalued based on a few valuation m... [More]

  With so much going on in the markets... Here’s a free investment newsletter you must have a look at. My friend and fellow value investor Tim du Toit publishes a great weekly free email newsletter called Investing that makes sense that I am sure you will find of great value. For example he recently published an article called Best Firefox add-ons for investors which you can... [More]

Dear Fellow Investor We honestly didn't think it would work as well. In 2010 the newsletter tracked the index as the portfolio was started In 2011 during the sovereign debt crisis the newsletter gave up a bit of outperformance In 2012 the value subscribers invested in was finally recognised and outperformance really took off For the year to date the newsletter has outperfo... [More]

Over the course of the last decades, the analysis of structural reasons for equity out- or underperformance has been a widely discusses academic topic. New explanatory factors, such as accruals (Sloan, 1996), were established and former explanatory factors lost some of their predictive power, as Fama and French (2003) show in the case of beta. One of the more recent explanatory factors is the F-S... [More]

  In response to many questions from the Short Selling Blog: Short Algorithm The screen that featured in the article can be described as follows: ·         US companies with market capitalisation greater than one billion dollars and with 20 day average trading volume greater than 100,000 shares.  These companies are less volatile than th... [More]

  Why Bother? Many professionals sell short a stock in order to make a profit just as they do with their long portfolios.  However, that is not the primary focus of our short portfolio. Because the market (eg a long tracker) gives you 6+% per annum (if you stay in it long enough), a short portfolio has to generate 6+% excess return just to break even.  And that is not including t... [More]

As a quantitative value investor, I‘ve always struggled with the question how long I should keep stocks in my portfolio and when I should sell these securities.   Portfolio rebalancing is an important part of sticking to my game plan as a quantitative investor.   The prospect theory in behavioral finance, says that people make decisions based on the potential value of losses ... [More]