My investment style is based on fundamental value driven long only “buy and hold” strategies. My objective is to provide maximum compounded returns in the long run.
A purely quantitative, systematic, value oriented approach:
I invests in companies that are publicly traded in the US. The capital is systematically and regularly allocated to a certain number of securities identified by a collection of proprietary stock screeners. The portfolio is held for a few months and re-allocated at regular time intervals. The stock screeners used to identify those securities have been developed by me using historical price and fundamental financial company data and are being continuously improved.
A strategy based on historical patterns:
History and the in depth study of quantitative investment strategies have shown that value-investing strategies (i.e. strategies seeking to invest in companies trading at low price to fundamentals ratios) tend to out-perform the market on the long run. I hence have developed a back testing and optimizing tool to identify the combinations of fundamental criteria that worked best in the long run in the past to apply them in the future. The back testing tool confirmed the validity of the value investing approach and helped to identify strategies with good historical performance. In order to be selected, strategies must meet certain mathematical criteria aimed at maximizing the performance and the robustness of portfolio allocation (in terms of ARR, Sharpe and Calmar Ratios, Max draw down ratio) avoiding the potential pitfalls of back testing.