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WINNING

Gross Profitability Value

High gross profitability + value combination (Novy-Marx 2013)

3Y
Total Return
+65.8%
3Y
Sharpe Ratio
0.91
3Y
Max Drawdown
-15.7%
3Y
Win Rate
55.9%
3Y
Alpha
-47.0%
3Y
Comp. Score *
0.21
Risk Parameters
Max Allocation12.2%
Stop Loss18.9%
Take Profit14.7%
Max DD Tolerance15.7%
Rebalancemonthly
Execution Guidance
Order TypeLimit
Entry RuleBuy below SMA200 or at RSI < 35. Value = patience. Don't rush.
TimingSAFE TO BUY. *
ScalingEnter in 3 tranches over 4-6 weeks as price confirms bottom.
Positions — Vol-Adjusted Sizing
SymbolActionVol Stop LossTake ProfitSizeLinks
V BUY 22% 17.4% below entry 13.6% above entry 13.2% TVYH
MCD BUY 19% 14.9% below entry 11.6% above entry 15.5% TVYH
MA BUY 22% 17.3% below entry 13.5% above entry 13.3% TVYH
SBUX BUY 34% 27.2% below entry 21.3% above entry 8.4% TVYH
YUM BUY 23% 18.0% below entry 14.0% above entry 12.8% TVYH
COST BUY 21% 16.4% below entry 12.8% above entry 14.0% TVYH
CMG BUY 38% 30.3% below entry 23.7% above entry 7.6% TVYH
AAPL BUY 29% 22.7% below entry 17.7% above entry 10.1% TVYH
NKE BUY 39% 31.0% below entry 24.2% above entry 7.4% TVYH
MSFT BUY 28% 22.2% below entry 17.3% above entry 10.4% TVYH
GOOGL BUY 31% 24.7% below entry 19.3% above entry 9.3% TVYH