High gross profitability + value combination (Novy-Marx 2013)
Gross profit / total assets predicts returns with power equal to value metrics. 3.7-4.4% annual premium. 6.37% alpha when combined with value
| Symbol | Action | Vol | Stop Loss | Take Profit | Size | Links |
|---|---|---|---|---|---|---|
| V | BUY | 22% | 17.2% below entry | 13.4% above entry | 13.4% | TVYH |
| MCD | BUY | 18% | 14.3% below entry | 11.2% above entry | 16.1% | TVYH |
| MA | BUY | 22% | 17.0% below entry | 13.3% above entry | 13.5% | TVYH |
| SBUX | BUY | 36% | 28.5% below entry | 22.3% above entry | 8.1% | TVYH |
| YUM | BUY | 22% | 17.3% below entry | 13.5% above entry | 13.3% | TVYH |
| COST | BUY | 21% | 16.3% below entry | 12.7% above entry | 14.1% | TVYH |
| CMG | BUY | 37% | 29.1% below entry | 22.7% above entry | 7.9% | TVYH |
| AAPL | BUY | 29% | 22.7% below entry | 17.7% above entry | 10.2% | TVYH |
| NKE | BUY | 40% | 32.0% below entry | 25.0% above entry | 7.2% | TVYH |
| MSFT | BUY | 24% | 19.3% below entry | 15.0% above entry | 11.9% | TVYH |
| GOOGL | BUY | 30% | 23.7% below entry | 18.5% above entry | 9.7% | TVYH |
This strategy is suitable for passive investing. - Take profit: Rebalance when any position exceeds 2x its target weight. Trim back to target, redeploy to underweight positions. - Stop loss: NO price-based stop loss. This strategy recovered from 31% drawdown to deliver positive long-term returns. - Exit rule: Review annually. Exit if strategy underperforms its benchmark for 3 consecutive years.