Long Term Loser Rebound

DeBondt & Thaler contrarian strategy — buy long-term losers for mean reversion

Total Return

+35.1%

Sharpe Ratio

0.51

Max Drawdown

-18.7%

Win Rate

51.4%

Alpha

-55.8%

Comp. Score *

0.11

Risk Parameters

Max Allocation6.5%

Stop Loss18.7%

Take Profit5.3%

Max DD Tolerance18.7%

Rebalancemonthly

Execution Guidance

Order TypeLimit

Entry RuleBuy 0.5% below market in uptrend.

TimingSAFE TO BUY. *

ScalingEnter in 3 tranches over 1-2 weeks.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
SLYV	BUY	21%	16.4% below entry	4.7% above entry	7.4%	TV YH
IWD	BUY	14%	10.7% below entry	3.0% above entry	11.3%	TV YH
VBR	BUY	18%	14.2% below entry	4.0% above entry	8.5%	TV YH
SHY	BUY	2%	9.3% below entry	3.0% above entry	13.0%	TV YH