Charles Brandes Value Strategy with Monthly Rebalancing and Stop Rules

Summary

This article turns a value investing approach associated with Charles Brandes into a rules-based stock selection strategy adapted for China. It screens for companies with moderate debt and valuation measures below specified market-relative limits, also applying an absolute price-to-book ceiling. From the qualifying stocks, it selects up to 30 and rebalances monthly.

The strategy adds two sell rules: exit an individual holding after it falls 7% below its cost, or sell all holdings if the broader market drops 13% within five days. The article reports a backtest from January 2014 through June 2017, with annualized returns, maximum drawdown, win rate, and average holdings stated. These are historical results from a limited period; the document gives no details on transaction costs, execution assumptions, survivorship bias, or out-of-sample performance, so they do not establish future results.

Key ideas

• The stock screen combines debt limits with relative and absolute valuation thresholds.
• The portfolio selects up to 30 qualifying stocks and rebalances monthly.
• Individual and market-wide loss rules trigger exits.
• The reported backtest covers a finite historical period and omits several implementation details.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.