Grit MultiFactor is a quantitative value fund investing in global portfolio of listed equities. We believe in running a systematic trading strategy that eliminates human biases. Grit Multifactor is committed to a low cost quantitative value strategy that focusses on absolute returns and minimizes the permanent loss of capital. The fund is closed and currently not open to the public.
grit multifactor factsheet
|grit capital ltd.
|arthur van der linden
steven de klerck
|when we feel ready we would like to offer our product qualified investors who adopt a value strategy and have an investment interest in a select group of globally listed equities and have an investment horizon of at least 5 years.
|Asia: Hong Kong, Japan, Singapore
North America: US, Canada, Mexico
Europe: Austria, Belgium, France, Germany, Italy, Netherlands, Norway, Spain, Sweden, Switzerland, United Kingdom
|potential assets under management (AUM):
|≅ usd 150 million
A long only value portfolio based on the investment principles of Benjamin Graham:
- Each company in the value portfolio has the minimal required fundamental safety margins.
- The safety margins are defined based on the historical financial statements.
- Restricted portfolio turnover of below 50% on an annual basis.
- In the screening procedure no forecasts are introduced.
Step 1: Select cheap
Select companies with minimal performance on a number of fundamental criteria like solvency (e.g. equity to total capital > 35%), profitability (e.g. ROA > 0) and liquidity ratios, and historic performance.
Step 2: Select robust
Construct a portfolio with minimally 55% equity to total capital and optimize it so that the fundamental characteristics (solvency, profitability, liquidity…) of the portfolio compared to the dataset created in step 1 are above average.
Step 3: Create diversified portfolio
Spread the investments over the selected countries to create safety in diversification and to ensure liquidity does not become a burdensome trap.