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A Value Investment Strategy That Combines Security Selection And Market Timing Signals
neelkanth mehta
edited Sep 11, 2019
Papers Mean Reversion Value

In this exercise, we attempt to develop an institutional quality investment cum trading strategy with small and retail investor in mind. Apart from lack of professional expertise and smaller investible amounts, individual investors also face limitations in their ability to taking short positions. Considering these restrictions, we attempt to develop a value investment strategy and augment the portfolio performance by timing its positions. Every quarter, we screen value stocks (having high book-to-market ratio) based on Piotroski F-Score algorithm (and a Modified FS-Score algorithm); and take active positions in these stocks, in the interim. We compare the performance of our algorithms with that of original Piotroski F-Score algorithm and with that of S&P 500 Value index (SPYV).

Paper: https://ssrn.com/abstract=3451859
https://github.com/NeelkanthMehta/A-Value-Investment-Strategy-That-Combines-Security-Selection-And-Market-Timing-Signals.git

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