Grit MultiFactor fund

Grit MultiFactor fund is a quantitative value fund investing in select group of globally listed equities. It is closed ended and currently not open to the public.  We believe in running systematic trading that eliminates human biases. quantitativevalue is committed to a low cost quantitative value strategy that focusses on absolute returns and minimizes the permanent loss of capital.

Grit MultiFactor factsheet:

general partner

grit capital ltd.

fund management

arthur van der linden
steven de klerck

administrator

t.b.d.

target audience

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.

Geographic focus

Asia: Hong Kong, Japan, Singapore
Australia
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

Fund Basics

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.


Investment Process

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.