25-09-2014, 09:55 PM
I have always interested on the don't and do for quantitative approach of value investing. Joel's magic formula is one good case study, but a better one is Walter & Edwin Schloss. Walter's fund should be more comparable with Aggregate Value Fund.
Walter's fund size isn't disclosed, but I estimated as US$50-100 million, which is comparable with the Aggregate Value fund's (AVF) AUM of S$100 million. Fee wise, both have no management fee, but profit sharing, 20% for AVF, and 25% for Walter. Both seems following the similar net-net approach, and aimed for long term (4-5 years min)
One major difference between them is the level of diversification. Walter invested on 60 stocks typically, and max at 100 stocks, while AVF invested on 200 stocks. Allocation on each stock is max 10% for Walter, but <2% for AVF
It is still too early to conclude AVF performance, but disclosed performance of Walter between 1956-2002 was 16% net of fee, or 21% w/ fee. Will AVF able to achieve the same performance? AVF official target is 12-13%, lower than Walter's record.
In my mind, AVF might trade the volatility with max profit, with a higher diversification than Walter's.
Any comment?
Walter's fund size isn't disclosed, but I estimated as US$50-100 million, which is comparable with the Aggregate Value fund's (AVF) AUM of S$100 million. Fee wise, both have no management fee, but profit sharing, 20% for AVF, and 25% for Walter. Both seems following the similar net-net approach, and aimed for long term (4-5 years min)
One major difference between them is the level of diversification. Walter invested on 60 stocks typically, and max at 100 stocks, while AVF invested on 200 stocks. Allocation on each stock is max 10% for Walter, but <2% for AVF
It is still too early to conclude AVF performance, but disclosed performance of Walter between 1956-2002 was 16% net of fee, or 21% w/ fee. Will AVF able to achieve the same performance? AVF official target is 12-13%, lower than Walter's record.
In my mind, AVF might trade the volatility with max profit, with a higher diversification than Walter's.
Any comment?