Nice work marrying physics and investing. Curious about the 1-year holding period rule. What if the culling proves premature? Is the 1 year window based on say, statistical analysis that showed this period to be optimal or convenience or something else? I’ve read many of Mr. Goldblatt’s works but that was a while ago. Thanks and keep up the good work.
I’ve also wondered about this 1-year holding period rule. Greenblatt doesn’t really explain it in the book, other than saying that this was the period he chose in his 17-year backtest. One thing he highlights/suggests is that for taxable accounts, you will want to sell those positions showing a loss a few days before the one-year holding period, so the losses receive short-term tax treatment.
I think the main point is to make it as much rule-based as possible so that you continually buy the highest ranking ‘good-and-cheap’ and sell the ‘less-good-and-less-cheap’ (if a stock is still high on the screener after a year, then keep it for another year)
Greenblatt made it clear in his book that the formula goes through long stretches of not working, which is exactly when many investors give up, and so miss the payoff that comes later.
Greenblatt
Nice work marrying physics and investing. Curious about the 1-year holding period rule. What if the culling proves premature? Is the 1 year window based on say, statistical analysis that showed this period to be optimal or convenience or something else? I’ve read many of Mr. Goldblatt’s works but that was a while ago. Thanks and keep up the good work.
Thanks for the comment, much appreciated!
I’ve also wondered about this 1-year holding period rule. Greenblatt doesn’t really explain it in the book, other than saying that this was the period he chose in his 17-year backtest. One thing he highlights/suggests is that for taxable accounts, you will want to sell those positions showing a loss a few days before the one-year holding period, so the losses receive short-term tax treatment.
I think the main point is to make it as much rule-based as possible so that you continually buy the highest ranking ‘good-and-cheap’ and sell the ‘less-good-and-less-cheap’ (if a stock is still high on the screener after a year, then keep it for another year)
Patience is still key
Greenblatt made it clear in his book that the formula goes through long stretches of not working, which is exactly when many investors give up, and so miss the payoff that comes later.