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Bargain Reversal

A contrarian mean-reversion strategy that hunts beaten-down large caps showing the first sign of a turn. Requires the close to be within 30% of its all-time low (deeply out of favour) yet back above its 20-day average (turning up), then holds the 15 largest such names. Monthly rebalancing. Grounded in the long-horizon overreaction effect — past losers outperform past winners (De Bondt & Thaler, 1985).

About this strategy

A contrarian mean-reversion strategy that hunts beaten-down large caps showing the first sign of a turn. Requires the close to be within 30% of its all-time low (deeply out of favour) yet back above its 20-day average (turning up), then holds the 15 largest such names. Monthly rebalancing. Grounded in the long-horizon overreaction effect — past losers outperform past winners (De Bondt & Thaler, 1985).

valuemean reversioncontrarian
Universe
All Securities Global Markets
Rebalance Details
Periodic Custom Weights

Strategy Rules

This strategy uses the default universe without additional filters.