Is There Something Like A Long Term Quant Value Investing Strategy?

Is There Something Like A Long Term Quant Value Investing Strategy? by Tim du Toit, Quant Investing

In an interesting deep value investing forum I follow one of the participants asked an interesting question:

“Most quant strategies produce a high turn-over. Can you point me to quant (value/quality) strategies with a very low turn-over and a holding time of more than 3 years?”

This is something I have given a lot of thought, specifically because of the 25% capital gains taxes (payable even if you hold the investment for only one day) here in Germany.

The following is the best strategy I have come up with so far, and is something I use myself.

Value effect works for 5 years

Let us first...