Walter Schloss's Cheap-Asset Basket
NO EDGEBuy many statistically cheap stocks trading below book value and near multi-year lows, with little debt; rely on the balance sheet, not the story.
| THE STRATEGY | $SPX BUY & HOLD | |
|---|---|---|
| Growth a year (CAGR) | 3.8% | 8.9% |
| Return per unit of risk (Sharpe) | 0.29 | 0.65 |
| Worst fall (max drawdown) | -62.2% | -52.6% |
// GROWTH OF $1, LOG SCALE
Tested on years it never saw (from the split): 6.7% a year against 12.4% for the benchmark; Sharpe 0.22 in the training years, 0.41 after.
After 25 bps of trading costs: 2.3% a year. BELOW RANDOM
// DECADE BY DECADE
| ERA | STRATEGY | BENCHMARK |
|---|---|---|
| 1990s | -1.4% | 19.1% |
| 2000s | -0.1% | -2.6% |
| 2010s | 9.2% | 11.6% |
| 2020s | 6.8% | 14.1% |
// THE IDEA, AS PUBLISHED
Walter Schloss letters & interviews; Buffett's 'Superinvestors' (1984) · 1955
- Price near multi-year low and below book (tangible book preferred)
- Little or no debt, long operating history
- Wide diversification (often about 100 names), about 4-year average hold
A real computation on the QuantGPT warehouse, survivorship-free, walk-forward. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-09-24 20:47 ON THE QUANTGPT WAREHOUSE. COMPANIES THAT LATER DELISTED ARE NOT IN THIS UNIVERSE YET (A FIX IS IN PROGRESS), SO THE RESULT LEANS TOWARD SURVIVORS. FUNDAMENTALS BY FILING DATE. NOT INVESTMENT ADVICE.