In John Reese's book "The Guru Investor", he shows a stock screen based on Benjamin Graham's philosophies. A backtest of the screen produced a 20% return versus 4% for the S&P 500 over the 2003-2008 period. The screen rules are: All stocks except technology Sales > $340 million Current ration > 2 (less than 2 only if its a utility or telecom) Long-term … [Read more...]
Stock Screens
Articles and posts are Stock Screens and outputs can be found here. Feel free to use the output to find potential investment opportunities!
This Magic Formula Stock is Up 15%+ Pre-Open!
I'm a fan of using screens to scan the universe for opportunities. One very popular screen is Joel Greenblatt's 'Magic Formula' which he talks about in his best selling book "The Little Book that Beats the Market". Express Scripts (ESRX) is one of the stocks given by the screen and is up more than 15% before the market opens today. This is because it was just announced that … [Read more...]
Buyer Beware: Your Screen Could Be Working Against You
Summary Use of model/screens can be helpful but have both advantages and disadvantages. Some of the disadvantages are: incorrect data, value traps, falling knives, high concentrations, etc. An important but ignored problem is that of incorrect data. Even Bloomberg gets it wrong! Examples from author's personal experiences highlight the issues investors should keep … [Read more...]
O’Shaughnessy’s Value Composite Model
Last month, I did a review of O'Shaughnessy investment classic "What Works on Wall Street". It’s only fitting that this month I present one of O'Shaughnessy’s multi-factor models. This can easy be used as a starting point to find a potential investment. After running the model, an investor can do traditional bottoms-up analysis to pick the best opportunities. Or even apply … [Read more...]
Use O’Shaughnessy’s Screen To Find Value
Summary O'Shaughnessy's book "What Works on Wall Street" backtests single and multi-factor models. Rather than using a single factor (eg. P/E), you can improve performance by using O'Shaughnessy's composite model. This is an efficient way for an investor to generate investment ideas. An investor can overlay an additional model as a further filter such as Piotroski's … [Read more...]
