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Screening Strategies

UK Data
67 strategies sorted by
Buffettology-esque Historical Growth Screen

This screen seeks to replicate the approach of Warren Buffett,   arguably the most successful living investor - based on the summary/interpretation by Mary Buffett (a former daughter-in-law) in the best-selling book, "The New Buffettology".  In Chapter 13, Mary Buffett outlines a number of screening-type criteria entitled "Warren's Checklist for Potential Investments: His Ten Points of Light", which we summarise out below. Not all of these points are quantitative in nature, admittedly, but there's certainly the beginnings of a good Buffett screen, and one with a slightly different emphasis to that of the Buffett-Hagstrom screen. This version uses the Historical Growth method to calculate the "expected return". more »

Quality Investing
6 Month Return: 17.6%
Best Dividends Screen

This is loosely based on AAII's Dividend (High Dividend Yield) Screen. As they note, screening for relative high dividend yield is essentially all about buying low and selling high but, to succeed at this strategy, it's important also to identify which which high yielding stocks have the strength to bounce back. The screen looks for a consistent dividend payment and dividend growth track record, as well as   a payout ratio below 2/3rds, a dividend growth CAGR above 3% and a yield above the historical average.. more »

Income Investing
6 Month Return: 17.2%
David Dreman High Dividend Screen

David Dreman champions a contrarian investment approach based on interpreting market psychology and using value measures to pick stocks that are out of favour with the market. Dreman invests in out-of-favour stocks, often in out-of-favour industries, that he identifies using relatively straightforward metric criteria. "I buy stocks when they are battered. I am strict with my discipline. I always buy stocks with low price-earnings ratios, low price-to-book value ratios and higher-than-average yield. Academic studies have shown that a strategy of buying out-of-favor stocks with low P/E, price-to-book and price-to-cash flow ratios outperforms the market pretty consistently over long periods of time."   more »

Value Investing
6 Month Return: 16.3%
John Templeton Bargain Screen

John Templeton believed that there were no simple formulae to finding good stocks, with over 100 factors that can be considered at times. However, Templeton did have four criteria which he considered particularly important: i) P/E ratio, ii) Operating profit margins, iii) Liquidating value and iv) Consistency of growth rates. Templeton also looked for any potential catalysts (new markets and products, potential M&A, as well as industry changes). more »

Value Investing
6 Month Return: 15.4%
James O'Shaugnessy's Cornerstone Value

Cornerstone Value is a five criteria large-cap dividend yield-focused value screen outlined in James O'Shaughnessy’s seminal 1996 book What Works on Wall Street. His work showed that a large-caps stock portfolio with above average stock liquidity and cash flow per share which was ranked for high dividend yields performed best over the long term. Accordiing to his work, this value strategy outperformed the market producing an annual compound return of 15% from 1954 to 1996, compared to 8.3% for the S&P 500 Index (his Cornerstone Growth Strategy achieved 18% but with greater volatility). more »

Value Investing
6 Month Return: 15.4%
Richard Beddard's Nifty Thrifty Screen

A combined value screen developed by Richard Beddard, editor of leading UK finance site, Interactive Investor. It selects 30 UK-listed companies (with a market value of more than £500 million), using an approach that assesses three key criteria: i) value, as measured by the earnings yield; ii) profitability, measured by return on capital; and iii) financial strength, as measured by Piotroski’s F-Score. Essentially Piotroski plus the Magic Formula. This screen is not to be confused with the Thrifty Thirty, which is Beddard's own stock picks, as described on the Interactive Investor Blog.   more »

Value Investing
6 Month Return: 15.0%
Buffettology-esque Sustainable Growth Screen

This screen seeks to replicate the approach of Warren Buffett,   arguably the most successful living investor - based on the summary/interpretation by Mary Buffett (a former daughter-in-law) in the best-selling book, "The New Buffettology".  In Chapter 13, Mary Buffett outlines a number of screening-type criteria entitled "Warren's Checklist for Potential Investments: His Ten Points of Light", which we summarise out below. Not all of these points are quantitative in nature, admittedly, but there's certainly the beginnings of a good Buffett screen, and one with a slightly different emphasis to that of the Buffett-Hagstrom screen. This version uses the Sustainable Growth method to calculate the "expected return". more »

Quality Investing
6 Month Return: 14.9%
Beneish M-Score Screen

This is a short-selling strategy based on Professor Beneish's M-Score - this is a mathematical model that uses eight financial ratios from the company's financial statements to assess the degree to which the earnings may have been manipulated. It is similar to the Altman Z-Score, but it is focused on detecting earnings manipulation rather than bankruptcy. The research suggests that a score greater than -1.78 indicates a strong likelihood of a firm being a manipulator. Here is the link to the original Detection of Earnings Manipulation paper as well as the subsequent paper - The Relation between Accruals and Earnings Manipulation. The screen below highlights companies that have had a M-score above the threshold for two years in a row in order to reduce the likelihood that a given year's result is coincidental or a rogue data input error. more »

Short Selling
6 Month Return: 14.5%
PYAD Screen

A combined value and income investing screen inspired by the writings of Stephen Bland on TMF (he also writes the Dividend Letter newsletter for MoneyWeek). It that starts by looking for: "P", i.e. a maximum Price to Earnings ratio of two-thirds that of the market (preferably much, much lower). It then looks for "Yield" preferably 50% above the market (although this is the most flexible criterion). "A" is for "Assets" as the screen looks for a Price to Book Value (P/BV) of under 1.  Finally, no Debt is the last criterion, preferably with stacks of net cash.  more »

Income Investing
6 Month Return: 14.0%
Josef Lakonishok Screen

A value and momentum screen focused on finding under-valued, out-of-favor companies just at the point when the market is starting to recognise them. According to Lakonishok, investors have judgmental biases and behavioral weaknesses including the tendency to extrapolate the past too far into the future, to wrongly equate a good company with a good investment irrespective of price, to ignore statistical evidence and to develop a "mindset" about a company. As a result, "value stocks become underpriced and glamour stocks become overpriced relative to their fundamentals".  This screen looks for: At least one of Price-to-book, price-to-cash-flow, price-earnings or price-to-sales ratios more favourable than the industry  6 Month relative strength above zero  3 month relative strength above zero EPS Surprise or a trending revision in the analyst consensus more »

Momentum Investing
6 Month Return: 13.7%
Value Momentum Screen

This is a combined value/momentum screen loosely based on the AAII "Value on the Move" screen and Jack Hough's "Impatient Value" screen in "Your Next Great Stock". It tries to uncover stocks that are bargain priced but avoid "value trap" stocks, which may languish for years until the market recognizes their “true” worth. Value and momentum investing styles might seem to have little in common but, in fact, research also indicates that momentum can be a catalyst to value.  The screen looks for two attributes: A share price within 10% cent of its 52-week high (the momentum part of the equation), and a PEG ratio – price-earnings to growth – of less than 1.5 (the value part). The PEG ratio is simply the forward price-to-earnings multiple divided by the projected growth rate in earnings.   more »

Momentum Investing
6 Month Return: 13.2%
Bold Earnings Revisions Screen

This screen seeks to identify stocks that have experienced recent revisions in the earnings estimates. Specifically, it looks for stocks that have seen one analyst revision in the last week/month, to try to see if there is an analyst moving away from the consensus. This follows research that showed "bold" estimates like this have a significant impact on share price performance. Note: that this screen on its own isn't able to only pull back revisions that are "bold" (moving away from the consensus), as opposed to revisions that are "herding" (moving closer to the consensus). This will need to be done by analysing the actual list of companies produced in more detail. more »

Momentum Investing
6 Month Return: 13.0%
Price Momentum Screen

A momentum screen based on buying prior winning stocks and selling short prior losers based on the empirical observation that Investments exhibit persistence in their relative performance. Buying winners inherently conflicts with the contrarian philosophy that is part and parcel of many successful investors. Nevertheless, it has long been noted by traders that good performing investments tend to continue to do so, whereas those that have performed relatively poorly tend to continue on the same path. This screen looks for high relative strength in the last six to twelve months compared with the market (top 25%) - relative strength doesn't work over short timeframes, such as one month. It excludes the most illiquid stocks, i.e. the bottom 25% of stocks based on market capitalisation. You can read more here.  more »

Momentum Investing
6 Month Return: 12.8%
Winning Growth & Income

This is a dividend-focused strategy loosely on the "Growth & Income Winners" screen outlined by Kevin Matras in his book, entitled Finding #1 Stocks. The approach starts out looking for solid growth parameters then drills down to the best dividend payers of the group. In Matras' version, however, the primary filter is the US-focused Zacks Rank (a proprietary metric analysing analyst forecasts for i) Agreement, ii) Magnitude, iii) Upside Potential, Surprise). However, we simplify this to just look for a positive change in analyst forecasts over the last quarter instead. Matras envisages selecting the top 7 by dividend yield, but with no more than 2 in each sector - although it's hard to find 7 such stocks qualifying on the UK market. We take the top 14 but suggest you review the resultant list with sector diversification in mind. more »

Income Investing
6 Month Return: 12.4%
Earnings Downgrade Momentum Screen

This is a strategy that aims to zero in on stocks where brokers are downgrading their earnings estimates.  In theory, this is a short-selling strategy! The idea is that brokers have a behavioural bias which anchors their new estimates too closely to their previous estimates thus making a high likelihood that earnings estimates will continue to fall in future. Continuing earnings estimate downgrades can be negative for stock prices.   However, research has shown that investing on the basis of broker recommendations does not generally work because of the bias in those recommendations. Research suggests that focusing on positive recent changes in broker recommendations may be more fruitful, particularly in combination with other signals, although this doesn't appear to be true for downgrades. You can read more here.  more »

Short Selling
6 Month Return: 12.4%
James O'Shaugnessy Cornerstone Growth

The Cornerstone Growth Screen is a growth screen which combines relative strength, earnings growth and a price-to-sales value measure, as outlined in the third edition of James O'Shaughnessy’s seminal 1996 book What Works on Wall Street. According to his book, O'Shaughnessy found that his growth strategy outperformed the market producing an annual compound return of 18% from 1954 to 1996, compared to 8.3% for the S&P 500 Index (this beat his Cornerstone Value strategy which achieved 15%, although it was more volatile). more »

Growth Investing
6 Month Return: 12.0%
Charles Kirkpatrick Bargain Screen

Kirkpatrick’s Bargain Screen combines the best triggers found in his testing of relative value, relative reported earnings growth. Kirkpatrick's testing of relative price-to-sales ratio percentile rankings indicated optimal performance in percentiles greater than 17 but not higher than the 42nd percentile. For relative strength, he found that setting the bar at the 90th percentile resulted in too many passing companies to manage in a portfolio. To reduce the number of passing companies to just 20, Kirkpatrick upped the requirement to only include companies in the 97th percentile or higher. Initial testing of the Bargain Model was promising but Kirkpatrick conceded that several more years of testing were needed before labeling it a successful stock selection methodology. You can read more here. more »

Bargain Stocks
6 Month Return: 11.8%
Philip Fisher Growth Screen

This is a growth screen based on the approach of the late Phil Fisher, one of the great investors of all time and the author of the classic book Common Stocks and Uncommon Profits. Fisher started his money management firm, Fisher & Co., in 1931 and over the next seven decades made tremendous amounts of money for his clients. Philip Fisher had a famous 15 point checklist for investing in stocks. Even though it includes numerous qualitative factors, it's possible to glean some key quantitative criteria too: Consistently strong profitability; Consistent sales growth; Growth exceeding industry norms; Little or no dividend payout; and Reasonable price compared to future growth prospects You can read more about Philip Fisher's approach here. more »

Growth Investing
6 Month Return: 11.1%
52 Week High Momentum Screen

An investing screen based on buying stocks that are close to their 52 week high (and/or selling stocks that are close to their 52 week lows). Similar to other forms of momentum investing, this seems to work because investors tend to under-react to positive (or negative) information about those kinds of stocks. Researchers surmise that investors use the 52- week high as an “anchor” against which they value stocks, thus they tend to be reluctant to buy a stock as it nears this point regardless of new positive information. As a result, investors underreact when stock prices approach the 52-week high, and consequently, contrary to most investors' expectations, stocks near their 52-week highs tend to be systematically undervalued.  Finally, when information prevails and the 52 week high is broken, the market “wakes up” and prices see excess gains.   You can read more here. more »

Momentum Investing
6 Month Return: 9.8%
Naked Trader-esque Screen

This is a mixed-criteria GARP screen inspired by the enjoyable best-seller by Robbie Burns, "The Naked Trader: How Anyone Can Make Money Trading Shares". His approach is primarily value / fundamentals driven: "My investment strategy has always been quite simple: find excellent companies and hold them until the value comes out". While he does appear to use a fair amount of technical analysis in order to time the entry, he appears sceptical about pure TA: "I strongly believe charts are very important to look at.. but I also believe it is simply crazy to buy and sell shares on the basis of looking at a chart and nothing else at all". more »

Growth Investing
6 Month Return: 9.4%
67 strategies sorted by