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Screening Strategies

UK Data
67 strategies sorted by
Earnings Upgrade Momentum Screen

A momentum screen based on buying stocks with rising analyst earnings estimate revisions in light of empirical findings that stocks with their estimates revised often outperform the market over at least the next 12 months. Although investing on the basis of broker recommendations alone does not appear to be a successful strategy because of the bias in those recommendations, research suggests that focusing on recent changes in broker recommendations is more fruitful, particularly in combination with other signals. You can read more here.  more »

Momentum Investing
1 Year Return: -2.2%
David Dreman Low PE Screen

This is a strict value strategy based on the writings of David Dreman and focusing on low P/E stocks. 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. He says: "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." You can read more about David Dreman here. more »

Value Investing
1 Year Return: -2.7%
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
1 Year Return: -3.1%
Bill Miller Contrarian Value Screen

This screen seeks to emulate the style of Bill Miller, manager of Legg Mason Value Trust. Miller’s strategy focuses on identifying securities that are trading below their intrinsic value, but differs from many value managers in that he focuses on cash earnings, not accounting earnings. He looks for firms that may be undervalued based on the present value of future cashflows, although this is not easy to screen for in detail. He says: "Ideally, what we want is a company... that has tremendous long-term economics and those economics are either currently obscured by macroeconomic factors, industry factors, company-specific factors, or just the immaturity of the business." Diversification is a crucial element in Miller’s strategy but he aims for diversification among the stocks it incorporates, rather than the sheer quantity. By focusing on companies that are being shunned by the market, this strategy takes on higher risks in hope of higher returns. The value moniker for his Fund is perhaps misleading because Miller has bought many Internet “growth” stocks. You can read more about Miller's approach here. more »

Value Investing
1 Year Return: -3.3%
Large Cap Dividend Attraction Screen

This is a large-cap dividend focused screen, loosely based on the "Dividend Attraction" screen discussed by Kevin Matras in his useful book, "Finding Number 1 Stocks". It focuses on the added dividend security to be found amongst larger-cap stocks in a credit-constrained environment. In Matras' version, however, the primary filter is the Zacks Rank (a proprietary metric analysing analyst forecasts for i) Agreement, ii) Magnitude, iii) Upside Potential, Surprise). However, this version just uses the 3 month change in analyst forecasts instead. The other elements are: i) A market capitalisation above £1.5 bn, ii) Positive 5 Year Dividend growth, iii) Above Average Return on Equity, iv) Above Average EPS Growth and v) Price to Operating Cashflow. more »

Income Investing
1 Year Return: -4.5%
Benjamin Graham Defensive Investor Screen

A demanding intrinsic value-based screen designed for less experienced investors which focuses on “important” companies with long histories of profitable operations and strong financial condition. Graham felt defensive investors should confine their holdings to the shares of large, prominent, and conservatively financed companies with long histories of profitable operations. By this, he meant a firm of substantial size and with a leading position in its respective industry. Additionally, Graham sought companies with: 1) Strong financial position (based on the current ratio & debt to working capital). 2) 20 years of uninterrupted dividends 3) No negative earnings in the last 10 years & a 10-year annual earnings growth rate of at least 3% 4) A reasonable price-earnings ratio & a moderately low ratio of price to assets more »

Bargain Stocks
1 Year Return: -7.1%
James Montier 'Cooking the Books' Screen

James Montier (former Soc Gen global equity strategist) aimed to create a simple scoring system that would highlight companies that may be 'cooking the books'. The C-Score was the result. It measures six inputs including the divergence between net income and cash-flow, increasing days sales outstanding, increasing days sales of inventory, increasing current assets to revenues, declining depreciation relative to PPE and high total asset growth. Montier found that companies with high C-Scores under performed the market by 8% per annum, generating a mere 1.8% return between 1993 and 2007. He recommended using it in tandem with a high valuation measure. A C Score = 5 used in tandem with a Price/Sales Ratio > 2 generated a negative absolute return of 4% p.a. in the US. For a full review of the C Score please click here. more »

Short Selling
1 Year Return: -7.1%
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