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James Montier Trinity of Risk Screen 100 Qualifying

James Montier Trinity of Risk is a short selling strategy that uses rules suggested by economist and equity strategist James Montier, who wrote Value Investing. He based the approach on three risk factors highlighted by value investor Benjamin Graham: Valuation Risk, Earnings Risk and Financial Risk. It identifies companies that could be overvalued, have poor quality earnings and might be financially distressed. Specifically it uses the Graham & Dodd price-to-earnings ratio and looks for companies that are reporting exceptionally high earnings growth but fail the Altman Z Score of balance sheet risk. James Montier wrote: "Risk isn't a number, it is a concept or a notion? Rather than running around obsessing on the pseudoscience of risk management, investors should concentrate on understanding the nature of this trinity of risks." Short selling shares can be very risky but the Trinity of Risk can still be used as an indicator of which stocks should be avoided.

To learn more about this strategy please click here »

This is an independent study based upon the methods of...
Picture of James Montier

James Montier

Former head of Global Strategy at Société Générale, now works for GMO. Author of 'Behavioural Investing' & 'Value Investing: Tools and Techniques for Intelligent Investment'.

Value Investing: Tools and Techniques for Intelligent Investment

by James Montier

The seductive elegance of classical finance theory is powerful, yet value investing requires that we reject both the precepts of modern portfolio theory (MPT) and pretty much all of its tools and techniques. This book explains how value investing is the only tried and tested method of delivering sustainable long-term returns.

This screen uses the following criteria:

  • P/6y Avg Earnings > 16
  • EPS > 2 * EPS 6y Avg
  • Altman Z Score (1) < 1.8
  • Sector not in F inancials, Utilities,

Results are sorted by:

  • Altman Z Score (1) in ascending order


And limited to the first 100 Results


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Performance Tracking


Returns FTSE 100
1 week 2.5% -0.1% 3.8% 0.1% 1.6% 72.7% 4.1% 0.2%
1 month 4.8% 9.8% -0.3% 9.8% 1.6% 74.6% 0.3% 0.2%
3 months 33.1% 27.1% 19.0% 49.3% 24.9% 93.0% 25.3% 11.5%
6 months 35.3% 21.0% 18.2% - - - - 12.2%
1 year 29.5% 26.3% 7.2% - - - - 14.9%
2 years 73.7% 19.6% -2.5% - - - - 3.0%
Annualised 15.2% 11.5% -2.5% 374.4% 68.9% 291.4% 102.5%
 
Risks
Max Drawdown -36.5% -21.0% -48.2% -9.2% -8.2% -11.9% -11.3%
Avg Holdings 9.8 24.2 24.7 6.5 6.5 25 5.5
Diversification Moderate Good Good Low Low Good Low

 Studies based on equal weighted portfolios of max 25 stocks rebalanced quarterly. Qualifying shares below updated daily. Past performance not indicative of future returns.

 Please note that 'short selling' strategies are designed to underperform the market - they are best used for hedging long portfolios rather than for absolute negative returns.



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100 Qualifying

Ticker Name Mkt Cap £m P/6y Avg Earnings EPS 6y Avg Altman Z Score (1) Sector Flag
Subscriber Subscriber Technology United States
Subscriber Subscriber Technology United States
Subscriber Subscriber Technology United States
Subscriber Subscriber Technology France
Subscriber Subscriber Telecoms United States
Subscriber Subscriber Consumer Cyclicals Slovakia
Subscriber Subscriber Industrials Belgium
Subscriber Subscriber Industrials Singapore
Subscriber Subscriber Consumer Defensives Korea, Republic of
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Healthcare India
Subscriber Subscriber Consumer Defensives Canada
Subscriber Subscriber Basic Materials India
Subscriber Subscriber Industrials United States
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Consumer Cyclicals Hong Kong
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Telecoms France
Subscriber Subscriber Healthcare Greece
Subscriber Subscriber Consumer Cyclicals Singapore
Subscriber Subscriber Basic Materials Taiwan
Subscriber Subscriber Industrials Australia
Subscriber Subscriber Energy United States
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Energy Italy
Subscriber Subscriber Technology United States
Subscriber Subscriber Technology Poland
Subscriber Subscriber Energy Japan
Subscriber Subscriber Industrials Norway
Subscriber Subscriber Energy United States
Subscriber Subscriber Industrials Germany
Subscriber Subscriber Industrials France
Subscriber Subscriber Energy United States
Subscriber Subscriber Consumer Defensives United States
Subscriber Subscriber Healthcare Japan
Subscriber Subscriber Industrials Taiwan
Subscriber Subscriber Consumer Cyclicals Bulgaria
Subscriber Subscriber Consumer Cyclicals Hong Kong
Subscriber Subscriber Consumer Defensives United States
Subscriber Subscriber Industrials Hong Kong
Subscriber Subscriber Industrials United States
Subscriber Subscriber Industrials United States
Subscriber Subscriber Energy United States
Subscriber Subscriber Consumer Cyclicals Korea, Republic of
Subscriber Subscriber Consumer Cyclicals Singapore
Subscriber Subscriber Consumer Cyclicals Spain
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Energy Sweden
Subscriber Subscriber Technology Hong Kong
Subscriber Subscriber Technology Singapore
Subscriber Subscriber Technology United States
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Energy United States
Subscriber Subscriber Industrials Italy
Subscriber Subscriber Industrials United States
Subscriber Subscriber Consumer Cyclicals Germany
Subscriber Subscriber Technology Hong Kong
Subscriber Subscriber Industrials Korea, Republic of
Subscriber Subscriber Technology Australia
Subscriber Subscriber Industrials Australia
Subscriber Subscriber Consumer Cyclicals United States
Subscriber Subscriber Consumer Cyclicals United States
Subscriber Subscriber Consumer Cyclicals Turkey
Subscriber Subscriber Consumer Cyclicals United Kingdom
Subscriber Subscriber Energy United States
Subscriber Subscriber Basic Materials India
Subscriber Subscriber Healthcare Germany
Subscriber Subscriber Basic Materials United States
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Industrials Korea, Republic of
Subscriber Subscriber Consumer Cyclicals Cyprus
Subscriber Subscriber Consumer Cyclicals United States
Subscriber Subscriber Energy United States
Subscriber Subscriber Industrials Hong Kong
Subscriber Subscriber Technology Taiwan
Subscriber Subscriber Industrials Korea, Republic of
Subscriber Subscriber Consumer Cyclicals Canada
Subscriber Subscriber Technology Japan
Subscriber Subscriber Industrials Canada
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Industrials Singapore
Subscriber Subscriber Basic Materials Greece
Subscriber Subscriber Industrials Singapore
Subscriber Subscriber Consumer Cyclicals Croatia
Subscriber Subscriber Consumer Defensives Singapore
Subscriber Subscriber Healthcare Australia
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Technology India
Subscriber Subscriber Technology United Kingdom
Subscriber Subscriber Consumer Defensives Hong Kong
Subscriber Subscriber Industrials Hungary
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Consumer Cyclicals Hong Kong
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Technology Taiwan
Subscriber Subscriber Industrials India

Can't see the share you expect? View this screen as a checklist to find out why.

You should consider the results of any screening process, including this one, as candidates for further research, not as a buy list. Screening helps to narrow a search based on pre-defined criteria. It is not a substitute for independent research reflecting your individual criteria for investing/trading. Please note that the screening criteria used represents Stockopedia's interpretation of the author's investment approach and are not determined or endorsed by the original strategist.



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