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James Montier Trinity of Risk Screen 6 Qualifying in UK

This is a screen for short sellers (avoiding stocks on these lists is advisable). James Montier suggested this screen based on the writings of Benjamin Graham. Graham proposed three primary sources of risk to your investment in shares or any other asset - Valuation Risk, Earnings Risk and Financial Risk - each of which should be seriously considered when purchasing a new position. This screen looks for a Graham and Dodd PE of greater than 16x (valuation risk), it must have current EPS greater than twice the ten year average (business/earnings risk), and it must also have an Altman Z score of less than 1.8 (balance sheet/financial risk). 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 is based on a UK dataset. It 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 -3.4% -3.1% -3.5% -2.1%
1 month -3.3% -6.6% -8.6% -2.8%
3 months -14.5% -9.1% - -1.9%
6 months -6.0% -6.2% - 0.2%
1 year 3.9% 10.0% - 1.8%
2 years 16.8% - - 15.5%
Annualised 4.4% 12.8% -28.8%
 
Risks
Max Drawdown -29.9% -11.8% -9.9%
Avg Holdings 11.6 24.8 25
Diversification Moderate Good Good

 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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6 Qualifying in

Ticker Name Mkt Cap £m P/6y Avg Earnings EPS 6y Avg Altman Z Score (1) Sector
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Industrials  
Subscriber Subscriber Basic Materials  
Subscriber Subscriber Energy  
Subscriber Subscriber Energy  
Subscriber Subscriber Consumer Cyclicals  

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.