The quickest of glances at Stockopedia’s screens
I have been scanning through Stockopedia’s Screens, looking for interesting shares. What I noticed is that the Winning Growth & Income screen, and Robbie Burns Naked Trader screen have exceptionally low volatility and exceptionally high returns. This is apparent just by looking at the chart. If you want to be more quantitative about it, you can look at the maximum draw-down figure. Both are reasonably low.
Contrast that with the Greenblatt chart, where the line is basically all over the map. The maximum draw-down is 25.2%.
Some extra comments are in order. Although the Greenblatt screen is very volatile, when it rebounds, it tends to do so strongly. Performance has been weak lately, so it may or may not be “due” for a rebound. It’s difficult to tell. Over 6 months the portfolio is down 9.0%, compared with the Footsie of -9.4%. So about par. Over a 3 month period, it is down 6.4%, whilst the Footsie is up 3.0%. Over a 1 year period it is up 4.3%, whilst the Footsie is down 5.2%. It’s difficult to get a handle on when we can expect it to bottom out. Does anyone have any suggestions?
But it does lead to an interesting idea: you can possibly stick with the low volatility strategies through thick and thin, but you may be able to juice returns by trying to load up on a high volatility strategy during periods of under-performance.
I may have a look at other strategies to see what they’re like.
Complete aside: it’s good to see Dart back on the Greenblatt screen. The strange thing is, I was thinking about them the other day, and how I was tempted to just keep them in the Magic Hat portfolio. BTW, it looks like it has broken out of 500p resistance from September. StockRank 100 with a momentum score of 99. I’ve held this badboy since the end of 2013, although I did foolishly topslice at the beginning of the year. What a little cracker this share has turned out to be.
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12 comments
I don't disagree, im looking with a mid to longer term perspective.
As you suggest a 16% increase in the FTSE could easily be possible after the Brexit vote.
I May diversify through a number of guru screens namely Winning income growth, Tiny titans and naked trader etc but also filter using stock ranks above 90 - This may have some mileage?
uk stocks have no mileage at present. if we don't do brexit there will be a rally in the ftse and you can bet the ftse will reach the 7000 mark towards the end of the year also.
emerging markets is where the action is at present.
I have noticed significant concentration in one or two industries, depending on the screen you are looking at. Naked trader is v. heavy in financials, Value-Momentum, is concentrated in Industrial stocks. Probably something to be aware of!
Conversely, Hon Hai, despite having a stockrank of 99, doesn't appear on the high stockrank page http://www.stockopedia.com/stockranks/ - what criterion leads to its exclusion there?
Hi Jamie,
Hon Hai are Taiwanese and among other things, manufacture the ipad, iphone, ps4, xbox for Apple, Sony, Microsoft etc.
Maybe a little unfair to bracket them with the AIM bad boys!
Cheers,
Brian
Hi Brian,
Fair enough, but still a bit strange to find it in a UK Stock Screen.
Hon Hai has a full LSE listing but is traded on the International Order Book. When I last looked there were 109 companies listed on the IOB, mainly from Russia(33), India(14), Cyprus(9), South Korea(8), Egypt(7) and Taiwan(6).
I have asked in the past whether it is possible to exclude the IOB from a Stockopedia UK screen of fully listed companies but this facility has not been implemented.
A workaround is to use the "index constituency" filter rule with FTSE 350 + FTSE Small Caps + AIM all shares, which should give broad UK coverage without IOB and misc oddballs.
Thanks for that suggestion Cig, interestingly if you do that on the Winning, Income & Growth Screen it comes up with 15 genuine UK names which is just enough for the 14 limit suggested on the Screen - so how about it Stocko boys & girls?
http://www.stockopedia.com/screens/fork-of-winning...
I have noticed this too and agree that a low volatility strategy may be easier to stick to psychologically. I have a couple of thoughts though:
1 - It's not just volatility that can make it hard to stick to the plan! As Jamie rightly says above, a lot of the stocks are obscure/foreign and would make any investor balk on a closer inspection. The relatively low level of diversification can make things harder as well. If the screen told you to put all of your capital into 3 stocks, would you do it?
2 - The sample period is very short for the strategies so far. There is no guarantee at all that the charts will continue as they have done - in fact I would suggest that is very unlikely that they will! That said, I probably would expect the strategies to generate good returns over the long run, they're just more or less certain to have a big drawdown at some point.
Tom
EDIT: Sorry! I tried to give you a thumbs up and missed...
Hi Mark, thanks for the interesting thoughts. On the Winning Growth and income Screen, it seems like a good strategy but only seems to give quite a limited number of names, 14 currently. The other thing I notice is that 4 of the 14 names or nearly 30% seem to be foreign such as Hyundai which features twice (!?), Blom Bank (A Lebanese Bank!) & Hon Hai which seem to be a Chinese company (hmm) with a dual listing on the LSE. Not sure why these would be included in a UK Screen apart from them being dual listed over here, surely shum mistake Ed? Shame Stockopedia can't exclude these when they presumably automatically run the screens without human intervention presumably?
Regards
Jamie@
Compoundincome.org