The Screen of Screens - a robust methodology?

Friday, Nov 30 2012 by
18
The Screen of Screens  a robust methodology

The Screen of Screens identifies stocks that are appearing most frequently across all the other long-only investing screens tracked on Stockopedia – be they value, bargain, growth, quality, income or momentum. This strategy is particularly interesting because the stocks on the list may appeal to a broad range of investors. In many cases, these companies will also likely be meeting a varied list of robust quantitative fundamental and technical criteria. 

Background 

Stockopedia currently tracks 59 long-only stock strategies (excluding the Screen of Screens) developed by some of the most prominent investment professionals, gurus and academics in the world. In the year to date, 49 of those strategies have produced a return of more than 5%, versus a FTSE 100 return of around 4.1% (i.e. 83% of them are beating the market). Of those, 42 screens are producing double-digit returns, with 12 of them up over 25% against the market. The best performer so far this year is the Contrarian Value screen based on the work of US investor Bill Miller, which is up by a staggering 55.4% albeit with a highly concentrated portfolio. 

As a natural consequence of changing market conditions, different types of strategy tend to flourish at different times. For instance, the mini bear market that took hold during the spring of 2012 did wonders for income screens because the dividend-paying stocks in those portfolios became even more appealing for income hunters. Likewise the rally that occurred during the second half of the year meant that a number of value investing strategies were well rewarded. 

Beyond those specific patterns, the trends between the performances of particular investing philosophies are much more subtle; the top 25 performing screens include the whole spectrum of investing approaches. In some years, popular and widely followed strategies can turn out to disappoint, which has been the case in 2012 with Kenneth Fisher’s Price-to-Sales screen. Meanwhile, others consistently lead the rest of the pack, which has been the case this year with David Dreman’s High Dividend screen. With that in mind, it may be better to take an approach to the market that is less weighted towards a specific style, or one that aims to maximise the benefits of all styles at all times. 

How it works 

The Screen of Screens picks the stocks that qualify most often across all of Stockopedia’s ‘guru’ screens.…

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Disclaimer:  

As per our Terms of Use, Stockopedia is a financial news & data site, discussion forum and content aggregator. Our site should be used for educational & informational purposes only. We do not provide investment advice, recommendations or views as to whether an investment or strategy is suited to the investment needs of a specific individual. You should make your own decisions and seek independent professional advice before doing so. Remember: Shares can go down as well as up. Past performance is not a guide to future performance & investors may not get back the amount invested. ?>


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4 Comments on this Article show/hide all

RupertCox 9th Jan '13 1 of 4

Interesting stuff, a good way of pulling together all the detail in your database for easy use.

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ajsmck 13th Jun '14 2 of 4
1

How many of each type of screen are there? If there are more of one than another, there will be an inbuilt bias towards the style containing the most screens. Has this been addressed?

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slartybartfast 13th Jun '14 3 of 4

In reply to post #84010

The same thought had occurred to me. I was going to tray and delve but have been too busy so hopefully you'll get a defined answer ajsmck

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Edward Croft 13th Jun '14 4 of 4
1

There are indeed a lot more 'value' screens across the value, bargain and income segments. The sos definitely has a value bias. Value has done well over the last couple of years, I would anticipate that during times where value lags the SOS may lag too.

We'll definitely do some more analysis on the weightings. Of course many of the value screens have quality filters too - so it's not as simple as counting up the categories.

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