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Benjamin Graham NCAV Bargain Screen 200 Qualifying

Benjamin Graham NCAV Bargain is a deep value 'bargain' investing strategy based on rules suggested by legendary investor, Benjamin Graham, who wrote The Intelligent Investor. This is a simple value approach that looks for companies with a market capitalisation that is less than their net current asset value. NCAV is the calculation of current assets minus current liabilities. Ben Graham wrote: "You are neither right nor wrong because the crowd disagrees with you. You are right because your data and reasoning are right." In a study by Henry Oppenhemier in the Financial Analysts Journal, the mean return from discounted net current asset stocks over a 13-year period was 29.4% per year versus 11.5% per year for the NYSE-AMEX Index. Ben Graham advocated buying stocks that, if they were to collapse tomorrow, should still produce a positive return because of the underlying asset backing. To reduce exposure to individual failures, he also looked for a margin of safety of about 33% and suggested diversifying between at least 30 stocks.

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This is an independent study based upon the methods of...
Picture of Benjamin Graham

Benjamin Graham

Known as the Father of Value Investing, wrote the Intelligent Investor

The Intelligent Investor

by Benjamin Graham

Researchers Xiao and Arnold tested out the NCAV strategy outlined in Benjamin Graham's "The Intelligent Investor" on the London market and found that stocks with an NCAV/MV greater than 1.5 displayed significantly positive market-adjusted returns (annualized return up to 19.7% per year) over five holding years.

This screen uses the following criteria:

  • P/NCAV < 1
  • 3m Avg Vol > 0.25
  • Economic Sector not in (Financials)

Results are sorted by:

  • P/NCAV in ascending order


And limited to the first 200 Results


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Performance Tracking


Returns FTSE 100
1 week -1.1% 0.5% -3.8% 3.7% -6.3% 11.5% 2.7% -0.7%
1 month -2.1% -3.8% -12.7% 6.9% -12.5% 12.0% 5.4% -0.7%
3 months -6.0% -12.5% -15.9% -15.3% -23.4% 3.1% 11.7% -7.4%
6 months -7.4% -13.5% -17.6% -26.7% -31.1% -17.7% 12.4% -10.0%
1 year 14.6% -14.2% -35.1% -52.2% -27.8% -27.5% 26.3% -5.1%
2 years 29.0% 8.8% -18.7% -48.4% -15.9% -36.3% 39.0% 3.3%
Annualised 13.1% -10.1% 1.9% -20.9% -4.6% -3.8% 29.2%
 
Risks
Max Drawdown -33.3% -63.1% -45.8% -67.7% -39.9% -47.6% -25.6%
Avg Holdings 24.3 24.8 24.3 21.6 9.7 25 15.3
Diversification Good Good Good Good Moderate Good Good