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Bill Miller Contrarian Value Screen 50 Qualifying

Bill Miller Contrarian Value is a value investing strategy based on the style of US fund manager, Bill Miller. It uses value and growth factors to find stocks that are trading below their intrinsic value but are capable of rebounding. This model of Miller's contrarian approach uses price-to-free cash flow as a valuation measure but also looks at the price-to-earning growth factor (PEG) as well as sales and free cash flow growth. Miller wrote: "We are value investors because we are persuaded of the logic of buying shares of businesses when others want to sell them, and we understand that lower prices today mean higher future rates of return, and high prices today mean lower future rates of return." Between 1991 and 2005 Miller cemented his legendary reputation by guiding the Legg Mason Value Trust to a record 15 consecutive years of beating the S&P 500.

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This is an independent study based upon the methods of...
Picture of Bill Miller

Bill Miller

Chairman and Chief Investment Officer of Legg Mason Capital Management. Beat the S&P 500 index for 15 consecutive years from 1991 through 2005.

Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management

by Ludwig B Chincarini, Daehwan Kim

This book discusses the approach of Bill Miller, manager of Legg Mason Value Trust. He became famous for beating the S&P 500 fifteen years in a row from 1990 to 2005, although his more recent performance has not been as good, due to difficult bets on financials like Bear Stearns, Countrywide, and Freddie Mac.

This screen uses the following criteria:

  • Rank ( P/FCF ) > 80%
  • FCF > 1 * FCF 1y Ago
  • PEG < 1.5
  • Sales 5y CAGR % > 0
  • Rank ( Mkt Cap £m ) > 25%
  • Debt To Assets % < Median Debt To Assets %
  • Is Primary Listing == 1

Results are sorted by:

  • RS 1y in descending order


And limited to the first 50 Results


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Performance Tracking


Returns FTSE 100
1 week -3.0% -0.6% -2.3% -5.4% -1.0% -0.6% 0.3% -1.5%
1 month -0.2% 0.0% -1.4% 13.0% -1.1% 0.5% 1.2% -1.4%
3 months 0.7% -3.9% -10.7% -33.6% -11.3% -12.7% -16.4% -8.5%
6 months -1.5% -5.1% -7.8% -43.8% -13.8% -20.1% -8.1% -10.7%
1 year -1.5% -0.3% -6.5% -65.2% -13.9% -13.2% 7.7% -6.0%
2 years 42.4% 19.1% 4.4% -68.8% -1.0% 8.6% 33.2% 2.5%
Annualised 23.1% 9.0% 11.1% -35.4% -0.8% 8.4% 15.0%
 
Risks
Max Drawdown -31.8% -28.6% -15.2% -79.1% -27.1% -26.7% -24.6%
Avg Holdings 4.5 13.7 23.5 2.9 3.4 23.9 3.3
Diversification Low Moderate Good Low Low Good Low