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Charles Kirkpatrick Value Screen 30 Qualifying

Charles Kirkpatrick Value is a strategy loosely based on the approach of US investment strategist & technician Charles Kirkpatrick, who wrote Beat the Market. It combines relative value, growth and momentum factors and is derived from Kirkpatrick's successful Growth Model. Concerned that growth strategies are susceptible to market downturns, Kirkpatrick devised a value approach that uses the price-to-sales ratio as a risk filter. This interpretation of the screen looks for the cheapest 30% of stocks based on price-to-sales, together with the top 20% of shares with the strongest 130-day Moving Average and then the top 10% with the strongest growth in operating profit. Kirkpatrick wrote: "When I read O'Shaughnessy's book What Works on Wall Street, I discovered from his tests that one way to potentially screen for risks initially was to use the price-to-sales ratio. Unlike O'Shaughnessy, who used the raw figure and set a limit, I used a relative calculation." Can we dig up any performance figures from his book?

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This is an independent study based upon the methods of...
Picture of Charles Kirkpatrick

Charles Kirkpatrick

President of Kirkpatrick & Co., Inc., a specialist in technical research. Author of "Beat the Market: Invest by Knowing What Stocks to Buy and What Stocks to Sell"

Beat the Market: Invest by Knowing What Stocks to Buy and What Stocks to Sell

by Charles D. Kirkpatrick II

In his book, "Beating the Market", Kirkpatrick tested his Value Model from 1998 to 2007, where it outperformed both his own Growth Model and the S&P 500 index.

This screen uses the following criteria:

  • Mkt Cap £m > 100
  • Rank ( % 130d MA ) > 80%
  • Rank ( P/S ) > 70%
  • Rank ( Op Profit Gwth % ) > 90%

Results are sorted by:

  • RS 6m in descending order


And limited to the first 30 Results


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Performance Tracking


Returns FTSE 100
1 week -3.3% 1.6% -8.3% - -5.7% -4.8% -4.4% -3.1%
1 month -14.4% 4.7% -8.5% - -8.0% -4.3% -3.4% -4.2%
3 months -15.4% -8.9% -20.4% - -17.4% -15.9% -9.9% -6.4%
6 months -17.5% -18.6% -16.2% -10.6% -20.6% -30.3% -5.2% -12.0%
1 year -15.7% -35.4% -12.3% -8.2% -6.9% -24.5% -1.9% -8.7%
2 years -21.9% -10.2% -3.0% 58.9% 108.8% -20.0% 37.5% -2.1%
Annualised 5.1% 15.2% 9.9% 32.0% 19.7% -2.6% 18.9%
 
Risks
Max Drawdown -57.7% -43.0% -30.1% -34.3% -36.6% -35.2% -29.9%
Avg Holdings 2.2 6.5 14.5 1 1.4 18.9 1.8
Diversification Low Low Moderate Low Low Good Low