Duplicate

James Montier Trinity of Risk Screen 100 Qualifying

James Montier Trinity of Risk is a short selling strategy that uses rules suggested by economist and equity strategist James Montier, who wrote Value Investing. He based the approach on three risk factors highlighted by value investor Benjamin Graham: Valuation Risk, Earnings Risk and Financial Risk. It identifies companies that could be overvalued, have poor quality earnings and might be financially distressed. Specifically it uses the Graham & Dodd price-to-earnings ratio and looks for companies that are reporting exceptionally high earnings growth but fail the Altman Z Score of balance sheet risk. James Montier wrote: "Risk isn't a number, it is a concept or a notion? Rather than running around obsessing on the pseudoscience of risk management, investors should concentrate on understanding the nature of this trinity of risks." Short selling shares can be very risky but the Trinity of Risk can still be used as an indicator of which stocks should be avoided.

To learn more about this strategy please click here »

This is an independent study based upon the methods of...
Picture of James Montier

James Montier

Former head of Global Strategy at Société Générale, now works for GMO. Author of 'Behavioural Investing' & 'Value Investing: Tools and Techniques for Intelligent Investment'.

Value Investing: Tools and Techniques for Intelligent Investment

by James Montier

The seductive elegance of classical finance theory is powerful, yet value investing requires that we reject both the precepts of modern portfolio theory (MPT) and pretty much all of its tools and techniques. This book explains how value investing is the only tried and tested method of delivering sustainable long-term returns.

This screen uses the following criteria:

  • P/6y Avg Earnings > 16
  • EPS > 2 * EPS 6y Avg
  • Altman Z Score (1) < 1.8
  • Economic Sector not in (Financials, Utilities)

Results are sorted by:

  • Altman Z Score (1) in ascending order


And limited to the first 100 Results


Can these rules be improved? Submit a suggestion »
Want to make your own version? Create a Duplicate

Performance Tracking


Returns FTSE 100
1 week -2.5% -2.9% -0.9% -0.5% -3.6% -1.1% -0.2% -0.6%
1 month 0.9% 0.9% -0.3% -2.6% -5.4% 4.8% -2.2% -2.5%
3 months -5.8% -5.6% -7.4% -10.3% -9.7% -4.7% 2.7% -5.9%
6 months -22.1% -5.7% -4.2% -15.4% -23.4% -16.2% 7.6% -10.7%
1 year -12.2% -9.7% 16.8% -33.0% -18.7% -5.3% -9.0% -8.0%
2 years 10.1% 16.1% 22.3% 0.5% -12.6% 22.3% -2.6% -0.1%
Annualised 12.6% 9.2% 4.2% 28.8% 6.9% 14.0% 11.8%
 
Risks
Max Drawdown -36.5% -21.0% -48.2% -49.1% -26.7% -24.1% -33.5%
Avg Holdings 8.5 24.5 24.8 9.1 10.6 25 5.3
Diversification Moderate Good Good Moderate Moderate Good Low