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Muhlenkamp's ROE Screen 131 Qualifying

Ronald Muhlenkamp Return on Equity is a quality investing strategy based on an approach used by US fund manager Ronald Muhlenkamp. It combines quality and value factors by looking for companies with a high return on equity (ROE) at a reasonable price. ROE is a measure of how much profit a company earns compared to the amount of shareholder equity on its balance sheet. Muhlenkamp compares ROE with other growth measures to find stocks that are likely to be highly cash generative. He said: "You want to be sure that the companies you own can survive whatever the heck happens." Muhlenkamp's methods were analysed by Ludwig B Chincarini and Daehwan Kim in Quantitative Equity Portfolio Management. They found that the Muhlenkamp fund averaged an 18.38% annual rate of return for the 19 years to 2004, versus 12.07% for the S&P 500.

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This is an independent study based upon the methods of...
Picture of Ronald Muhlenkamp

Ronald Muhlenkamp

Renowned US investor and founder and president of the Muhlenkamp mutual fund.

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:

  • ROE % > 14
  • ROE % 5y Avg > 14
  • EPS 5y CAGR % > 0
  • EPS Gwth % > Median EPS Gwth %
  • P/E < Median P/E
  • P/B < 2
  • Net Mgn % > Median Net Mgn %
  • Debt To Assets % < Median Debt To Assets %
  • FCF > 0

Results are sorted by:

  • ROE % in descending order


And limited to the first 200 Results


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Performance Tracking


Returns FTSE 100
1 week -5.6% 0.8% -1.1% 0.5% - 4.3% - -0.7%
1 month -2.7% -0.5% -4.0% 2.5% - 3.2% - -0.7%
3 months -9.6% -4.0% -17.7% -3.5% - -6.1% - -7.4%
6 months -20.8% -12.8% -21.8% -16.7% - -12.4% - -10.0%
1 year -24.7% -23.6% -44.1% -31.3% -8.2% -2.6% -0.7% -5.1%
2 years -6.9% -11.7% -31.4% 19.5% 5.1% 12.0% -43.6% 3.3%
Annualised 6.2% 4.2% -4.4% 7.9% 22.4% 11.4% -27.7%
 
Risks
Max Drawdown -28.4% -33.5% -49.1% -54.1% -19.8% -22.9% -59.1%
Avg Holdings 6.4 16.4 5.8 4 1 24.7 0.6
Diversification Low Good Low Low Low Good Low