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Muhlenkamp's ROE Screen 72 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

The Muhlenjamp Fund averaged an 18.38% annual rate of return for the past 19 years to 2004, versus 12.07% for the S&P.

This screen uses the following criteria:

  • ROE % > 14
  • ROE % 5y Avg > 14
  • EPS 5y CAGR % > 0
  • EPS Gwth % > Industry GroupMedian
  • P/E < Industry GroupMedian
  • P/B < 2
  • Net Mgn % > Industry GroupMedian
  • Debt To Assets < Median
  • 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 1.1% 0.9% 4.5% -2.3% 0.5% 3.7% - -0.7%
1 month -8.8% -3.9% -6.7% -16.2% 0.4% 2.3% - -6.3%
3 months -15.4% -1.6% -27.6% -4.5% 4.3% 7.4% -1.7% -2.3%
6 months -10.5% -9.0% -26.6% 16.8% -3.1% 6.3% -26.2% -1.9%
1 year -2.8% -2.7% -11.5% 25.9% 14.6% 10.3% -33.6% -0.4%
2 years 22.8% 48.8% 4.8% - - - - 21.5%
Annualised 9.5% 10.1% 2.0% 33.8% 39.5% 23.0% -36.2%
 
Risks
Max Drawdown -26.3% -23.8% -36.0% -27.6% -17.5% -14.7% -59.1%
Avg Holdings 6.6 15.8 5.8 3.7 1.4 24.7 0.8
Diversification Low Good Low Low Low Good Low

 Studies based on equal weighted portfolios of max 25 stocks rebalanced quarterly. Qualifying shares below updated daily. Past performance not indicative of future returns.



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72 Qualifying

Ticker Name Mkt Cap £m ROE % ROE % 5y Avg EPS 5y CAGR % EPS Gwth % P/E P/B Net Mgn % Debt To Assets FCF Sector Flag
Subscriber Subscriber Financials United States
Subscriber Subscriber Financials Italy
Subscriber Subscriber Technology Hong Kong
Subscriber Subscriber Industrials Turkey
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Industrials United Kingdom
Subscriber Subscriber Consumer Defensives Lithuania
Subscriber Subscriber Industrials United States
Subscriber Subscriber Consumer Cyclicals Hong Kong
Subscriber Subscriber Basic Materials Turkey
Subscriber Subscriber Basic Materials Turkey
Subscriber Subscriber Basic Materials Turkey
Subscriber Subscriber Basic Materials Turkey
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Consumer Cyclicals Poland
Subscriber Subscriber Financials United Kingdom
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Consumer Cyclicals United Kingdom
Subscriber Subscriber Technology Korea, Republic of
Subscriber Subscriber Financials United Kingdom
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Consumer Cyclicals United Kingdom
Subscriber Subscriber Financials Cyprus
Subscriber Subscriber Basic Materials Turkey
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Consumer Cyclicals India
Subscriber Subscriber Consumer Cyclicals Korea, Republic of
Subscriber Subscriber Financials Turkey
Subscriber Subscriber Financials Germany
Subscriber Subscriber Consumer Cyclicals United States
Subscriber Subscriber Consumer Cyclicals Canada
Subscriber Subscriber Industrials Korea, Republic of
Subscriber Subscriber Consumer Defensives United States
Subscriber Subscriber Consumer Cyclicals Hong Kong
Subscriber Subscriber Basic Materials Turkey
Subscriber Subscriber Consumer Defensives United States
Subscriber Subscriber Consumer Cyclicals Hong Kong
Subscriber Subscriber Consumer Cyclicals Singapore
Subscriber Subscriber