Neglected Firms is a value investing strategy inspired by Ludwig Chincarini and Daehwan Kim in their book, Quantitative Equity Portfolio Management. It uses value and quality measures to find neglected shares that are under-researched by analysts and potentially misunderstood by investors. It looks for companies with low analyst coverage, above average earnings growth and that are cheaply priced according to their price-to-earnings and price-to-book ratios. Chincarini and Kim explain: "It is likely that neglected firm's stock prices do not reflect all the relevant information available and that their prices will react sluggishly to relevant news. This opens a window of time and opportunity for an astute investor to purchase undervalued, neglected stocks and reap the rewards when the market recognizes the stocks' true values." Academic research by Avner Arbel and Paul Strebel found that between 1972 and 1976 comparatively neglected S&P stocks easily outperformed those that were well researched.
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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:
Results are sorted by:
And limited to the first 200 Results
| Returns |  |
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FTSE 100 |
|---|---|---|---|---|---|---|---|---|
| 1 week | -0.0% | -2.9% | 3.2% | -3.2% | -1.0% | -3.3% | 1.9% | -1.3% |
| 1 month | -1.4% | -5.7% | 5.1% | -10.3% | -0.5% | -6.1% | 0.5% | -2.2% |
| 3 months | 0.4% | -8.7% | 3.6% | -15.5% | 9.0% | -0.2% | -0.2% | 8.0% |
| 6 months | 6.0% | -4.6% | -4.4% | -32.5% | 4.6% | -6.0% | 4.4% | 0.8% |
| 1 year | 7.4% | -1.2% | 0.5% | -16.4% | 9.3% | -2.3% | -2.7% | 1.1% |
| 2 years | 31.4% | 65.6% | 36.0% | 56.2% | 65.1% | 46.4% | 18.0% | 26.3% |
| Annualised | 11.5% | 11.3% | 11.3% | 26.7% | 29.4% | 19.1% | 12.1% | |
| Risks | ||||||||
| Max Drawdown | -22.1% | -20.4% | -26.3% | -38.8% | -11.0% | -10.7% | -22.0% | |
| Avg Holdings | 22.6 | 24.9 | 24.9 | 25 | 18.2 | 25 | 20.6 | |
| Diversification | Good | Good | Good | Good | Good | Good | Good | |
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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Ticker | Name | EPS Gwth % | # Brokers | P/E | Net Mgn % | P/B | ROE % 5y Avg | Mkt Cap £m | Is Primary Listing | Industry Grp | Flag |
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Subscriber | Subscriber | Metals & Mining | |
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Subscriber | Subscriber | Healthcare Equipment & Supplies |  |
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Subscriber | Subscriber | Machinery, Equipment & Components | |
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Subscriber | Subscriber | Oil & Gas | |
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Subscriber | Subscriber | Real Estate Operations |  |
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Subscriber | Subscriber | Holding Companies |  |
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Subscriber | Subscriber | Investment Banking & Investment Services |  |
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Subscriber | Subscriber |
