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Neglected Firms Screen 200 Qualifying

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:

  • # Brokers <= 2
  • EPS Gwth % > Median EPS Gwth %
  • P/E < Median P/E
  • Net Mgn % > Median Net Mgn %
  • P/B < 3
  • ROE % 5y Avg > Median ROE % 5y Avg
  • Mkt Cap £m > 25
  • Is Primary Listing == 1
  • Industry Group not in (Banking Services, Collective Investments)

Results are sorted by:

  • EPS Gwth % in descending order


And limited to the first 200 Results


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Performance Tracking


Returns 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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200 Qualifying

Ticker Name EPS Gwth % # Brokers P/E Net Mgn % P/B ROE % 5y Avg Mkt Cap £m Is Primary Listing Industry Grp Flag
Subscriber Subscriber Metals & Mining Canada
Subscriber Subscriber Healthcare Equipment & Supplies Taiwan
Subscriber Subscriber Machinery, Equipment & Components Taiwan
Subscriber Subscriber Oil & Gas United States
Subscriber Subscriber Real Estate Operations Australia
Subscriber Subscriber Holding Companies Turkey
Subscriber Subscriber Investment Banking & Investment Services Germany
Subscriber Subscriber