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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.

To learn more about this strategy please click here »

Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management

by Ludwig B Chincarini, Daehwan Kim

Offers details for selecting and aggregating factors, building a risk model, and more.

This screen uses the following criteria:

  • # Brokers <= 2
  • EPS Gwth % > Industry GroupMedian
  • P/E < Industry GroupMedian
  • Net Mgn % > Industry GroupMedian
  • P/B < 3
  • ROE % 5y Avg > Industry GroupMedian
  • Mkt Cap £m > 25
  • Is Primary Listing == 1
  • Industry Group not in Bank ing 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 1.1% -0.7% -3.5% 2.0% -1.0% -1.7% -2.1% 1.3%
1 month -0.8% -3.1% -9.2% 6.0% -4.0% -0.8% -7.0% -1.8%
3 months 2.1% -4.8% 2.5% 13.0% -6.2% 4.7% -15.3% 0.2%
6 months 2.4% 1.4% 6.0% 28.3% 4.5% 0.2% -7.3% -0.8%
1 year 14.4% 37.4% 10.8% 82.2% 31.8% 18.3% -14.7% 6.7%
2 years 22.2% 70.6% 47.7% - - - - 20.5%
Annualised 11.5% 13.4% 14.4% 70.6% 34.7% 27.2% 10.0%
 
Risks
Max Drawdown -22.1% -20.4% -26.3% -22.5% -9.4% -9.8% -22.0%
Avg Holdings 22.4 24.8 24.9 25 18.3 25 20.4
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 # Brokers EPS Gwth % P/E Net Mgn % P/B ROE % 5y Avg Mkt Cap £m Is Primary Listing Industry Grp Flag
Subscriber Subscriber Oil & Gas Macedonia
Subscriber Subscriber Textiles & Apparel Hong Kong
Subscriber Subscriber Leisure Products Japan
Subscriber Subscriber Real Estate Operations Sweden
Subscriber Subscriber Computers, Phones & Household Electronics Hong Kong
Subscriber Subscriber Food & Tobacco Korea, Republic of
Subscriber Subscriber Machinery, Equipment & Components Hong Kong
Subscriber Subscriber Software & IT Services Korea, Republic of
Subscriber Subscriber Semiconductors & Semiconductor Equipment Korea, Republic of
Subscriber Subscriber Healthcare Equipment & Supplies Korea, Republic of
Subscriber Subscriber Holding Companies Italy
Subscriber Subscriber Residential & Commercial REITs Turkey
Subscriber Subscriber Investment Banking & Investment Services Germany
Subscriber Subscriber Healthcare Equipment & Supplies Hong Kong
Subscriber Subscriber Residential & Commercial REITs United Kingdom
Subscriber Subscriber Chemicals Turkey
Subscriber Subscriber Hotels & Entertainment Services Hong Kong
Subscriber Subscriber Semiconductors & Semiconductor Equipment Korea, Republic of
Subscriber Subscriber Pharmaceuticals Korea, Republic of
Subscriber Subscriber Food & Tobacco Korea, Republic of
Subscriber Subscriber Residential & Commercial REITs Canada
Subscriber Subscriber Software & IT Services Hong Kong
Subscriber Subscriber Oil & Gas Related Equipment and Services India
Subscriber Subscriber Electric Utilities & IPPs Italy
Subscriber Subscriber Real Estate Operations Germany
Subscriber Subscriber Paper & Forest Products Taiwan
Subscriber Subscriber Machinery, Equipment & Components Korea, Republic of
Subscriber Subscriber Holding Companies Sweden
Subscriber Subscriber Machinery, Equipment & Components Estonia
Subscriber Subscriber Renewable Energy United States
Subscriber Subscriber Food & Tobacco Lithuania
Subscriber Subscriber Machinery, Equipment & Components Japan
Subscriber Subscriber Semiconductors & Semiconductor Equipment Korea, Republic of
Subscriber Subscriber Hotels & Entertainment Services Hong Kong
Subscriber Subscriber Metals & Mining Australia
Subscriber Subscriber Semiconductors & Semiconductor Equipment Korea, Republic of
Subscriber Subscriber Oil & Gas Switzerland
Subscriber Subscriber Media & Publishing United States
Subscriber Subscriber Paper & Forest Products Korea, Republic of
Subscriber Subscriber Food & Tobacco Belgium
Subscriber Subscriber Textiles & Apparel Taiwan
Subscriber Subscriber Containers & Packaging Hong Kong
Subscriber Subscriber Software & IT Services Korea, Republic of
Subscriber Subscriber Healthcare Equipment & Supplies United States
Subscriber Subscriber Metals & Mining Hong Kong
Subscriber Subscriber Software & IT Services United States
Subscriber Subscriber Food & Drug Retailing Korea, Republic of
Subscriber Subscriber Metals & Mining Taiwan
Subscriber Subscriber Machinery, Equipment & Components France
Subscriber Subscriber Real Estate Operations Romania
Subscriber Subscriber Freight & Logistics Services Korea, Republic of
Subscriber Subscriber Food & Tobacco Korea, Republic of
Subscriber Subscriber Residential & Commercial REITs United States
Subscriber Subscriber Holding Companies Switzerland
Subscriber Subscriber Real Estate Operations Taiwan
Subscriber Subscriber Professional & Commercial Services United States
Subscriber Subscriber Textiles & Apparel Japan
Subscriber Subscriber Investment Banking & Investment Services France
Subscriber Subscriber Investment Banking & Investment Services Australia
Subscriber Subscriber Communications & Networking Japan
Subscriber Subscriber Software & IT Services Japan
Subscriber Subscriber Metals & Mining Japan
Subscriber Subscriber Real Estate Operations Spain
Subscriber Subscriber Automobiles & Auto Parts Germany
Subscriber Subscriber Software & IT Services Korea, Republic of
Subscriber Subscriber Insurance United Kingdom
Subscriber Subscriber