Value-Investing

Stock Screener Strategies & performance

The table below lists the different investment strategies we support in ou valuescreeners tool. It provides a short explanation for each screener but if you wish to read more you can drill down on the link. It also provides the returns we captured in our backtests in Europe compared to a similar investment in an index tracker. By providing a fixed list of screeners, we want to save you time and allow you to on a proven high return strategy very quickly.

Strategy	Summary	Period	Return	Index
ERP5 Stock Screener	Ranks companies based on Earning Yield, ROIC, Price-to-Book & 5 year trailing ROIC.	June '99 - June '10	18,66% p.a.	+0,99% p.a.
Piotroski Stock Screener	Takes the 20% lowest price-to-book companies and then sorts these based on piotroski score. (9 point scoring system). Select the first 30 and hold for 1 year.	June '99 - June '10	+18,03% p.a.	+0,99% p.a.
O' Shaughnessy Value Factor One	This value composite based screen outperformed stocks scoring highest on any single value factor 82% of the time in all 10-year rolling periods between 1964 and 2009.	New!
O' Shaughnessy Tiny Titans	An aggressive investing strategy for micro cap stocks. (Predicting the markets of tomorrow)	June '99 - June '10	+11,38% p.a.	+0,99% p.a.
Magic Form. investing Stock Screener	Ranks stocks based on combined ROIC and Earning Yield Ranking. This methodology is described in Joel's bestseller: The little book that beats the market.	June '99 - June '10	+7,67% p.a.	+0,99% p.a.
Benjamin Graham NCAV	Selects companies trading at 2/3rds of their net current asset value.	-	-	-
Montier Short List	Short Selling Strategy based on the ideas of James Montier. (Value investing techniques for intelligent investment)	-	-	-

Next to these base screeners, we created adaptations that combine these different measures. We backtested this and found that these can add a surplus to the performance achieved with the base versions

Strategy	Summary	Period	Return	Index
ERP5 Best Selection	Companies with a Piotroski score equal or greater than 7 sorted in ascending order according to the ERP5 ranking.	June '99 - June '10	+19,50% p.a.	+0,99% p.a.
MF Best Selection	Companies with a Piotroski score between 7 and 9, and then sorted in ascending order according to the Magic Formula ranking.	NA	NA	NA
Highest 5Y Average Earning Yield	Similar stock screener to Piotroski screener, but instead of taking the 20 % lowest Price-to-book companies, we take the 20 % highest 5-year average Earning Yield.	June '99 - June '10	+17,46% p.a.	+0,99% p.a.

Finally we provide a third category of screeners that focus on a particular KPI

Strategy	Summary
Dividend Yield	How much "bang for your buck" you are getting from dividends?
Shareholder Yield	The strategy is similar to the Dividend Yield strategy that invests only in the highest dividend yielding stocks, except in this case we look at a universe of market leading shares and incorporate share buybacks into the dividend yield computation.
Price-to-Sales	The price-to-sales ratio is called; “the king of the value factors” by O'Shaughnessy.
Negative Entreprise Value	A Market Crushing Strategy which screens for companies with more cash than it’s market cap and total debt combined.
Free Cash Flow Yield	Free Cash Flow Yield: The Best Fundamental Indicator?
Momentum Investing	Combining Momentum and Value Investing Strategies.