In case anyone interested in a simple screen for quality Jim posted in some thread back in April (below) - I’ve implemented an 8-ish stock monthly HTD 20 version, using Fidelity’s screener. Confident that it’s benefited heavily like most from the recent short term bottom in June.
Current picks -
TPL Texas Pacific Land: +16% rank 4
NSP Insperity +16% rank 2 and top 50 in both ROE and RevGr/Share
LNG Cheniere Energy +12% rank 6
MTD Mettler Toledo +8% rank 1 and top 50 in both ROE and RevGr/Share
WIRE +8% (bought 8/8) rank 5
DQ Daqo New Energy +8% (bought 8/8) rank 8
NVR Homebuilder +2% (bought 8/8) rank 3
CACC Credit Acceptance 0% (") rank 7
HALO Halozyme Therapeutc -3% (sale pending, but only rank 9)
1.) Take the 1200 of the 1700 stocks that are closest to their 52 week highs, just to “crowd source” out things that are doing badly or at least unfashionable. (I’m a little tighter on this criteria.) 2.) ROE screen: Of those, take the 50 with the highest ROE. 3.) RevGr screen: Of the 1200, take the 50 with the highest 5-year growth of sales per share. SOS: 4.) Combine the 2 into 100 5.) Rank each of the 100 on ROE 6.) Rank each of the 100 on RevGr / share 7.) Sum the ranks 8.) Rank the sums
Pick the top N and HTD H(Jim backtested N of 20 and H of 50, I’m using 8 and 20.) That backtest: After friction, that would have beat the S&P 500 by 11.0%/year since May 1997.
Hi, Flying Circus.
Would you mind walking me through the exact Fidelity screener inputs? I’m a customer and would like to use the screener / this screen. Appreciate it and thank you.
Sure… screen 1
Criteria
Market Capitalization
$1.83B and Above (Small, Medium, High, Mega selected) - 2166 companies
this excludes over 7500 “MicroCap” companies and is much tighter than Mungo’s suggested criteria, but that’s just how I did it - it’s more like top 30% than top 60-70% of VL1700. No idea how many Microcaps VL covers.
% Below 52 Week High
26.49% and Below (Very Low, Low selected) - 1292
Return on Equity (TTM)
18.53% and Above (High, Very High selected) - 454
The next 3 fields are not filtered, but selected so that they will show up in the exported CSV for consistency…
Revenue Growth (5 Yrs)
Shares Outstanding
Sector/Industry/Sub-Industry (this is just for information)
Download results.
Screen 2
Market Capitalization
$1.83B and Above (Small, Medium, High, Mega selected) - 2166 companies (same as above)
% Below 52 Week High - same as above
Return on Equity - no filter (all)
Revenue Growth (5 Yrs)
Medium, High, Very High - 538 companies
Shares Outstanding & Sector/Industry/Sub-Industry included as above.
Download results.
Open first download; sort by ROE; clear or delete the rows after 51.
Open second download; add column to calculate revenue growth per share; sort by that column; clear or delete the rows after 50; copy the remaining rows to the first download sheet.
Then add the individual rank columns, the sum of ranks column, and the rank of the sums column. Sort by the rank of the sums column.
FWIW, average over last ten years within the “VL 1700” set
356 < $1bn market cap
167 < $500m
84 < $300m
45 < $200m
29 < $150m
14 < $100M
it’s clear they don’t use a market cap cutoff.
It’s more like “all the big ones, almost all the medium sized ones, and a random smattering of very small ones”
As their very small ones are hand picked, they seem to be atypical in terms of performance.
I’m not sure it has any predictive power, but FWIW an equally weighted portfolio of the 25 smallest returned 17.2%/year 2000-2021 inclusive.
Quarterly including 0.4% friction. S&P return same time stretch 7.6%/yr.
But it was a very wild ride. 2008 -54%, 2009 +238%.
Market Capitalization $1.83B and Above (Small, Medium, High, Mega selected) - 2166 companies this excludes over 7500 “MicroCap” companies and is much tighter than Mungo’s suggested criteria, but that’s just how I did it - it’s more like top 30% than top 60-70% of VL1700. No idea how many Microcaps VL covers.
FYI
IF you Calculate “Money Flow” (Vol*Pri) instead of Market Capitalization the number of companies passing are about the same. But it takes several more columns in the spreadsheet.
**Security Type Security Price Volume (90 Day Avg) Company Headquarters Location**
**Fixed: Criteria UPPER Limit Very high Very high**
**Fixed: Criteria LOWER Limit Medium Medium**
**Current Range Common Stock $8.47 and Above 230K and Above United States**
**Current Count 8360 4100 2140 1900**
I’m not sure it has any predictive power, but FWIW an equally weighted portfolio of the 25 smallest returned 17.2%/year 2000-2021 inclusive.
But I wonder how many of those were realistically tradeable.
Recently there was mention of a similar screen restricted to the VL industries of IT Services and Information Services. VL shows 81 companies and 19 of them had prices under $5. Four (4) less than $1.
Although, it appears that none of those had a Timeliness rank, so we probably wouldn’t invest in them.