2012 OSV Value Screener Results


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Jae Jun

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A popular section of Old School Value is the predefined value stock screener page. At the moment, 14 value screens are published and tracked, with each screen updated to show the latest 2012 results.

The main value screener page now includes the past yearly performance from 2000.

Yearly Performances of Each Screen

To view the full historical results go to the screener page as the table is too big to fit on this post.

value screen

Total Returns for Each Screen 2000 to 2012

value screener

While some results are indeed impressive, it is important not to just look at the final performance. This is the result if you stick with a single strategy consistently but the top performing value screeners comes with a lot of ups and downs. Beyond what many people will be capable of handling.

2012 Value Screener Performances

value screener results

In terms of individual screen results for 2012, it was not an impressive year. Only 5 out of 14 screens beat the market which is a 35% win rate. On an absolute basis, 3 screens lost money.

Some screens worry me too. The negative enterprise value screen is at the top of the list. Every few years or so, it goes through some big busts. Sure there are some huge wins, but the big losses causes more concerns. Take a look at the graph below. This is not the type of performance that I am particularly proud of, even though it has returned 400% compared to the SPY’s 22%.

negative enterprise value screen

The negative enterprise screen and a couple of others are on the endangered list of being deleted if I do not see an improvement this year.

Things to Know About Screeners

I also made some changes to the screen to make it more realistic. A problem that I have with most screeners is that they include very illiquid stocks that go up 500% which makes the screen look better than it really is. One example is the Piotroski screen from aaii.com as shown below. It was up 93% at the beginning of Dec 2012. The portfolio requires a monthly shuffle (which will incur higher fees and taxes) and there may not be enough passing companies for the portfolio to be properly shuffled.

In November, there were only four passing companies for AAII which means if they had held 20 stocks, at least 16 positions has to be sold. Such turnover rates and fees are extraordinarily high.

But like all screens, it is great to get ideas rather than to try and simulate.

 

So I went back and made adjustments to include minimum volume and price thresholds it must meet. I also subtracted a 1-2% performance based on the type of screen and what I considered would be the fees required to buy and hold the stocks. Rebalancing is also performed once a year.

Doing all this significantly lowered the final performances for some screens but it makes for a more realistic and believable results.

Have an idea for a screen? Leave a comment with some details of what you want to include. If it’s good enough, it will be created and published to possibly replace some of what I have now.

  • somrh

    Here’s another look at the risk-reward factor. I looked at both the arithmetic and geometric (annualized return) means versus standard deviation (not sure how the image thing works).

    The arithmetic mean looks prettier as far as fitting a nice line but the intercept is negative (I presume the intercept should be akin to a cash rate of return).

    The geometric mean doesn’t look as pretty but has a positive intercept (4.34%).

    It seems to me, using standard deviation as a proxy for risk, that the ones above the line are generating excess risk-adjusted returns (analogous to positive alpha).

    But one could argue that at least part of the excess returns of the screens are a result of the higher volatility of the strategies.

  • http://www.oldschoolvalue.com/ Old School Value

    thanks for sharing this. Looks like it’s a mixed bag of half and half in terms of generating plus alpha.

    An interesting point is that the market is below the line and most funds cant beat the market. Does show how difficult it is to get the right performance for the amount of “risk” in a portfolio.