Value Screen Performances as of Q2, 2011


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Jae Jun

End of Q1 Value Stock Screen Performances

End of Q2 Value Stock Screen Performances

Results Discussion

A few things stand out here.

  • Screens are under performing the market by large amounts
  • Current market is not loving value stocks. Growth and momentum stocks are viewed as more attractive.
  • All of the cheap stock screen results are being materially affected by Chinese companies that show up in the list. Chinese stocks have been crushed of late as groups such as Muddy Waters and Kerisdale have focused on exposing Chinese frauds, bringing down the entire Chinese space with it.

By looking at the results over the past couple of years, I’m considering replacing the negative enterprise screen with something else, OR possibly add some additional criteria to convert it to a shorting screen.

Compared to the first quarter performance, the Piotroski screen is consistently one of the best performers year over year.

The new low expectations screen is doing exceptionally well by returning 20.6% YTD which is even higher than the results from the backtest. I haven’t been able to upload the screen onto the site yet.

Latest Low Expectation Screen Results

As it is doing so well, here are the latest screen results for the low expectation screen. See if you can find value in the list.

Disclosure: None

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