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Strategies & Market Trends : Value Investing
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To: Michael Burry who started this subject2/9/2003 2:24:32 PM
From: Paul Senior  Read Replies (2) of 78507
 
Last month I read the American Association of Individual Investor's article by John Bajkowski. He summarized the five-year results of different screens he used to select stocks.

I liked that there were a large number (54 apparently) of different types of screens, and that two Graham screens showed very good results (doubling or more) over the five years.

The study's a bit complicated and takes some time to understand - more time than I had available. I did spot three areas that troubled me:

1. The screens are rebalanced monthly. That didn't seem practical.

2. For the Graham screen and a few other ones (e.g a Neff-type screen), it seemed that only a few stocks made the final cut (like maybe eight or fewer). That seems too few upon which to base a definitive conclusion - to me anyway. (I'd have to look at each rebalance over the five years to understand more.)

3. I have a tendency to sneer at certain investing styles such as O'Neil and Zweig and yet these styles showed better results than the styles I do like, like Graham, O'Shaughnessy, or low p/book screens.

Also scoring very high (near the top if I recall) was low price/cash flow. Until now, I hadn't seen any screen that used this factor exclusively and had this factor's results show so strongly favorable compared to other factors or combinations of factors. Furthermore, for a factor I do like - ROE - screening this way produced worse than average results.

Anyway, James Glassman in today's Washington Post further dissected and clarified Bajkowski's work. Here's the link:

washingtonpost.com

I agree with Mr. Glassman, that screens are great for unearthing potential gems. The original AAII article listed no individual stocks, but Mr. Glassman was able to get them from his conversation with the author.
Here are a few culled the different screens which Mr. Glassman discussed which seem for me to be worth a further look (jmo):

finance.yahoo.com
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