No. of Recommendations: 5
In the past few days since the topic came up, I've been experimenting with the screen. What is included here is not the original, but it has a much higher total return. I've included a Dividend, high operating margins, positive recent earnings, and a final sort on (Cash minus Debt)/ MktCap. I know this isn't consistent with Mungofich's original concept because it selects, in addition to the huge caps, occasional market caps down to $2B. Anyway, the basic structure is here and you can use it as a starting place for experimentation.
5-yr total return: 148%, max DD: -35%, Beta: 1.19.
Universe(NOOTC)=TRUE & Universe($adr)=false & Country("USA")
!GICS(FINANC)//No finance cos.
Yield > 0
FOrderOLD("$Timeliness",#All,#DESC,#Previous,TRUE)<=600
FOrderOLD("ROE%A",#All,#DESC,#Previous,TRUE)<=80
OPMgn%TTM > 25 //Healthy Operating Margin
CurFYEPSLow>0 // Recent and upcoming Earnings positive
EPSExclXorTTM>0 AND EPSExclXorPYQ>0
FOrderOLD("CashTTM - DbtLTTTM",#All,#DESC,#Previous,TRUE)<=40
(CashTTM - DbtLTTTM) / MktCap > 0
FOrderOLD("((CashTTM - DbtLTTTM) / MktCap)",#All,#DESC,#Previous,TRUE)<=13
where $Timeliness is: Beta*TotalReturn26W*(CurFYEPSMean/EPSInclXorA)
(my crude approximation of VL timeliness)
Taz
