No. of Recommendations: 24
A while back (pre-Shrewd) we had been discussing an ROE Cash to LT Debt screen based on the VL1700 universe. Has anyone been following it, and how did it do post-discovery?Ha! I was just going to write about this screen. I've been using two variants of ROE_Cash as my sole MI screens for about three years. These were SIPro based using GTR1 to produce the rankings. With the demise of GTR1 I've been up the creek without a paddle for the last two months. I traveled for a month, so just held on to my March picks. Now that I'm back I decided to do something about producing fresh rankings and continuing to use the screens. Using VL is an available option, although to directly address your question I don't have performance stats for the last three years.
After reviewing the discussions from three years ago (datahelper is a godsend) I've reconstructed the Radiscript for my two screen variants and I intend to use these rankings for my next round of portfolio updates.
A few observations:
Way back three years ago I concluded that the ROE numbers coming from VL were extremely unreliable, which was the primary reason I decided to go with the SIPro based screens. I was looking at [ROE Latest QTR] which continues to be infested seemingly with a lot of garbage. Now I've decided to use instead [Return On Shareholders Equity] which is much more reasonable looking even though it may only reflect figures from the annual report, so not always very up to date.
The key observation that I found is that the latest rankings from the VL screens that I've constructed are remarkably similar to those from the old SIPro screens. This gives me a sense of confidence.
The two screens differ in the number of stocks ranked by ROE. The basic version takes Top 500. The second version uses Top 60. This tends to produce very different stock picks. With Top 500 you get very good but not extreme ROEs and the final sort by [CashminusLTD] is dominant. It puts cash rich megacap companies at the top of the rankings. But it not a pure megacap screens. The list of megacaps is pretty much in the top 7 of the screen, and further down the companies aren't necessarily huge, but they are cash rich relative to their size.
The second screen produces companies with spectacular ROEs but not necessarily great cash positions. Roughly the top 10 have a positive [CashminusLTD] and the rest I would say have solid balance sheets but they're not cash behemoths.
Regarding the screening steps:
Timeliness<=5 produced only 1441 stocks last week.
I applied two "crap filters" if you will. [Domicile Code]="US" needs no explanation.
OR([SIC Code]<6000,[SIC Code]>6999) filters out all financial companies (banks, insurance, investment companies) as Mungofitch intended originally.
In my portfolio I buy only the top 12, HTD 20, but I rank the top 45 following Mungo's original suggestion. I'll try to figure out soon how to add these screens to my weekly rankings.
Here are the Radiscripts for the two screens.
Define {ROE_Cash}
Uses [Timeliness Rank] [Return On Shareholders Equity] [Cash] [Long-Term Debt Latest Qtr] [Market Cap $ (Mil)] [Domicile Code] [SIC Code] [ROE Latest Qtr]
Deblank [Timeliness Rank] [Return On Shareholders Equity] [Cash] [Long-Term Debt Latest Qtr] [Market Cap $ (Mil)] [Domicile Code] [SIC Code] [ROE Latest Qtr]
Create [CashminusLTD] :([Cash]-[Long-Term Debt Latest Qtr])
Keep :[Timeliness Rank]<=5
Keep :OR([SIC Code]<6000,[SIC Code]>6999)
Keep :[Domicile Code]="US"
Sort Descending [Return On Shareholders Equity]
Top :500 PlusTies
Sort Descending [CashminusLTD]
Top :45
End
Define {ROE_Cash2}
Uses [Timeliness Rank] [Long-Term Debt Latest Qtr] [Market Cap $ (Mil)] [Domicile Code] [SIC Code] [Return On Shareholders Equity] [ROE Latest Qtr] [Cash]
Deblank [Timeliness Rank] [Long-Term Debt Latest Qtr] [Market Cap $ (Mil)] [Domicile Code] [SIC Code] [Return On Shareholders Equity] [ROE Latest Qtr] [Cash]
Create [CashminusLTD] :([Cash]-[Long-Term Debt Latest Qtr])
Keep :[Timeliness Rank]<=5
Keep :OR([SIC Code]<6000,[SIC Code]>6999)
Keep :[Domicile Code]="US"
Sort Descending [Return On Shareholders Equity]
Top :60 PlusTies
Sort Descending [CashminusLTD]
Top :45
End Elan
