I had been running a Greenblatt-esque for a number of years on Stockopedia, which exceeded my expectations, and certainly beat the index.
I had some old notes in which I ran a little screen. In Sep 2022, the 3-stock portfolio returned +28.5%, as opposed to the ASX (All-Share Index) of -2.3%. I repeated the experiment in Aug 2023, and managed to compute the results. The portfolio returned 22.0%, cf the ASX of +12.7%.
The screening criteria I used last time was straightforward enough:
1. DPS CAGR5 > 6% (a growth measure)
2. P/E TTM < 15 ( a value measure)
3. Net cash ( a safety measure)
4. Select some shares from different sectors
Shares were selected "judiciously", by which I mean no in-depth analysis was performed, it was mostly a mechanical screen in which I exercised a little judgement if I had a little knowledge on the company.
It is only loosely a Joel Greenblatt strategy, keeping in the spirit of good, cheap, and growing.
Spurred on by the phenomenal success of the strategy that I experienced on a Stockopedia Fantasy Fund, and the results of the last two experiments, I thought I'd try my hand again.
The original screening criteria above gave plenty of candidates, but I think the requirement for net cash is too strict. So I have adjusted my screen to require an interest Cover > 5. So the criteria are now:
1. DPS CAGR5 > 6% (a growth measure)
2. P/E TTM < 15 ( a value measure)
3. IC > 5 ( a safety measure)
4. Select some shares from different sectors
Here are the shares I chose today, along with their share prices:
MGNS 2960p Industrials
DRX 661p Utilities
RFX 209p Financials
HIK 2060p Healthcare
PETS 297p Consumer Cyclicals
MACF 121p Basic Materials
ASX 4564 Index
Anyway, wish me luck. We'll see how I do in a year's time. This may be my last Greenblatt experiment, as I have made other portfolio choices elsewhere, and I don't want to keep throwing portfolios out there.
I do think that requiring separate sectors is a little too restrictive as there are many diverse companies out there in the same sector with different dynamics. However, I've kept to the diversification rule on this occasion, and we'll see how we go.
p103
I had some old notes in which I ran a little screen. In Sep 2022, the 3-stock portfolio returned +28.5%, as opposed to the ASX (All-Share Index) of -2.3%. I repeated the experiment in Aug 2023, and managed to compute the results. The portfolio returned 22.0%, cf the ASX of +12.7%.
The screening criteria I used last time was straightforward enough:
1. DPS CAGR5 > 6% (a growth measure)
2. P/E TTM < 15 ( a value measure)
3. Net cash ( a safety measure)
4. Select some shares from different sectors
Shares were selected "judiciously", by which I mean no in-depth analysis was performed, it was mostly a mechanical screen in which I exercised a little judgement if I had a little knowledge on the company.
It is only loosely a Joel Greenblatt strategy, keeping in the spirit of good, cheap, and growing.
Spurred on by the phenomenal success of the strategy that I experienced on a Stockopedia Fantasy Fund, and the results of the last two experiments, I thought I'd try my hand again.
The original screening criteria above gave plenty of candidates, but I think the requirement for net cash is too strict. So I have adjusted my screen to require an interest Cover > 5. So the criteria are now:
1. DPS CAGR5 > 6% (a growth measure)
2. P/E TTM < 15 ( a value measure)
3. IC > 5 ( a safety measure)
4. Select some shares from different sectors
Here are the shares I chose today, along with their share prices:
MGNS 2960p Industrials
DRX 661p Utilities
RFX 209p Financials
HIK 2060p Healthcare
PETS 297p Consumer Cyclicals
MACF 121p Basic Materials
ASX 4564 Index
Anyway, wish me luck. We'll see how I do in a year's time. This may be my last Greenblatt experiment, as I have made other portfolio choices elsewhere, and I don't want to keep throwing portfolios out there.
I do think that requiring separate sectors is a little too restrictive as there are many diverse companies out there in the same sector with different dynamics. However, I've kept to the diversification rule on this occasion, and we'll see how we go.
p103
