Value Investing with Equities Lab

Eric Darnel

Overview

A very simple stocker is presented that very effectively produces value-based stock returns. The screener, with realistic assumptions, produces 25% annualized returns with a standard deviation of 26% from 1995 to 2015, as backtested in Equities Lab.

Background

Value investing is a framework of investing that selects stocks that have low prices compared to their intrinsic value [1].

Reports of the death of the rising eps screener have been exaggerated

henry

The problem

The rising income and EPS growth screener used to operate, at least in part, based on the buzz score, and on estimates. Unfortunately, we lost the following data fields:

  1. All estimates fields
  2. Insider ownership
  3. Institutional ownership
  4. Large block trades

This happened because we had to make tradeoffs when we switched to the new data source.…

Value Investing With Equities Lab

Eric Darnel

Overview

A very simple stocker is presented that very effectively produces value-based stock returns. The screener, with realistic assumptions, produces 25% annualized returns with a standard deviation of 26% from 1995 to 2015, as backtested in Equities Lab.

Background

Value investing is a framework of investing that selects stocks that have low prices compared to their intrinsic value [1].…