Subject: Re: ROE Cash LT Debt Screen
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