Post New

Hi,

You had mentioned a very simple screen before, which you said was your best screen. It was something like, Hi Roe, and lots of cash.

I was planning on using it when I retired, which I did, 1 week ago, but now I can't find the definition.

Would you be able to repost it?

Thank you in advance, and I appreciate all the good ideas you have contributed over the years.

I think it's this one:

https://boards.fool.com/1-universe-of-large-cap-st...

1) Universe of Large Cap stocks. Suggested: ValueLine stocks with timeliness rating (about 1400).
Used here: Russell 1000 (large caps) + S&P 400 (mid caps)
2) (optional) Only those stocks that have a dividend.
3) (Recommended) The 50% of the stocks closest to their 52-week high.
4) Rank by ROE, take the top 33% of them
5) Compute NetCash as "Cash & short-term investments" minus "long term debt". This is enterprise total, not per share.
6) Rank by NetCash. Take the 40 with the highest NetCash.
7) Re-evaluate every 1-2 months. Sell any stock that is not in the top 45. (40 HTD 45)

The stated rationale for step 5 is that a large stock with a lot of ready cash is unlikely to blow up.

Note that when discarding stocks that do not pay a dividend (step 2) there are fewer than 40 stocks

Two quick comments:
* That last statement sounds wrong?
Are you requiring the [cash - debt] value to be positive in addition to merely sorting on it?
Based on my testing from the VL universe, if I start with top 1157 by market cap to match your universe size and keep
the optional "50% closest to 52 week high" step there I see on average 115 stocks eligible for the final step.
That's a lot more than 40, so you might have a glitch.
It should be 1/3 of 1/2 of the number of dividend payers.

* the step 3 is a recently invented tweak of mine, not part of the original screen. Not sure if it was mentioned before.
For those following the evolution of the screen it might seem anomalous.

Jim

Thanks. I know that I copied it into word and saved it, but I can't find it. I guess the lesson is, give it a memorable name.

Thanks Ray.

You have more time than me to do this stuff.

Do you think that is the best screen?

I have a folder named "screens" on my computer where I have a folder for each screen of interest. This folder is "LargeCapCashDiv".

IIRC, it worked fine for a while, but tracking down the cash was a pain. I have scripts that download the data for each screen. The best source I found for the cash & debt data was WSJ. But then they changed it so that it wasn't downloadable anymore, so I dropped this screen.

A mungo screen I still use is:
Using a broad market index (like S&P500 or VL1500 or Russell 1000)
Or using the Value Line ~1500 stocks with any Timeliness.
Take only the 90% of the stocks closest to their 52-week high.
(Drop the lowest 10%)

Take the top 100 by ROE ...
and those with earnings >0 and book value is < 0.

then of those, top 25 by 5 Yr sales Growth.
Re-evaluate and/or rebalance every 1 or 2 or 3 or 6 months.
Optional tweak, 15 HTD 25 or 25 HTD 30.

It is pretty good, although has done slightly worse that SPY in the last 4 years. Almost nothing did better than SPY in the last few years.



Another simple screen I have just started looking at:
1)Top 10 S&P500 stocks by 52 week relative strength.
2) Trade monthly.
Unfortunately, I don't remember the source, and neglected to save it. I do remember that the backtest was good.

Here is the post I have from old MI board by Jim (5/24/2020):


"This is a retirement portfolio kind of screen: LargeCapCash.
The goal is a screen which is as safe as the S&P 500 but with the hope of somewhat higher returns over the long run.

This specific screen has low turnover,
lower concentration risk than the S&P with largest position at 2.5% of portfolio,
probably significantly lower company specific risk because of requirement of very strong balance sheet and profitability.
And a very strong large cap bias.

The screen:
Start from the Value Line 1700--this is old skool!

Of those with a reported ROE, take the top 30%--around 475 companies on average.
For each one, calculate their cash balance in excess of long term debt.
Buy equal dollar mounts of the 40 stocks with the largest net cash balances.
That's it.

Note: this uses largest cash balances in absolute terms, not largest cash balances as fraction of market cap...that's why it's a large cap screen.

The version I like best is buy top 40, hold two months.
Hold till drop at rank 45.
Rebalance annually.

Result:
January 1997 through April 2020, with 0.4% trading costs, CAGR of 14.1%
SPY same date range: CAGR 7.9%
Improvement: 6.2%

It beat the S&P 500 in 74% of rolling years.
That's pretty steady...it wasn't just one anomalous stretch of outperformance in one specific era.
The relative-to-market rolling year performance ranged from 15% worse to 48% better.
10th / 50th / 90th percentiles relative to market -3% / +4% / +17%.

That's a surprisingly high return backtest for what (largely) amounts to a very large cap screen."

Thanks,
AJ

Almost nothing did better than SPY in the last few years.

I know. spgp, moat, and omfl had all done much better than the s and p, and in the last 12 months they have trailed it by 12 points or so.



Thanks for the screens.

Technology ETFs have beaten the s and p. Here is a list. I own vgt.


https://etfdb.com/etfdb-category/technology-equiti...

Here is a version I believe is from Boris version of Jim’s ROE_Cash screen on GTR1 with a top 30 htd 45:

From 19870302 to 20250225 with a 42 day hold CAGR was 16.6%, Annual Turnover 1.34, Sharpe 0.75

https://gtr1.net/2013/?~ROE_Cash_noFinance_with_cr...

For the last 10 years CAGR has been 15.7%, Robbie’s ^S5T SP500 equivilent was 13.0%

And for the last 5 years CAGR has been 16.9%, Robbie’s ^S5T SP500 equivilent was 15.7%

Thanks. I miss Boris. He had great ideas.

I don’t know the gtr codes that well.

This is what I take from it.

The ones I have a question on are step 10, and step 13. Maybe step 10 is cash flow per share.

step5: [MCap] Top 1700
step6: [Cash] > 0
step7: [Equity] > 0
step8: [NetInc] > 0
step9: [FCFP] > 0
step10: [CFP] > 0
step11: [ROE] Top 500
step12: [CashLessLTDebt] Top 45
step13: [CashLessLTDebt] Top param0; Cash When Fewer
Thank you.

I guess the lesson is, give it a memorable name.

No, the mistake was you retiring. If you hadn't done that, you wouldn't have needed the screen, and you would have found it easily.

Eric Hines

I don't follow your logic. Please explain.

I retired because I was doing the same thing for 32 years, and I hit 65. I wanted to do something different and to have fun while I am still healthy. I actually liked what I did, but wanted to do something different, and to have more time to have fun. I have a friend who wanted to lead hiking trips. He kept working and his joints went, and now he won't be able to do that. I did not want that to be me.

but wanted to do something different, and to have more time to have fun. I have a friend who wanted to lead hiking trips. He kept working and his joints went, and now he won't be able to do that.

This is exactly my side in the never-ending debates about taking Social Security at 62 vs. 70. (Assuming you are retired at 60.)

I wish.

65. I was not sure I had enough money at 60. How old were you when you retired?

I wish.
65. I was not sure I had enough money at 60. How old were you when you retired?

58.

When people heard that I was retiring at 58, I had a stream of co-workers who came by my cubicle and asked how I could do it, so they could also do it.

I told them that I worked 40 hours a week at Motorola and 10 hours a week at investing (Motley Fool mostly).

Every single one of them lost interest at that point.

The saddest to me was a friend whose wife strongly wanted to get their house mortgage paid off before doing any serious investing.

I retired (with a mortgage) and he kept on working but with a house about half paid off. He completely missed out on the tech boom.

Motorola had several layoffs in the next few years, and surely he got caught in one of them.

I voluntarily retired in a layoff (had to wait about 6 months for the layoff to happen) and got 1 year salary severance pay.
The next layoff they got 6 months salary severance pay.
The layoff after that, they got a hearty handshake.

The layoff before mine, they got 2 years. But that was several years earlier and I couldn't afford to quit.

The ones I have a question on are step 10, and step 13. Maybe step 10 is cash flow per share.

Step 10 CFP is the Cash Flow per Share as calculated by: pref(ratio(cfps12mq1d.s,sprc),ratio(cfps12mq1d.c,cprc))
Where the cfps12mq1d.s (any *.s data is from stock investor data) is preferred if available but uses *.c data if SIP
Is not available.

The only place I believe you see “step13: [CashLessLTDebt] Top param0” is when you run the All-Variants Report.
And param0 is used to generate the results for holding a different number of stocks.

The thread back in 01/04/2024 has more information and different versions of ROE_CASH.

https://www.shrewdm.com/MB?pid=164844521

Thanks, so I had it right. I never learned GTR1.

That's great. I am glad you could do it. It would have been good for me also. I think 65 is not bad. I can probably run around for 15 more years.

I doubt you get the type of outperformance you had that allowed you to retire early.

The market seems more efficient now.

The ones I have a question on are step 10, and step 13. Maybe step 10 is cash flow per share.

step5: [MCap] Top 1700
step6: [Cash] > 0
step7: [Equity] > 0
step8: [NetInc] > 0
step9: [FCFP] > 0
step10: [CFP] > 0
step11: [ROE] Top 500
step12: [CashLessLTDebt] Top 45
step13: [CashLessLTDebt] Top param0; Cash When Fewer
Thank you.

Just to be clear, this is the ROE_Cash screen that I post in the weekly rankings. Lohill posts a similar screen, not VL based, in his weekly SIPro rankings.

Elan

Here is the post I have from old MI board by Jim (5/24/2020):
"This is a retirement portfolio kind of screen: LargeCapCash.
The goal is a screen which is as safe as the S&P 500 but with the hope of somewhat higher returns over the long run...

FYI, I'm running this, pretty much as described. 2 month trading cycle, top 40 hold-till-drop at 45. The version that requires a dividend. It forms most of the "boring" portion of my roughly 70/30 boring/aggressive quant portfolio. Double digit IRR, but that hasn't exactly been hard lately. I haven't been running it long enough to say whether it provides an advantage; the net portfolio performance (after fees, commissions, 0.58%/year drag from tax on dividends, and a small cash drag) is so close to the S&P equal weight total return, the most suitable benchmark for it, that there is as yet no evidence of which is better.

I will probably move the aggressive portion to cash when it looks like the bull market is no longer evident.

Jim

I voluntarily retired in a layoff (had to wait about 6 months for the layoff to happen) and got 1 year salary severance pay.
The next layoff they got 6 months salary severance pay.
The layoff after that, they got a hearty handshake.
The layoff before mine, they got 2 years.

Reminds me of a friend of mine, who was I believe the very last employee of Nortel, for years after they folded. He was technically on the payroll of some 50/50 joint venture that outlasted the parent, but I think the reason he stuck around so long was partly because of the decreasing buyout values after the first few years, and I suspect partly perhaps just to see how long he could last there : )

Jim

To show you how financially innumerate some people are:

Bill S. in the cubicle next to mine was 63 years old. Motorola has a VSP (voluntary separation = voluntary layoff) with 2 years salary severance pay. We all expected Bill to take the VSP but he didn't.
We said, "Bill, you will retire at 65 in 2 years. They are giving you that entire 2 years of salary right now and you don't have to work. Why aren't you taking it?"

He said, "My house mortgage isn't paid off, so I can't afford to give up my job, I need the salary."

Sure enough, 2 years later he turned 65 and we gave him a nice retirement party.

We said, "Bill, you will retire at 65 in 2 years. They are giving you that entire 2 years of salary right now and you don't have to work. Why aren't you taking it?"

He said, "My house mortgage isn't paid off, so I can't afford to give up my job, I need the salary."

Maybe he knew himself better than you. If he got a lump sum he might have spent it all on a cybertruck. (I know, I know, there were no cybertrucks back then, but you get my point). Also, many people are at loss what to do with their time when they retire. What would he do if he couldn't see you every day?

:-)

Elan

I remember a similar screen, "KISS with dividends" you posted last year and which I found intriguing. Any follow-up thoughts on that?
https://www.shrewdm.com/MB?pid=693098725

Post New

Mechanical Investing FAQ

---

Contact Shrewd'm
Contact the developer of these message boards.