No. of Recommendations: 5
*** 7. High Net Income Low PE screen ***
These are a series of extreme screens, run at depths of 10 and 100. The {NIPE} screen looks for high net income and very low PE, and can uncover survivorship bias. CAGR for these screens over the 10-year backtest:
Screen GTR1 P123 diff CorMER sdCG nSD
Low10Volume -19.7% -16.3% 3.5% 0.67 3.2% 1
High10Volume -14.4% -10.9% 3.5% 0.77 5.3% 1
NIPE10 -8.3% -1.6% 6.7% 0.88 1.2% 6
Low10Price -13.5% -5.8% 7.7% 0.90 4.7% 2
High100Volume 4.5% 8.5% 4.0% 0.93 1.9% 2
Low100Volume 0.0% 5.2% 5.3% 0.95 1.1% 5
NIPE100 7.2% 8.7% 1.5% 0.98 1.0% 2
Low100Price -2.6% 2.2% 4.8% 0.99 1.2% 4
sdCG is the standard deviation of the 19 GTR1 daily start dates.
nSD is the number of sdCG that separate GTR1 and P123.
There is good general agreement, with similar CAGR and high CorMER. But all 8 screens show higher P123 CAGR.
The 10-deep volume screens have lower CorMER, highlighting a possible difference between GTR1 and P123. The high sdCG indicates the difference may be due to the backtest start date for these screens.
=== screen definitions ===
P123 {NIPE10}
Universe(ALLFUND)
!IsMLP & !IsOTC & !IsUnlisted & !IsADR
SecurityType = Common
NetIncBXorTTM >= 100
PEExclXorTTM > 0
FOrder("PEExclXorTTM", #Previous, #ASC) <= 10 // lowest PE
P123 {High100Volume} is {Base} with
FOrder("AvgDailyTot(10) / AvgDailyTot(63)", #Previous) <= 100
P123 {LowPrice10} is {Base} with
FOrder("Price", #Previous, #ASC) <= 10
=== links ===
https://gtr1.net/2013/?~gNIPE10:h19::styp.a:et10!1...https://gtr1.net/2013/?~gHigh100Volume:h19::styp.a...https://gtr1.net/2013/?~gLowPrice10:h19::styp.a:et... 