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Benjamin Graham NCAV Bargain Screen 62 Qualifying in UK


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This is a deep value screen based on Ben Graham's writings. It is a simplistic screen which just looks for stocks where the market cap is less than net current asset value. It is not to be confused with his more involved Enterprising Investor and Defensive Investor criteria which have been modelled separately. As a reminder, NCAV = Current Assets - Total Liabilities. That's a stringent requirement, since most companies have negative NCAVs but Graham was looking for firms trading so cheap that there was little danger of falling further. In addition, Graham would have requested a margin of safety of at least 33%, so his P/NCAV threshold would have been 0.66. Graham argued such companies were typically priced at significant discounts to the likely value that stockholders could receive in an actual sale or liquidation of the entire corporation. Because of the kind of unloved/troubled companies it generates, this is not a strategy for the faint-hearted. Graham sought safety from individual bankruptcy risk by diversifying his portfolio with a large numbers of companies – he suggested 30.   To learn more about this strategy please click here »

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About Benjamin Graham

Known as the Father of Value Investing, wrote the Intelligent Investor


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The Intelligent Investor: The Classic Text on Value Investing

by Benjamin Graham

Researchers Xiao and Arnold tested out the NCAV strategy outlined in Benjamin Graham's "The Intelligent Investor" on the London market and found that stocks with an NCAV/MV greater than 1.5 displayed significantly positive market-adjusted returns (annualized return up to 19.7% per year) over five holding years.

This screen is based on a UK dataset. It uses the following criteria:

  • P/NCAV < 1
  • 3m Avg Vol > 0.25
  • Sector not in F inancials,

Results are sorted by:

  • P/NCAV in ascending order


And limited to the first 200 Results

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Benjamin Graham NCAV Bargain Screen Graphical History in

Returns

Timeframe Screen Returns FTSE 100 Outperformance
1 week 0.90% -0.50% 1.4%
1 month -0.08% 3.87% -4.0%
3 months -0.59% 5.03% -5.6%
6 months 22.83% 14.35% 8.5%
1 year 34.97% 26.35% 8.6%
Since inception 34.67% 24.0% 10.7%
Annualised 22.90%

Risk

Maximum Drawdown-23.93%
Average No. of Holdings24.4
Diversification LevelGood

 Chart based on an equal weighted portfolio of max 25 stocks rebalanced quarterly. Qualifying shares below updated daily. Past performance not indicative of future returns.


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62 Qualifying in

Ticker Name Mkt Cap £m P/NCAV 3m Avg Vol Sector
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You should consider the results of any screening process, including this one, as candidates for further research, not as a buy list. Screening helps to narrow a search based on pre-defined criteria. It is not a substitute for independent research reflecting your individual criteria for investing/trading. Please note that the screening criteria used represents Stockopedia's interpretation of the author's investment approach and are not determined or endorsed by the original strategist.



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