This screen seeks to emulate the style of Bill Miller, manager of Legg Mason Value Trust. Miller’s strategy focuses on identifying securities that are trading below their intrinsic value, but differs from many value managers in that he focuses on cash earnings, not accounting earnings. He looks for firms that may be undervalued based on the present value of future cashflows, although this is not easy to screen for in detail. He says: "Ideally, what we want is a company... that has tremendous long-term economics and those economics are either currently obscured by macroeconomic factors, industry factors, company-specific factors, or just the immaturity of the business." Diversification is a crucial element in Miller’s strategy but he aims for diversification among the stocks it incorporates, rather than the sheer quantity. By focusing on companies that are being shunned by the market, this strategy takes on higher risks in hope of higher returns. The value moniker for his Fund is perhaps misleading because Miller has bought many Internet “growth” stocks. You can read more about Miller's approach here. To learn more about this strategy please click here »
Chairman and Chief Investment Officer of Legg Mason Capital Management. Beat the S&P 500 index for 15 consecutive years from 1991 through 2005.
Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management
by Ludwig B Chincarini, Daehwan Kim
This book discusses the approach of Bill Miller, manager of Legg Mason Value Trust. He became famous for beating the S&P 500 fifteen years in a row from 1990 to 2005, although his more recent performance has not been as good, due to difficult bets on financials like Bear Stearns, Countrywide, and Freddie Mac.
This screen is based on a UK dataset.
It uses the following criteria:
Results are sorted by:
And limited to the first 50 Results
| Timeframe | Screen Returns | FTSE 100 | Outperformance |
|---|---|---|---|
| 1 week | 5.71% | 0.05% | 5.7% |
| 1 month | 26.75% | 6.63% | 20.1% |
| 3 months | 31.22% | 5.70% | 25.5% |
| 6 months | 69.41% | 15.64% | 53.8% |
| 1 year | 128.88% | 23.94% | 104.9% |
| Since inception | 180.18% | 24.0% | 156.2% |
| Annualised | 104.13% |
| Maximum Drawdown | -11.45% |
| Average No. of Holdings | 2.6 |
| Diversification Level | Low |
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.
| Ticker | Name | Mkt Cap £m | P/FCF | FCF | FCF 1y Ago | PEG TTM | Sales 5y CAGR % | Mkt Cap £m | Debt To Assets | RS 1y | Sector | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Subscriber | Subscriber | Industrials | ||||||||||
| Subscriber | Subscriber | Financials | ||||||||||
| COMPARE | ||||||||||||
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