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James Montier 'Cooking the Books' Screen 32 Qualifying in UK


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James Montier (former Soc Gen global equity strategist) aimed to create a simple scoring system that would highlight companies that may be 'cooking the books'. The C-Score was the result. It measures six inputs including the divergence between net income and cash-flow, increasing days sales outstanding, increasing days sales of inventory, increasing current assets to revenues, declining depreciation relative to PPE and high total asset growth. Montier found that companies with high C-Scores under performed the market by 8% per annum, generating a mere 1.8% return between 1993 and 2007. He recommended using it in tandem with a high valuation measure. A C Score = 5 used in tandem with a Price/Sales Ratio > 2 generated a negative absolute return of 4% p.a. in the US. For a full review of the C Score please click here. To learn more about this strategy please click here »

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About James Montier

Former head of Global Strategy at Société Générale, now works for GMO. Author of 'Behavioural Investing' & 'Value Investing: Tools and Techniques for Intelligent Investment'.


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Value Investing Montier

by James Montier

The seductive elegance of classical finance theory is powerful, yet value investing requires that we reject both the precepts of modern portfolio theory (MPT) and pretty much all of its tools and techniques. This book explains how value investing is the only tried and tested method of delivering sustainable long-term returns.

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

  • Montier C-Score >= 5
  • P/S > 2

Results are sorted by:

  • P/S in descending order


And limited to the first 200 Results

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James Montier 'Cooking the Books' Screen Graphical History in

Returns

Timeframe Screen Returns FTSE 100 Outperformance
1 week -0.35% -0.41% 0.1%
1 month -1.17% -4.69% 3.5%
3 months -2.75% -1.74% -1.0%
6 months 3.33% 7.81% -4.5%
1 year -7.71% 16.34% -24.1%
Since inception -13.11% 18.8% -31.9%
Annualised -8.88%

Risk

Maximum Drawdown-26.20%
Average No. of Holdings24.8
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.

 Please note that 'short selling' strategies are designed to underperform the market - they are best used for hedging long portfolios rather than for absolute negative returns.


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32 Qualifying in

Ticker Name Mkt Cap £m Montier C-Score P/S Sector
Subscriber Subscriber Healthcare  
Subscriber Subscriber Energy  
Subscriber Subscriber Basic Materials  
Subscriber Subscriber Financials  
Subscriber Subscriber Energy  
Subscriber Subscriber Basic Materials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Healthcare  
Subscriber Subscriber Basic Materials  
Subscriber Subscriber Basic Materials  
Subscriber Subscriber Utilities  
Subscriber Subscriber Basic Materials  
Subscriber Subscriber Basic Materials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Industrials  
Subscriber Subscriber Energy  
Subscriber Subscriber Healthcare  
Subscriber Subscriber Industrials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Consumer Defensives  
Subscriber Subscriber Healthcare  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Industrials  
Subscriber Subscriber Consumer Defensives  
Subscriber Subscriber Energy  
Subscriber Subscriber Technology  
Subscriber Subscriber Healthcare  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Industrials  
Subscriber Subscriber Technology  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Consumer Defensives  
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Can't see the share you expect? View this screen as a checklist to find out why.

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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