Stockopedia | Share Prices, Share News and Company Research

+ Create Screen



Fork it!

Josef Lakonishok Screen 57 Qualifying in UK


Read the Source »

A value and momentum screen focused on finding under-valued, out-of-favor companies just at the point when the market is starting to recognise them. According to Lakonishok, investors have judgmental biases and behavioral weaknesses including the tendency to extrapolate the past too far into the future, to wrongly equate a good company with a good investment irrespective of price, to ignore statistical evidence and to develop a "mindset" about a company. As a result, "value stocks become underpriced and glamour stocks become overpriced relative to their fundamentals".  This screen looks for: At least one of Price-to-book, price-to-cash-flow, price-earnings or price-to-sales ratios more favourable than the industry  6 Month relative strength above zero  3 month relative strength above zero EPS Surprise or a trending revision in the analyst consensus To learn more about this strategy please click here »

Picture of Josef Lakonishok

About Josef Lakonishok

CEO and CIO of LSV Asset Management. Former Professor of Finance at the University of Illinois.


Learn More »

Contrarian Investment, Extrapolation, and Risk

by Josef Lakonishok

Featured in Jonathan Burton's Investment Titans, Josef Lakonishok has published numerous papers analysing why and how value & momentum strategies can outperform the market - they are available at this link.

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

  • P/E < IndustryGroupMedian
  • RS 6m > 0
  • RS 3m > 0
  • EPS Surprise %, Last Yr > 0
  • Mkt Cap £m > 30

Results are sorted by:

  • RS 6m in descending order


And limited to the first 200 Results

Can these rules be improved? Submit a suggestion »
Want to make your own version? Create a Fork!

Josef Lakonishok Screen Graphical History in

Returns

Timeframe Screen Returns FTSE 100 Outperformance
1 week 3.74% 2.60% 1.1%
1 month 7.75% 8.23% -0.5%
3 months 7.82% 6.66% 1.2%
6 months 21.05% 18.37% 2.7%
1 year 30.09% 29.17% 0.9%
Since inception 32.62% 26.8% 5.8%
Annualised 21.73%

Risk

Maximum Drawdown-12.75%
Average No. of Holdings24.9
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 subscribe to see the companies that qualify for the Josef Lakonishok Screen Strategy.
Plans start from as little as 24.99 per month. 14 day FREE TRIAL available.

57 Qualifying in

Ticker Name Mkt Cap £m P/E P/FCF P/B P/S RS 6m RS 3m EPS Surprise %, Last Yr Sector
Subscriber Subscriber Healthcare  
Subscriber Subscriber Healthcare  
Subscriber Subscriber Industrials  
Subscriber Subscriber Financials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Utilities  
Subscriber Subscriber Utilities  
Subscriber Subscriber Financials  
Subscriber Subscriber Technology  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Financials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Industrials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Financials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Consumer Defensives  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Industrials  
Subscriber Subscriber Consumer Defensives  
Subscriber Subscriber Financials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Industrials  
Subscriber Subscriber Financials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Financials  
Subscriber Subscriber Financials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Industrials  
Subscriber Subscriber Financials  
Subscriber Subscriber Financials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Industrials  
Subscriber Subscriber Telecoms  
Subscriber Subscriber Consumer Defensives  
Subscriber Subscriber Consumer Defensives  
Subscriber Subscriber Financials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Financials  
Subscriber Subscriber Consumer Defensives  
Subscriber Subscriber Consumer Defensives  
Subscriber Subscriber Financials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Industrials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Financials  
Subscriber Subscriber Financials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Industrials  
Subscriber Subscriber Technology  
COMPARE
DOWNLOAD

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.



Read the Guide Watch the Video