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Josef Lakonishok Screen 62 Qualifying in UK


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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 »

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About Josef Lakonishok

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


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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

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Josef Lakonishok Screen Graphical History in

Returns

Timeframe Screen Returns FTSE 100 Outperformance
1 week 0.43% 0.05% 0.4%
1 month 6.10% 6.63% -0.5%
3 months 5.98% 5.70% 0.3%
6 months 18.67% 15.64% 3.0%
1 year 26.61% 23.94% 2.7%
Since inception 30.82% 24.8% 6.0%
Annualised 20.49%

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.


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62 Qualifying in

Ticker Name Mkt Cap £m P/E P/FCF P/B P/S RS 6m RS 3m EPS Surprise %, Last Yr 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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