This screen involves seeking out stocks that are covered by few, if any, financial analysts and attempting to discover sources of value that may have been overlooked by other investors. Neglected firms tend to be small, low-profile companies that have not received much media attention. Areas of the market that attract media attention, public interest or sophisticated institutional followings are more likely to be properly priced than areas that are off the beaten track. To learn more about this strategy please click here »
Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management
by Ludwig B Chincarini, Daehwan Kim
Offers details for selecting and aggregating factors, building a risk model, and more.
This screen is based on a UK dataset.
It uses the following criteria:
Results are sorted by:
And limited to the first 200 Results
Neglected Firms Screen Graphical History Returns| Timeframe | Screen Returns | FTSE 100 | Outperformance |
|---|---|---|---|
| 1 week | 0.40% | 1.44% | -1.0% |
| 1 month | 1.74% | 6.08% | -4.3% |
| 3 months | -3.54% | 5.68% | -9.2% |
| 6 months | 10.82% | 19.31% | -8.5% |
| 1 year | 14.61% | 23.73% | -9.1% |
| Since inception | 37.10% | 25.3% | 11.8% |
| Annualised | 24.80% |
Risk| Maximum Drawdown | -6.96% |
| Average No. of Holdings | 18.9 |
| Diversification Level | Good |
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.
Can't see the share you expect? View this screen as a checklist to find out why.
