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cobafdek, I'm on my phone so I'm going to have to keep this shorter than I'd like. First, I'm very happy someone is asking questions. I never posted how I did my calculations or how I got rid of bad companies, and no one has said anything. It kind of makes me wonder... :) Anyway, so have I checked the Compustat data that I've worked with? Not thoroughly, but I'm pretty surprised that when I do check it, it *almost* always seems to be correct. Even with small, foreign companies where the financials are poorly disclosed, but theoretically available. So I have a lot of faith in Compustat so far. On the "bad data" stocks that show up in screens in other places: These honestly don't seem to be showing up in Compustat. For real. (Have I mentioned that I love Compustat! I just wish it didn't cost whatever it does. Something like $50k or so a year. And as an individual, I theoretically can't even buy a subscription if I wanted to.) On the EV calculation: Great question. For minority interest (in a perfect world) I would at least try to find out the industry P/B ratio and apply it to the book value of whatever minority interest was. Since I was doing quick, get-it-out-the-door coding, I just added book value of minority interest as it was in the EV calculation. For preferred shares, I dropped all companies with a complex capital structure (more than just one type of stock outstanding) from my list to simplify things. I figured this wouldn't grossly skew the data since most companies in the US have just one class of stock.

It is a lot of companies :) But, no, I haven't looked at AWLCF.

Ah, so I should read it as the "Company"/"parent" being the top level company/holding company, and then the "Group" as the "Company" with all of its subsidiary financials consolidated into it (when appropriate)? Looking at some of those filings I was talking about, that seems to make a lot more sense than what I was thinking.

Hey all. I've been going over a bunch of British and European filings recently, and I'm a little confused by something in some of their financial statements. You'll occassionally see balance sheets split in two, with one half being attributable to the "Group" and the other half being attributed to the "Company". Does anyone know what this is about and where I can read about why it exists? I'm guessing it has something to do with separating the core business from the rest of the businesses the top-level company might be involved in. But I'd prefer not to assume. Also, some of the Statements of Changes in Equity have label of "Attributable to owners of the parent". I'm guessing this means, for the "Company" part, that the owner of the parent will primarily be the top-level company/holding company, and that the "owners of the parent" for the "Consolidated" Statement (what I'm guessing is the top-level/holding company level company) is the shareholders? Thanks for your help with this!

I should also note that, again, this "study" was very "dumb" (perhaps "unsophisticated" is a better word), and was not a rigorous as (in theory at least) official academic studies. Any conclusions, beyond what the raw data reports, are left to the reader to make ;)

Transaction costs were not considered. Luckily, at least with IB and non-penny stock stocks, this is close to being true for me :) I didn't consider taxes as well. However, I did the study over one year periods exactly so that in theory people could take the Greenblatt approach to taxes, i.e., sell the losers one day before one year to get short-term capital losses on them, and sell the winners one day after one year to get long-term capital gains on them. On rebalancing: I just assume that at the end of each year the positions were all liquidated to cash and put into whatever the top picks were at the current time.

Thanks for the link! So... The EV/EBITDA selection (or EBITDA/EV selection in my case... inverting it makes it easier to sort) may not have been too coincidental ;) I heard about Gray's statement that a simple EV/EBITDA sort out performs the Magic Formula. So, due to that (and partially due to my laziness... an EV/EBITDA sort is ridiculously easy to code), I figured that's what I should test when I got access to compustat. Testing the Magic Formula side of things, for comparison, might take a little longer to do though...

Cycles... Well, if you believe geologists, the planet used to be pretty hot, with no polar cap. It was hot because there was a lot of carbon dioxide (and other gases) in the atmosphere. Because of the lack of polar caps (and a few other issues) there was no circulation in the ocean. Because there was no circulation, when things at the top died (mostly plankton) they fell to the bottom and stayed there. This created massive oxygen-depleted dead zones in the ocean with lots of decayed, use-to-be-living carbon matter at the bottom. Over time, two things happened. First, there were geological movements and this carbon got trapped under rocks, where it got compressed and became the oil and gas we have today. Second, all this trapped carbon allowed the surface to cool down and for ice caps to form, which allowed carbon at the bottom of the ocean to cycle up to the top. Because of this cycling, we've been living in a relatively stable level of carbon world since our species has been in it. My fear is if we release all that trapped carbon, the world will get a lot hotter like it used to (before we, or most other species that exist today, were around), and we'll lose our ice caps. Then we'll get ocean stratification and dead zones in the ocean like we had in the past. *Eventually* the carbon *will* recollect at the bottom and get trapped again. History repeats itself. However, this will probably take longer than our species will be around. I do agree with your friend's father that the world does go through cycles of warming and cooling. However, I'm afraid the recent (and future) increases in temperature are due to more than just a shorter-term cycle effect. This all being said, I look at and in invest in oil and gas companies! And I don't think they're inherently "evil." So I'm just as much of a "problem" as anyone else in the first world, unfortunately. I really hope someone (someone better and smarter than me) comes up with a solution to our current carbon expenditures soon...

Cool. They may have better ones. I mean, honestly, this screen is dumb as a rock. My idea with running this back-test is I just wanted to see myself that the strategies actually work. I always hear "strategy X outperforms the market by N basis points over a time period of three years" or "The Magic Formula has outperformed the market by a million basis points on average since 1982" or statements of the like. However, for better or for worse (probably for better), I don't really trust people when it comes to money. If somebody says their strategy outperforms, I want to see the raw data. Not summary statistics. Now that I've got access to compustat I can finally do that :D. And hopefully with me posting this spreadsheet here, with actual picks instead of just summary data, other people can see this as well (at least for the dumb EBITDA/EV screen).

A more awesome member of the board helped me get access. That's all I can say :D

What about it? On initial glance it looks fine to me... (That doesn't mean it's necessarily bug free though...) Fixed version (and screenshot) attached. The fix makes quite a bit of a difference! Whoops. You're right. I forgot to do the > $500m sort. I'll repost an updated spreadsheet ASAP. Great catch! New (fixed) versions attached to this post (and the first one). EBITDA-to-EV-Sort.2002-2007.for-CoBF_FIXED.xlsx

Because my code is awful (or at least R isn't designed to handle data the way I'm asking it to), it takes about two-thirds of a day to run per year. I actually spun up some VMs on Digital Ocean to do as many years as I could at once to get the data you see. However, they cost money to run them... I'll probably be processing the rest of the years up to last year on my machine (which will take a few days). Then I'll update the spreadsheet.

What about it? On initial glance it looks fine to me... (That doesn't mean it's necessarily bug free though...) Whoops. You're right. I forgot to do the > $500m sort. I'll repost an updated spreadsheet ASAP. Great catch!

What about it? On initial glance it looks fine to me... (That doesn't mean it's necessarily bug free though...)

Before I post this, I want to mention (yet again) that I'm not a quant value investor! I like to research areas where the market has been "rich" in the past so I can hunt there in the future. Or at least understand areas that might be good in the future based on prior "good industries to hunt in" attributes in the past. (Kraven describes it as making sure you're fishing in the right pond.) With that out of the way... Attached is a dumb EBITDA-to-EV sort returns for the US market between 2002-2007. The annual selections were picked at the closing date for the prior year, and then sold at the end of the current year. So, for 2002 for example, the selections were picked on 12/31/2001 and then sold on 12/31/2002. I did this research using Compustat's database so (in theory at least) they are point-in-time and include companies that have subsequently delisted. Suffice it to say, the returns using this dumb model are "satisfactory" I did the sort for all market cap companies, and for companies for market caps above $500m. Attached is also a screenshot for those who don't have Excel. Further disclaimers (such as many of the super nano/pico cap companies might not have had the liquidity to actually buy them) and specifications of my model will be included in a future post. (Which is hopefully coming soon...) UPDATE - RhubarbXIV found a bug in my spreadsheet. The spreadsheet and screenshot attached to this post have been changed from the original ones. EBITDA-to-EV-Sort.2002-2007.for-CoBF_FIXED.xlsx

I'm confused as to what your position is here (and the general position of that Facebook group)...

I couldn't care less about rising ocean levels or temperature levels. Those are really non-issues when it comes to the damage climate change can cause. And, before I say what I'm about to say, I want to mention that I do tend to lean much further right than left on most political issues. With that being said, the real issues with global warming are the acidification of the ocean and, perhaps, much, much more scarily, ocean stratification and the re-creation of massive dead zones in the ocean, which could easily happen in the next fifty to a hundred years. Most people aren't aware of these risks (perhaps because they require that oh-so-difficult second level thinking). And they're absolutely terrifying. Here's a great article in the Economist about it: http://www.economist.com/news/science-and-technology/21571386-global-warming-may-make-northernmost-ocean-less-productive-not-more

If you recommend it, I definitely will add it to my (slowly shrinking) list! I've got to say though, value investing certainly makes it hard for you to read "everything" ;D

Congrats! ;D I am envious. You'll have to let us know how it is. Kraven, have you read the third edition? I picked up a copy for cheap some years ago, but I'm a little hesitant to read it since there may be better editions to spend time on? Plus, after reading Security Analysis, I'm wondering if it will teach me anything new?

Whoa! I don't know how I missed this thread! Talk about a hidden gem. I'm going to pull a reddit and reply solely to "bookmark" this thread for later review. Thanks for posting!

Falling asleep... Sorry if I'm not answering/misunderstanding your question. Treat acquisitions like capex, especially if acquisitions seem to be regular in nature. Then figure out the return on that capex like you would on any other capex. For this it helps to separate out MCX vs. expansion capex (in theory, the acquisitions in this discussion). MCX is best estimated by knowing the industry, but it can be second best estimated by looking at the historic sales/capital ratio.

Uh oh. Maybe someone isn't capitalizing operating leases? But then again, I wonder if his back-testing capitalized operating leases when it got its market beating returns?...

Check out google trends: http://www.google.com/trends/explore#q=fiat Click the forecast button for quantitatively based forecasts. Unfortunately, the y-axis has no absolute value, but is purely relative. The tool is still useful though. For twitter, et al. there are similar tools. I don't know what they are offhand though.

I'm excited to hear people's thoughts on this ;D

I don't have access to any English annual reports beyond what the company publishes. There was something on the Fujimak thread about translating stuff, as mentioned above, but I'd have to go back and look at it to find it. Packer, translating those pages in Google Chrome doesn't work for me either for some reason. Other pages, like http://finance.yahoo.co.jp/ for example, seem to work fine. I could probably write something to fix whatever's going on, but I'm going to be pretty busy until next weekend. If someone wants to email/pm me at that point to remind me to look into this (assuming no one else has come up with a solution in the meantime), it would be much appreciated!