Favorite Stock Screens?

[west]

Packer, every book and every strategy I've read about does a naive equal weighting for the basket.  30 stocks in the basket?  Each stock gets 1/30th of the portfolio.

 

I don't do basket based approaches myself (I like to know what's going on with the companies I own) and I honestly don't know anyone else who uses them in real life.  Except for (I think his name is?) txtaio on this board, if I remember correctly.

 

Edit: Thinking about it, I guess I do do a basket based approach with my Japanese investments.  I generally equally weight things as well, at least as well as I can considering the minimum order block requirements for the stocks.

 

[topofeaturellc]

One question I have always had about basket investors is how they tradeoff cheapness and weighting?  I have a tendency to weight cheaper stocks heavier than more expensive stocks and use the Kelly Formula to provide a ceiling for my security weightings.  For an enterprising investor, interested in capital growth, I have always been reluctant to reduce the weighted average cheapness of my portfolio for diversification.  How do you handle this tradeoff?

 

Packer

Well there really aren't many basket folks. I think lots of those guys will all tell you they do fundamental research, even if all they are really doing is making sure the data is correct and rejecting leverage/structurally low ROC that implies serial equity raises.  Often there may be other little heuristics as well - those tend to be idiosyncratic across fifrms.

 

I dont think you can generalize.  Certainly many guys I know have one or maybe two position sizes at purchase - and usually the difference isn't discount to IV so much as B/S and known unknowns. 

[Patmo]

I just use Google's... Does the job.

[west]

One question I have always had about basket investors is how they tradeoff cheapness and weighting?  I have a tendency to weight cheaper stocks heavier than more expensive stocks and use the Kelly Formula to provide a ceiling for my security weightings.  For an enterprising investor, interested in capital growth, I have always been reluctant to reduce the weighted average cheapness of my portfolio for diversification.  How do you handle this tradeoff?

 

Packer, it looks like Greenblatt goes beyond naive equal weighting in his new funds and weights things by undervaluation instead:

 

http://online.barrons.com/news/articles/SB50001424127887324616904580108330021565828

[LC]

Article on a screening technique

 

http://alephblog.com/2014/08/30/using-mean-reversion-and-momentum-for-possible-advantage/