NCAVPS Strategy Issue

Research
1

Hello, this is my first post on the forum.

I am trying to set the rule of Benjaming Graham to buy stocks selling under their Net Current Asset Value Per Share (NCAVPS) = (Current Assets - Total Liabilities) / Shares Outstanding

Therefore I put the following rule:

Price < (AstCurQ - LiabTotQ)/SharesQ

Using it on the all U.S. stocks universe i obtain 1 corresponding stock in 2002,2003,2004,2006,2010,2013,2015, and 3 in 2009. Therefore i really think that something is wrong with the rule i put.

Can someone please help me?

2

Pierre - I put your rule into a screen and I get a lot more stocks: https://www.portfolio123.com/app/screen/summary/161729?st=0&mt=1

If you use a good universe such as PRussell3000 then there are a couple of years with 0 or 1 stock. THere is nothing wrong, the rule is too demanding.

Steve

3

Thank you stockmarketstudent.

I did not think that it was too demanding.

4

As a ranking factor; https://www.portfolio123.com/app/screen/summary/161748?st=1&mt=1

Walter

5

And again, it is interesting to see a “classical value rule” perform worse in down markets.

6

thanks for posting this Walter. what are returns like when sp1500 or r1000 is used?

7

The sp1500 and PR1000 screen results are here;
NCAVPS Rank - SP1500
NCAVPS Rank - PR1000

Best,
Walter

EDIT: Please note the lack of liquidity filters.

8

crastogi,
the screens that Walter thankfully provided should be comparably easy to modify for yourself.

For example, use the settings tab to choose a universe and to adjust the ranking formula according to your needs.
In the backtest tab you can change the rebalance frequency and see the results of your backtested screen (hit: RUN BACKTEST on the top right).

For getting started, I suggest looking through the pre-defined P123-screens if you like DIY or check out the tutorials .

Happy modelling!

9

Thanks Walter!