Saturday, 19. August 2017  
15.05.2016 14:09
Author: Nic Wright

STOCK SCREEN: O'Shaughnessy Screen Of European Large Caps With Solid Upside To Intrinsic Value

 

O'Shaughnessy stock screen criteria are a combination of simple fundamental factors and stock price momentum. On the importance of staying simple and using only easy-to-understand ratios, O’Shaughnessy once opinioned: “If the math gets higher than algebra, it’s pretty certain you will lose your money.

 

In his well-known book "What Works on Wall Street" James O'Shaughnessy provides a detailed look at the results of different investment strategies over time combining value investing principles with relative strength. He found that choosing stocks based on relative strength, i.e. 6-month or 12-month was a strategy that outperformed the market. However, adding value based criteria like price-to-earnings (P/E), price-to-book (P/B), or price-to-sales (P/S), significantly increases performance. Applying O'Shaughnessy's selection approach we screened for stocks with above average relative strength and low price-to-sales multiple. Additionally we required a positive Margin-Of-Safety based on our model’s Intrinsic Stock Value estimate.

 

Here are the filter criteria we used:

1. Market capitalization is greater than or equal to 1bn.

2. Price-to-sales ratio must be in the bottom 30 percent.

3. Relative price strength over 12 months.

4. Margin-of-Safety greater than 10 %, according to our Greenblatt based Fair-Value-Upside estimate.

 

Here is our list of stocks matching all criteria ranked by O'Shaughnessy score. Company names in the table below are linked to the ANALYZER, our single stock analysis tool. Intrinsic Value Model assumptions can be adapted in the MODELER, our modeling and forecasting environment:

CLICK COMPANY NAME FOR DETAILED STOCK VALUE ANALYSIS

INDUSTRY

LAST PRICE

MARKET CAP.

GREENBLATT UPSIDE [%]

PRICE / EARNINGS

DIVIDEND YIELD [%]

O'SHAUGHNESSY SCORE [0-100] (100=BEST)

 SAINSBURY (J) PLC

 Food

257.30

4956

20.5

11.4

4.1

99.6

 CNP ASSURANCES

 Insurance

14.27

9798

25.3

8.6

5.4

99.5

 TALANX AG

 Insurance

28.56

7220

34.2

9.2

4.7

99.5

 STOREBRAND ASA

 Insurance

33.20

14937

31.4

8.4

2.4

99.0

 IMPLENIA AG-REG

 Construction

65.70

1214

50.7

15.1

3.0

98.8

 AUTONEUM HOLDING AG

 Auto Parts

224.00

1047

89.8

13.6

2.6

98.3

 ROYAL MAIL PLC

 Transportation

496.30

4958

12.2

13.9

4.4

98.2

 ARKEMA

 Chemicals

71.88

5428

11.7

14.0

2.9

97.6

 ESURE GROUP PLC

 Insurance

273.90

1142

52.0

16.3

4.4

95.6

 CREST NICHOLSON HOLDINGS

 Home Builder

554.50

1407

69.5

9.4

5.0

95.6

 INTERCONTINENTAL HOTELS GROU

 Lodging

2628.00

7534

19.3

16.9

2.5

93.7