Scott’s Investments submits:

The purpose of this article is a final follow-up to my value investing screen/backtest based on reader comments and suggestions. To review my previous articles, I backtested a value strategy based on the following criteria starting in 1/1/2002 which rebalanced every 4 weeks and assumed .5% slippage.

  • Price to Book < 1
  • Return on Equity Last 12 Months > 0
  • Return on Assets Last 12 Months > 0
  • Total Debt to Equity < 40%
  • Current Ratio > 3
  • Price to Free Cash Flow Trailing 12 Months <15
  • Projected Earnings Next Fiscal Year > 0
  • No OTC Stocks

I backtested the same value investing strategy but which purchased passing companies only if the S&P 500 Index was also above its 200 day moving average.

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