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.