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Workshop Portfolio Workshop Screen Explanations

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NOTE: The Workshop has been discontinued. Please see the final Workshop Report for an explanation.

In the year 2001 the Foolish Workshop will keep tabs on 14 specific models. We have added the CAPRS and LowPB models this year. They have been shown to be important elements of many of our community member's portfolios, and will be included in the real money Workshop Portfolio we'll be tracking here this year.

An investor may choose to buy any number of the top stocks that these screens turn up. For example, you may choose to buy the top 4, top 5, or even the top 10. As a general rule, the more stocks you hold from each screen, the lower your returns are, BUT you also reduce volatility and these screens can be very volatile. Buying fewer than four stocks from any one screen would be very, very risky. For convenience, we have chosen to show the historic returns for 5 and 10 stock portfolios for each screen if available. See "Notes on the Returns" at the bottom of this page for additional information.

For general background on the data sources for the following screens, see:

CAPRS: Starting with all of the stocks ranked Timeliness 1 by the Value Line Investment Survey, select the 55 largest by market capitalization. Rank these, from highest to lowest by 1-year Total Return.

                                        Annual
           Returns  Quar-  Semi-         (Jan.
Screen     Monthly  terly annual Annual start)
CAPRS-5     43%      49%   46%     35%    27%
CAPRS-10    35%      38%   40%     32%    24%

Formula 90: Starting with all of the stocks ranked Timeliness 1 by the Value Line Investment Survey, select only the stocks that have an EPS (Earnings Per Share) score in Investor's Business Daily of at least 90, then sort those stocks by the RS (Relative Strength) score also found in Investor's Business Daily. For the portfolio, select the stocks with the highest RS ranking. Ties are broken using the EPS score. (If you use a simultaneous dual sort, first sort by RS descending, then by EPS descending -- after selecting only the stocks with EPS above 90.)

                                        Annual
           Returns  Quar-  Semi-         (Jan.
Screen     Monthly  terly annual Annual start)
Formula90-5   47%   35%     30%    26%    28%
Formula90-10  44%   35%     30%    25%    27%

Keystone: Starting with all of the domestic (Domicile Code = US) stocks ranked Timeliness 1 or 2 by the Value Line Investment Survey, narrow the field to the 30 stocks with the largest Market Capitalization. Of those 30, choose the stocks with the highest Total Return (26 week).

KeystoneEPS: This screen begins with the top 10 stocks selected by the Keystone screen above. Number the top 10 Keystone stocks from 1-10. Sort these 10 again by 12-Month % EPS Chg Latest Q and renumber them from 1-10, retaining the old ranks. Add the two rankings together and sort ascending (lowest at the top) on the combined rank. To break ties, use the Total Return (26 week) value (higher return equals a lower (better) rank).

Keystone100: Starting with all of the stocks (excluding those traded on the TSE) ranked Timeliness 1 or 2 by the Value Line Investment Survey, narrow the field to the 100 stocks with the largest Market Capitalization. Of those one hundred choose the stocks with the highest Total Return (26 week).

                                        Annual
           Returns  Quar-  Semi-         (Jan.
Screen     Monthly  terly annual Annual start)
Keystone-5   24%     30%    30%    31%    24%
Keystone-10  26%     27%    27%    27%    24%
KeyEPS-5     29%     33%    33%    32%    30%
Key100-5     28%     37%    38%    34%    36%
Key100-10    24%     27%    29%    28%    26%

Low Price to Book Value (also known as LowPB): Select the 500 largest companies by market capitalization from the Value Line Investment Survey. Sort them in ascending order on the ratio of stock price to "book value per share." Exclude stocks with a negative ratio.

                                         Annual
           Returns  Quar-  Semi-         (Jan.
Screen     Monthly  terly annual Annual start)
LowPB-5      18%     21%    22%    23%    22%
LowPB-10     16%     16%    17%    19%    18%

PEG (also known as PEG26): For stocks ranked Timeliness 1 or 2 by the Value Line Investment Survey and with a positive Current P/E take the 25 stocks with the highest Total Return (26 week). From those, take the 10 stocks with highest Projected EPS Growth Rate. Sort these in ascending order by PEG (Current P/E divided by Projected EPS Growth Rate). Select the stocks with the lowest PEG ratios.

PEG13: For stocks ranked Timeliness 1 or 2 by the Value Line Investment Survey and with a positive Current P/E take the 25 stocks with the highest Total Return (13 week). From those, take the 10 stocks with highestProjected EPS Growth Rate. Sort these in ascending order by PEG (Current P/E divided by Projected EPS Growth Rate). Select the stocks with the lowest PEG ratios. This is identical to PEG26 except that 13-week total returns are substituted for 26-week total returns.

                                        Annual
         Returns  Quar-   Semi-           (Jan.
Screen   Monthly  terly  annual  Annual  start)
PEG26-5    39%     43%    38%     27%     33%
PEG26-10   32%     34%    34%     29%     32%
PEG13-5    53%     36%    33%     27%     17%
PEG13-10   36%     31%    30%     28%     25%

Plowback: From the Value Line Investment Survey, select the stocks with % retained to common equity (Plowback Ratio) greater than or equal to 25%. Sort descending (highest at the top) by Market Capitalization. Select the top 20 stocks. Sort those 20 descending (highest at the top) by Total Return (26 week). Select the stocks with the highest total return.

                                         Annual
           Returns  Quar-  Semi-          (Jan.
Screen     Monthly  terly annual  Annual start)
Plowback-5   28%      29%    32%    31%    28%
Plowback-10  23%      25%    25%    25%    22%

Relative Strength -- IBD: Starting with all of the stocks ranked Timeliness 1 by the Value Line Investment Survey, select stocks based on the highest RS (relative strength) percentile score in Investor's Business Daily. Ties are broken using the EPS (earnings per share) score. (If you use a simultaneous dual sort, first sort by RS descending, then by EPS descending.)

Relative Strength - 26 Week (RS26): Starting with all of the stocks ranked Timeliness 1 by the Value Line Investment Survey, select the stocks with the highest Total Return (26 week).

Relative Strength - 13 Week (RS13): Starting with all of the stocks ranked Timeliness 1 by the Value Line Investment Survey, select the stocks with the highest Total Return (13 week). Yep, this is identical to Relative Strength - 26 Week except it uses the 13 week total return figures.

                                        Annual
           Returns  Quar-  Semi-         (Jan.
Screen     Monthly  terly annual Annual start)
RSIBD-5     45%     34%     31%     25%   28%
RSIBD-10    45%     35%     31%     26%   27%
RS26-5      44%     48%     43%     33%   26%
RS26-10     39%     39%     37%     29%   33%
RS13-5      51%     38%     37%     31%   22%
RS13-10     36%     31%     31%     28%   22%

Spark: Taking all of the stocks ranked Timeliness 1, 2, or 3 by the Value Line Investment Survey, filter for the following attributes:

  1. Total Return (26 week) is greater than or equal to 20%
  2. %EPS 12-month Chg Latest Qtr is greater than or equal to 20%
  3. %EPS Change from Last Quarter is greater than or equal to 20%
  4. Estimated % EPS Change for the Fiscal Year is greater than or equal to 29%.

Sort the remaining stocks by Market Capitalization and select the top stocks.

                                        Annual
           Returns  Quar-  Semi-         (Jan.
Screen     Monthly  terly annual Annual start)
Spark-5     20%     32%     31%    28%     33%
Spark-10    19%     26%     27%    24%     25%

Unemotional Growth: Starting with all of the stocks ranked Timeliness 1 by the Value Line Investment Survey, select the stocks with the highest EPS (Earnings Per Share) score in Investor's Business Daily. Ties are broken using the RS (Relative Strength) score, also from Investor's Business Daily. (If you use a simultaneous dual sort, first sort by EPS descending, then by RS descending.) This model, one of the original Unemotional Investor screens.

                                          Annual
         Returns  Quar-   Semi-           (Jan.
  Screen  Monthly  terly  annual  Annual  start)
UG-5        20%     20%     19%    13%     17%
UG-10       18%     18%     16%    12%     12%

Notes on the Returns: The monthly and January start returns were calculated for 15 years, starting with January 1986 and ending with January 2000. The quarterly, semi-annual, and annual returns quoted in the tables above are the average for 12 portfolios following that strategy (e.g., the PEG Quarterly Strategy is the average for 12 portfolios, the first starting at the beginning of January 1986 and renewing in April 1986, June 1986, etc., every three months through the end of December of 1999; the next starting in February 1986 and renewing in May 1986, July 1986, etc. through January 2000, etc. through the final portfolio that started in December 1986, and renewed every three months ending in November 2000.) So returns for porfolios other than monthly and "January annual" cover 14 year periods.

For each strategy, the CAGR (Compound Annual Growth Rate) was calculated for 5- and 10-stock versions renewing every month, quarter, half year, and year.

We have data available to display the returns for each starting month separately, but most likely the fluctuations between starting months are due to chance. Several strategies appear to have consistently better returns when started in January, however, so we show the January returns for annual strategies separately. (The regular annual returns include all starting months in their average.) Readers are cautioned that the January results are not necessarily as reliable as the averaged results.

Note on monthly strategies: Before jumping into a monthly strategy, please read this article about the possibly high costs of monthly strategies: More on Costs.

The current stocks selected by each screen are listed at Current Rankings. Year-to-date returns for the current year are tracked at Workshop Returns.

The following articles may be helpful for newcomers to this area:



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