Joseph Piotroski, a University of Chicago accounting professor, came up with a nine point scoring mechanism for stocks. It was designed to be applied to value investment in low P/B stocks, but it is useful for any set of stocks. The analysis is based on accounting fundamentals and consists of awarding one point for each of the following tests:
My scans differ from the basic algorithm by adding an additional 1/2 point if a company increases shares by less than 3%. This helps to distinguish companies that issue a large number of shares for acquisition or financing purposes from those that issue a small number of shares for motivational and other purposes (e.g. stock option awards). Also, when data is not available from the sources used, the number of missed tests is noted. This often occurs for companies in sectors like banking or REITs where particular ratios are not followed because they are not deemed meaningful.
Note: As of mid-June 2006, data for financial statement information is obtained from Google instead of Morningstar. The data is slightly different than that of Morningstar. In any case, always verify any numbers and calculations with a company's SEC statements before investing.
The Perl script to scan individual tickers can be downloaded here (rename appropriately). A version of perl for your platform is required to run the script. A prepackaged installation for Windows can be downloaded here. I have not tried the application on a Windows box, but it should be portable.
Joel Greenblatt describes a method of selecting stocks in his book The Little Book That Beats the Market based on two attributes:
Stocks are ranked by each factor and then those ranks are added to determine the overall rank of the stock. You can get more information from the Magic Formula Investing site as well as prepared lists of stocks.
The table shown here is derived from data obtained from Google Finance. Balance sheet data is obtained from the stock's latest Interim Balance Sheet financial statement which typically provides the last reported quarter's information. Income statement data is obtained by totaling 1-years worth of the stock's Interim Income Statement financial statement which typically results in the twelve trailing month's income information. Current stock valuation is obtained by using the Yahoo Finance quote server.
The following algorithm is applied to determine the two attributes:
Be careful when using this data without further investigation. Sometimes, the source data on Google is incorrect especially when it comes to non-recurring expenses and other income used for the EBIT calculation.
Note: As of mid-June 2006, data for financial statement information is obtained from Google instead of Yahoo. The data is slightly different than that of Yahoo. In any case, always verify any numbers and calculations with a company's SEC statements before investing.
The Perl script to scan individual tickers can be downloaded here (rename appropriately). A version of perl for your platform is required to run the script. A prepackaged installation for Windows can be downloaded here. I have not tried the application on a Windows box, but it should be portable.
These are scans of holdings or purchases of stock by investment institutions.
The first scan reports the top holdings of a group of top value mutual funds. This scan uses the top 25 stocks held by the mutual funds, as reported by Morningstar.com, and provides information on holdings that is organized by complex, fund, and individually. The other two scans report holdings and purchases of selected Hedge funds and other Institutions. These scans use information reported on the Nasdaq.com which comes from information gathered from SEC filings.