I portafogli dei guru: Benjamin Graham

Sul sito del Nasdaq è possibile utilizzare uno stock screener quantitativo che seleziona quei titoli quotati sui mercati USA (AMEX, NASDAQ, NYSE e OTC) che verificano dei criteri di selezione conformi a popolari semplici strategie di investimento quantitative:

• Growth/Value Investor - Related article
  Based on the book by James P. O'Shaughnessy  
• P/E Growth Investor
  Based on the book by Peter Lynch
• Small Cap Growth Investor
  Based on the book by The Motley Fool
• Momentum Investor
  Based on the book by Validea Momentum Strategy
• Value Investor
  Based on the book by Benjamin Graham
• Price/Sales Investor
  Based on the book by Kenneth Fisher
• Contrarian Investor
  Based on the book by David Dreman
• Growth Investor - Related Article
  Based on the book by Martin Zweig 

Dal luglio del 2003 Validea.com ha costruito dei portafogli ribilanciati mensilmente costituiti da 10 azioni
che soddisfano i criteri di selezione dei diversi "guru".

Rebalancing Period:	Monthly Quarterly Annual	Filter our model portfolios using the drop down boxes to the left. You can filter based on the number of stocks in the portfolio, the rebalancing time frame, and the period over which the return is calculated.
Portfolio Size:	10 Stocks 20 Stocks
Return Period:	Total Since Inception Annual Since Inception Year To Date Past 12 Months Past 6 Months Past 3 Months Past Month Past Week 2010 2009 2008 2007 2006 2005 2004 2003 (Partial Year)
Investing Style:	All Value Growth Value & Growth Dividend

Model Portfolio	Based on Book By/About	Date of Inception	Annualized Return	S&P 500 Return	Accuracy	Beta
Individual Guru Portfolios - Monthly Rebalancing
Value Investor	Benjamin Graham	7/15/2003	16.4%	3.3%	57.3%	1.20
Small-Cap Growth Investor	Motley Fool	7/15/2003	15.0%	3.3%	51.1%	1.10
Price/Sales Investor	Kenneth Fisher	7/15/2003	13.5%	3.3%	60.1%	1.21
Earnings Yield Investor	Joel Greenblatt	12/2/2005	10.4%	0.2%	50.6%	1.02
P/E/Growth Investor	Peter Lynch	7/15/2003	9.7%	3.3%	58.7%	1.14
Growth/Value Investor	James P. O'Shaughnessy	7/15/2003	9.2%	3.3%	53.4%	0.99
Contrarian Investor	David Dreman	7/15/2003	9.1%	3.3%	60.2%	1.24
Book/Market Investor	Joseph Piotroski	2/27/2004	9.0%	1.6%	60.9%	1.36
Growth Investor	Martin Zweig	7/15/2003	8.4%	3.3%	56.5%	1.06
Low PE Investor	John Neff	1/2/2004	3.7%	2.0%	54.3%	1.17
Patient Investor	Warren Buffett	12/5/2003	3.7%	2.6%	55.7%	1.06
Momentum Investor	Validea	7/15/2003	3.3%	3.3%	43.5%	0.98

Nel complesso la maggior parte di questi portafogli se l'è cavata piuttosto bene (se non si tiene conto dei costi di transazione e dei problemi di impatto degli ordini e di liquidità dei titoli selezionati). Il migliore è costruito selezionando i titoli secondo i criteri del value investing descritti da Benjamin Graham nel suo classico The Intelligent Investor (qui sotto potete leggerne un estratto, grazie a scribd.com, io l'ho comprato su Amazon, lo sto leggendo in questi giorni e lo raccomando caldamente):

Widely recognized as the father of securities analysis, Benjamin Graham argued for investing in stocks that were significantly undervalued relative to their intrinsic worth, which he measured principally by their future earnings potential. Defensive investors who followed his advice, he said, would enjoy an invaluable "margin of safety" in their investment activities. In his classic book The Intelligent Investor, Graham recommended buying stocks of large, prominent and conservatively financed companies with a long record of continuous dividend payments. He warned against stocks with price-to-earnings ratios of more than 25 times trailing seven-year average annual earnings, or more than 20 times their prior 12-months results. (He did that even though he knew it meant excluding growth stocks.) A true bargain, Graham insisted, was a company whose real value was at least 50% more than its stock price.

Graham's methodology is appropriate for conservative investors worried about the high valuations currently accorded to many stocks, but unwilling to settle for investing only in cash or bonds.

Benjamin Graham-The Intelligent Investor 2003 Revised Ed

Il 31 dicembre scorso ho costruito un portafoglio virtuale del valore di 10000 dollari USA selezionando i 9 titoli che utilizzando lo screener verificavano al 100% i criteri richiesti da Graham:

ATW, ELP, CW, ESV, HGVLY, LPH, SNY, CKH, SUHJY

Ecco il rendimento nel mese di gennaio 2011 confrontato con quello dell'indice S&P500
Current Value 10,330.29
Total Gain/Loss +3.21%
Jan 31 2011 17:46 GMT. Quotes are delayed by at least 20 minutes.

Qui sotto potete vedere il risultato dello screening effettuato sui valori di chiusura di venerdì scorso

Guru Stock Screener Report Value Investor Either Interest Level Based on our analysis of the book by Benjamin Graham
Click on any header to sort by that variable.
Symbol	Company	All Interest Strong /Some	This Guru's Quant Score	Previous Close	Mkt Value $(Mil)	Rel. Strength	P/E	P/E/G	Proj P/E 12 mo.
SNY	SANOFI-AVENTIS SA (ADR)	3 / 0	100%	33.35	88,562	28	10	0.6	8
LPH	LONGWEI PETROLEUM INVESTMENT HOLD LTD	2 / 1	100%	2.55	256	40	10	0.4	5
ATW	ATWOOD OCEANICS, INC.	2 / 1	100%	39.22	2,536	51	10	0.3	10
BNGPY	BENETTON GROUP SPA (ADR)	2 / 0	100%	14.20	1,301		7	1.8
ESV	ENSCO PLC	2 / 0	100%	54.04	7,725	70	13	0.4	15
ELP	COMPANHIA PARANAENSE DE ENERGIA (ADR)	2 / 0	100%	25.33	6,712	60	14	0.7	8
CKH	SEACOR HOLDINGS, INC.	2 / 0	100%	106.01	2,252	79	9	0.8	9
HGVLY	EVRAZ HIGHVELD STEEL & VANDIUM LTD (ADR)	1 / 0	100%	11.83	1,287
ARO	AEROPOSTALE, INC.	3 / 2	86%	24.34	2,141	45	10	0.3	10
CVX	CHEVRON CORPORATION	1 / 3	86%	93.37	187,900	64	10	1.9	9
XIN	XINYUAN REAL ESTATE CO., LTD. (ADR)	0 / 4	86%	2.41	183	14	3	0.2	4
RINO	RINO INTERNATIONAL CORPORATION	2 / 1	86%	2.78	62	3	1	0.0	2
JNJ	JOHNSON & JOHNSON	2 / 1	86%	60.01	164,803	30	12	1.6	12
GRMN	GARMIN LTD.	2 / 1	86%	30.81	5,960	31	8	0.4
BKR	MICHAEL BAKER CORPORATION	1 / 2	86%	30.42	281	21	13	0.4	13
SENEB	SENECA FOODS CORPORATION	1 / 2	86%	23.12	290	25	11	0.4	17
RSH	RADIOSHACK CORPORATION	1 / 2	86%	15.20	1,730	21	9	0.7	9
VSEC	VSE CORPORATION	1 / 2	86%	29.93	155	14	6	0.2	7
DCM	NTT DOCOMO, INC. (ADR)	1 / 2	86%	17.72	77,424	55	12		13
FUQI	FUQI INTERNATIONAL, INC.	1 / 2	86%	5.04	139	6	2	0.1	3

Aggiornerò quindi il portafoglio con i valori di chiusura di questa sera, vendendo i titoli corrispondenti ai ticker CW che non verifica più il criterio relativo al rapporto P/E inferiore a 15 (ho riportato in fondo al post l'analisi dettagliata del titolo) e SUHJY (che pure supera di poco il limite sul rapporto P/E) e aggiungerò al portafoglio, ribilanciandolo, il titolo mancante....BNGPY....Benetton Group SPA (BNGPY) (!). Appuntamento al 28 febbraio per vedere com'è andata.


CW: Guru Score: 86%


SECTOR: [PASS]
CW is neither a technology nor financial Company, and therefore this methodology is applicable.


SALES: [PASS]
The investor must select companies of "adequate size". This includes companies with annual sales greater than $340 million. CW's sales of $1,872.5 million, based on trailing 12 month sales, pass this test.


CURRENT RATIO: [PASS]
The current ratio must be greater than or equal to 2. Companies that meet this criterion are typically financially secure and defensive. CW's current ratio of 2.35 passes the test.


LONG-TERM DEBT IN RELATION TO NET CURRENT ASSETS: [PASS]
For industrial companies, long-term debt must not exceed net current assets (current assets minus current liabilities). Companies that meet this criterion display one of the attributes of a financially secure organization. The long-term debt for CW is $524.1 million, while the net current assets are $543.1 million. CW passes this test.


LONG-TERM EPS GROWTH: [PASS]
Companies must increase their EPS by at least 30% over a ten-year period and EPS must not have been negative for any year within the last 5 years. Companies with this type of growth tend to be financially secure and have proven themselves over time. CW's EPS growth over that period of 94.0% passes the EPS growth test.


P/E RATIO: [FAIL]
The Price/Earnings (P/E) ratio, based on the greater of the current PE or the PE using average earnings over the last 3 fiscal years, must be "moderate", which this methodology states is not greater than 15. Stocks with moderate P/Es are more defensive by nature. CW's P/E of 15.34 (using the current PE) fails this test.


PRICE/BOOK RATIO: [PASS]
The Price/Book ratio must also be reasonable. That is, the Price/Book multiplied by P/E cannot be greater than 22. CW's Price/Book ratio is 1.42, while the P/E is 15.34. CW passes the Price/Book test.