The ten screens
Guides
Ten fixed rules, run nightly on every company in the universe. A company passes a filter or it does not; nothing is discretionary.
The universe
South Africa: the JSE's top 150 companies by market value, with at least R1,000,000 of value traded a day on average over the last 60 days. United States: the S&P 500 and Nasdaq-100 constituents, capped at 500, with at least $25,000,000 traded a day. Prices and fundamentals refresh nightly; the stamp on the page is the last run.
The ten filters
| Filter | Kind | Rule on the JSE | On the US screener |
|---|---|---|---|
| Dividend Kings | Fundamental | Paid a dividend every year for at least 10 years, never cutting it by more than half in a year | 25 years |
| Fallen Angels | Fundamental | Profitable, trading 30% or more below its three-year high, at a P/E below the universe median | Same |
| Cash Cows | Fundamental | Free cash flow yield of 8% or more now, and positive free cash flow in each of the last three years | Same |
| Fortress | Fundamental | Net cash, or net debt below 1.5 times EBITDA. Not scored for banks and insurers | Same |
| Compounders | Fundamental | Return on equity of 15% or more in each of the last three years, with margins stable or expanding | Same |
| Deep Value | Fundamental | P/E below 10 and price to book below 1.5 (1.0 for financials), with positive earnings | P/E below 15, price to book below 3.0 (1.5 for financials) |
| Earnings Momo | Technical | Latest annual earnings up more than 15%, with revenue also growing | Same |
| Momentum | Technical | Top 20% of the universe by twelve-month return excluding the latest month, and above the 200-day average | Same |
| Golden Cross | Technical | 50-day average above the 200-day, price above the 50-day. A cross inside the last 60 days scores higher | Same |
| Oversold | Technical | RSI below 30 while the price is still above its 200-day average | Same |
What a pass does not tell you
A pass says a company cleared one test on one night. It does not say the business is sound, the price is right, or the timing is good. Fallen Angels finds companies the market has punished; some deserved it. Deep Value finds cheapness; some of it is cheap for a reason. Momentum finds strength that has persisted; it says nothing about whether it continues. Reading a company against all ten, in the expanded row, is more useful than any single pass.
Worked examples, with dates, are in the research library: the ten filters explained, cheap, and the tape just turned, and the Dividend Kings that are also Cash Cows.
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