Artigo curioso acerca de AF e de software de screening
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Só uma nota, o site que ele dá para esta associação está errado. Encontrei outro que me parece ser o correcto e que é http://www.investware.com/aaii.stm
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Artigo curioso acerca de AF e de software de screening
Vem o Herald Tribune deste fim-de-semana (http://www.iht.com/ihtsearch.php?id=86017&owner=(IHT)&date=20030207161036)
Picking stocks by the numbers
World of Investing
By James K. Glassman (IHT)
Saturday, February 8, 2003
When President George W. Bush last month called Saddam Hussein's performance with UN inspectors “a rerun of a bad movie,” he might have been talking about the year-end statements investors just got from their mutual funds.
Over the five years that ended Dec. 31, the 20 largest stock mutual funds - repository of more than a half-trillion dollars in savings - have, on average, returned a grand total of 10 percent including dividends. That's the good news. The bad news is that the Standard Poor's 500-stock index lost 22 percent last year, its third decline in a row.
Most of the biggest funds - the ones that attract conscientious long-term investors - have been just about flat since 1998. That's no surprise, as large funds tend to perform roughly the same as the S&P benchmark, which is down a total of 4 percent during those five years.
Meanwhile, amid all this stagnation and devastation, a group of stock portfolios has been thriving. With few exceptions, you can't invest in them, but, with some effort, you might be able to mimic them. At the very least, their success provides important lessons on how to pick stocks, as well as evidence that large, diversified funds managed by actual human beings can beat index funds.
I ran across the portfolios by accident, flipping through the pages of a magazine published by the American Association of Individual Investors (www.aaii.com), a no-nonsense organization based in Chicago that helps educate its members, about 150,000 small investors.
Over the past five years, John Bajkowski, the group's vice president for financial analysis, has been introducing readers to the joys and intricacies of stock screens - mathematical filters, or rules, that are applied to a huge universe of stocks. The object of applying screens is to find a few dozen gems that meet stringent criteria.
Bajkowski's aim is to teach, not to discover hot stocks. But, as sometimes happens when serious people do their work well, he has struck gold.
Among the 54 stock portfolios (note: no bonds or cash) that Bajkowski has been following for the past five years: 44 beat the S&P in 2002. 46 beat the S&P for the entire five years, from Jan. 1, 1998, to Dec. 31, 2002. 16 doubled (not even including dividends) in value over the past five years, compared with a loss of 9 percent (again, without dividends) for the S&P. 10 produced positive returns in each of the five years. The best of the AAII portfolios returned a total of 388 percent over five years; the second best, 350 percent.
The portfolios use a wide range of screens. As an example, let's examine a portfolio that uses a strategy Bajkowski calls “Low-Price-to-Free-Cash-Flow.” Cash flow, rather than reported earnings, is the concept on which classic stock valuation is built. It is also a figure that is less easily manipulated than earnings. Since 1987, all listed companies must file a cash-flow statement, along with a conventional earnings statement, with the Securities and Exchange Commission. The AAII has a computer program called Stock Investor that calculates “free cash flow” for each stock. The program takes “operating cash flow” from the company's financial statement and subtracts capital expenditures and dividends. In other words, these are actual dollars of profit that the company's management can use as it wishes - to invest in new factories and machines or to give to shareholders as dividends or to keep in the bank.
Here are the screens that Bajkowski uses to build the portfolio:
1. Begin with the universe of about 8,000 listed companies.
2. Eliminate all stocks with a market capitalization of less than $50 million. Stocks smaller than that are not very liquid - that is, have little trading activity and so are very volatile in price. 3. Use Stock Investor or another computer program to find companies that have had positive cash flow in each of the past five financial years and the most recent 12 months.
4. Take those companies and perform another calculation: Determine the ratio of the stock price to the free cash flow over the past 12 months for each. Eliminate all companies whose ratio of price to cash flow is higher than the norm for their industries, and all whose ratio is below its own five-year average. The idea is to find bargains.
5. Now, rank the remaining stocks according to this ratio and compose a portfolio of the 50 with the lowest figures. Whew! The surviving stocks include companies of various sizes and sectors, from Ford Motor Co., with a market capitalization of $19 billion, to Valley National Gases Inc., which sells gas to welders and has a market cap of $53 million. Others that passed the screen test include Banta Corp., which sells printing and logistics services; Centex Construction Products Inc.; Tommy Hilfiger Corp., fashion; Digi International Inc., computer hardware, and Finlay Enterprises Inc., retail jewelry.
What I love about screens is that they turn up stocks in obscure businesses. This one found FinishMaster Inc., whose niche is selling touch-up paints to auto-body shops. Besides generating lots of cash, the company has been increasing its sales at an average annual rate of 18 percent and carries a price/earnings ratio of less than 8. Another obscure find is Prime Medical Services Inc., which owns more than 60 mobile lithotripters - machines that travel from hospital to hospital, using shock waves to turn kidney stones into harmless fragments.
The screening process that identifies these companies is not easy to describe, but with a software program, you should be able to apply fairly quickly. The AAII charges $247 for Stock Investor Pro, its top-of-the-line software. Morningstar (www.morningstar.com) sells screening software called Premium Stock Selector; Standard Poor's (www.standardandpoors.com) has software for its well-known Compustat database, and other research firms have choices.
If you decide to buy such software and try to copy the AAII system, you may get exhausted quickly. To follow the strategies to the letter, a lot of buying and selling is required. That's expensive, both in sales commissions and in taxes on short-term capital gains.
I am not encouraging you to play computer stock analyst, and neither is Bajkowski. "Following these screens is not practical for most investors," he said. True, but the message is that even in this miserable market, there are strategies that make can make money - in many cases, lots of it.
James K. Glassman's e-mail address is jglassman@aei.org.
Picking stocks by the numbers
World of Investing
By James K. Glassman (IHT)
Saturday, February 8, 2003
When President George W. Bush last month called Saddam Hussein's performance with UN inspectors “a rerun of a bad movie,” he might have been talking about the year-end statements investors just got from their mutual funds.
Over the five years that ended Dec. 31, the 20 largest stock mutual funds - repository of more than a half-trillion dollars in savings - have, on average, returned a grand total of 10 percent including dividends. That's the good news. The bad news is that the Standard Poor's 500-stock index lost 22 percent last year, its third decline in a row.
Most of the biggest funds - the ones that attract conscientious long-term investors - have been just about flat since 1998. That's no surprise, as large funds tend to perform roughly the same as the S&P benchmark, which is down a total of 4 percent during those five years.
Meanwhile, amid all this stagnation and devastation, a group of stock portfolios has been thriving. With few exceptions, you can't invest in them, but, with some effort, you might be able to mimic them. At the very least, their success provides important lessons on how to pick stocks, as well as evidence that large, diversified funds managed by actual human beings can beat index funds.
I ran across the portfolios by accident, flipping through the pages of a magazine published by the American Association of Individual Investors (www.aaii.com), a no-nonsense organization based in Chicago that helps educate its members, about 150,000 small investors.
Over the past five years, John Bajkowski, the group's vice president for financial analysis, has been introducing readers to the joys and intricacies of stock screens - mathematical filters, or rules, that are applied to a huge universe of stocks. The object of applying screens is to find a few dozen gems that meet stringent criteria.
Bajkowski's aim is to teach, not to discover hot stocks. But, as sometimes happens when serious people do their work well, he has struck gold.
Among the 54 stock portfolios (note: no bonds or cash) that Bajkowski has been following for the past five years: 44 beat the S&P in 2002. 46 beat the S&P for the entire five years, from Jan. 1, 1998, to Dec. 31, 2002. 16 doubled (not even including dividends) in value over the past five years, compared with a loss of 9 percent (again, without dividends) for the S&P. 10 produced positive returns in each of the five years. The best of the AAII portfolios returned a total of 388 percent over five years; the second best, 350 percent.
The portfolios use a wide range of screens. As an example, let's examine a portfolio that uses a strategy Bajkowski calls “Low-Price-to-Free-Cash-Flow.” Cash flow, rather than reported earnings, is the concept on which classic stock valuation is built. It is also a figure that is less easily manipulated than earnings. Since 1987, all listed companies must file a cash-flow statement, along with a conventional earnings statement, with the Securities and Exchange Commission. The AAII has a computer program called Stock Investor that calculates “free cash flow” for each stock. The program takes “operating cash flow” from the company's financial statement and subtracts capital expenditures and dividends. In other words, these are actual dollars of profit that the company's management can use as it wishes - to invest in new factories and machines or to give to shareholders as dividends or to keep in the bank.
Here are the screens that Bajkowski uses to build the portfolio:
1. Begin with the universe of about 8,000 listed companies.
2. Eliminate all stocks with a market capitalization of less than $50 million. Stocks smaller than that are not very liquid - that is, have little trading activity and so are very volatile in price. 3. Use Stock Investor or another computer program to find companies that have had positive cash flow in each of the past five financial years and the most recent 12 months.
4. Take those companies and perform another calculation: Determine the ratio of the stock price to the free cash flow over the past 12 months for each. Eliminate all companies whose ratio of price to cash flow is higher than the norm for their industries, and all whose ratio is below its own five-year average. The idea is to find bargains.
5. Now, rank the remaining stocks according to this ratio and compose a portfolio of the 50 with the lowest figures. Whew! The surviving stocks include companies of various sizes and sectors, from Ford Motor Co., with a market capitalization of $19 billion, to Valley National Gases Inc., which sells gas to welders and has a market cap of $53 million. Others that passed the screen test include Banta Corp., which sells printing and logistics services; Centex Construction Products Inc.; Tommy Hilfiger Corp., fashion; Digi International Inc., computer hardware, and Finlay Enterprises Inc., retail jewelry.
What I love about screens is that they turn up stocks in obscure businesses. This one found FinishMaster Inc., whose niche is selling touch-up paints to auto-body shops. Besides generating lots of cash, the company has been increasing its sales at an average annual rate of 18 percent and carries a price/earnings ratio of less than 8. Another obscure find is Prime Medical Services Inc., which owns more than 60 mobile lithotripters - machines that travel from hospital to hospital, using shock waves to turn kidney stones into harmless fragments.
The screening process that identifies these companies is not easy to describe, but with a software program, you should be able to apply fairly quickly. The AAII charges $247 for Stock Investor Pro, its top-of-the-line software. Morningstar (www.morningstar.com) sells screening software called Premium Stock Selector; Standard Poor's (www.standardandpoors.com) has software for its well-known Compustat database, and other research firms have choices.
If you decide to buy such software and try to copy the AAII system, you may get exhausted quickly. To follow the strategies to the letter, a lot of buying and selling is required. That's expensive, both in sales commissions and in taxes on short-term capital gains.
I am not encouraging you to play computer stock analyst, and neither is Bajkowski. "Following these screens is not practical for most investors," he said. True, but the message is that even in this miserable market, there are strategies that make can make money - in many cases, lots of it.
James K. Glassman's e-mail address is jglassman@aei.org.
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