Stock Screens Overview
In Stock, Off-the-Shelf
Generate Alpha using concentrated, fundamentally-driven quantitative and disciplined investment strategies.
Capture fees that would otherwise go to fund managers who often simply copy an index.
Easily build stock portfolios around VPM’s dynamic management process for timely investment decisions.
General Philosophy
Idea generation starts with narrowing the investable universe down to a manageable list. We start with a fundamental screen of quality companies to work with the best. Next, we apply VPM's trend following statistical modeling process.
What is the Investable Universe?
We start with basic criteria that lends itself to active management.
- Market capitalization > $250 million
- Recent and average stock price > $5/share
- 1-year average daily trading volume ≥ 500,000 shares
- No American Depository Receipts (ADRs)
Idea Generation – The Fundamental Screen
- Reduce the investable universe to a more manageable list of 20 – 50 quality stock ideas1based on specific criteria that fits a particular investment style or objective
- Classify key variables into four fundamental categories
Relative Valuation | Earnings Quality |
Financial Strength | Momentum |
- Rank fundamental data and weight each variable and category to reflect the targeted investment style or objective
Duration Rankings
VPM’s rating system is based on the prior lengths of time invested, or Trade Duration.
This rating identifies how far the stock is into the average trade duration to find opportunities to outperform.
Duration in Days
Hypothetical Model Statistics
Ave. Long (days) 100
Ave. Long SD* (days) 50
*Standard Deviation
1Some screens may have fewer or more results depending on the concentration of the screen criteria. There is no assurance that the process will consistently lead to successful investing.
