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Author: Jacko2 Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 3296  
Subject: PE by RS, All Stocks, New Port Date: 1/21/2000 2:41 PM
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Sample portfolio from What Works on Wall Street, James O'Shaughnessy						
							
Screen: PE<20, high RS over 1 year, market cap > C$225M
						

Data source: http://www.globeinvestor.com 21Jan00						

Note: used price filter for TSE-listed common stocks >$5 and 
>25% 1-yr price appreciation, then sorted by PE,
dropping all stocks on list with market cap below stated limit.						

		Company				1 yr	Price	
	Symbol	Name		MCap	PE	Price %	20Jan00	

1	CAM.A	Canam Manac	262	6.7	48.0	7.40	
2	QBR.A	Quebecor    	3011	7.6	46.0	46.50	
3	AC	Air Canada	1674	9.4	31.9	8.90	
4	RCI.B	Rogers Commn	13106	9.6	122.7	45.20	
5	WS	Wstrn Star Trck	404	10.3	43.5	28.05	
6	DFS	Dofasco		2449	12.4	50.5	29.80	
7	LNF	Leon's Furn	442	12.9	25.7	22.00	
8	AGR	Agra		365	13.0	39.5	12.00	
9	NF	Nexfor		1316	13.2	46.2	8.70	
10	OCX	Onex Corp.	3503	13.6	86.9	42.75	
11	CRY	Cryptologic	297	13.8	124.8	34.50	
12	NMR	Namibian Min	324	14.6	192.9	8.20	
13	GIL.A	Gildan Activwr	460	16.0	184.7	33.45	
14	BCE	BCE		86400	16.8	116.9	134.25	
15	CLC	Cdn Medical Lbs	409	16.9	184.0	20.45	
16	DUP.A	Dupont Canada	5490	18.6	31.7	59.00	
17	IMS	Imasco		17706	19.6	29.2	40.90	
18	DHC.B	Donohue Inc.	3989	19.8	50.5	29.50	

			     Average	13.6	80.9	

The list is presented in p/e order, from low to high.
Last time, the 5 stocks by lowest p/e did best (and that best was pretty darn good).
 That would get you a port of Canam-Manac, Quebecor, Air Canada,
 Rogers Communications, and Western Star Trucks (the sixth stock is Dosfasco). 
Not bad. Note, too, that if you take Graham's suggestion 
that the earnings yield from a stock should be higher than from 
current bond yields, the Western Star p/e is just under that 
limit (a p/e of 11, derived by current long bond yield of about 6.75 x 4/3 
to give you a desired earnings yield (e/p) from stocks of 9%, 
divided into one (1/9) to get the p/e). Graham used 4/3 because 
he felt that an investment in stocks, being riskier than one 
in bonds, should obtain a higher return.

Note that O'Shaughnessy did his 50-stock portfolios by sorting last 
for relative strength. On this basis, you'd get Namibian Minerals, 
Gildan Activewear, Cdn Medical Labs, Cryptologic Inc. (an Internet 
gambling technology firm, I think), and Rogers Communications, 
with the sixth stock being BCE.

I intend to run this one over what remains of 2000, with 
probably roughly quarterly updates.

Note, too, that globeinvestor throws up errors. For example,
from the first go-round it appeared that both George Weston Ltd. (WN-T)
and TD Bank were on the list, but when I checked the
individual symbols, 
they clearly weren't. I only checked those two, individually, 
so there may be other data errors. The TD error appeared
to come from the data catching the US$ price of TD on the New York
Stock Exchange, which showed a higher appreciation than
TD expressed in CDN$. I don't know about the WN error.

O'Sh's research didn't find that using the large market cap stocks
for this kind of sort helped, so I haven't pulled
out those stocks. That is left as a bonus assignment
for the reader. :)

Don
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