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This screen uses only 3 criteria:1) Stocks must be in the S&P5002) The price to sales ratio must be lower thanthe industry P/S ratio.3) Take the top 5 stocks that have the highest annual sales growth rate divided by the price/sales ratio.Using the Zack backtester,5 stocks, 4 week hold this screen had the following results for 2006:CAGR of 38%Win ratio of 85%Drawdown of -2.2%This was about double the return of the S&P over the same period.Some current values from Zacks:ABCHUMFISKMIGNWUsing the same screen in the MSN free screener givesKMINAVHUMGMABC
I still can't seem to reproduce this in the VL universe. If anyone has a suggestion on the Radiscript for the screen please let me know.MSN seems to have an issue with its S&P 500 list. NAV was removed as stated here:New York, NY, December 15, 2006 – Standard & Poor’s will make the following changes to the S&P 500 and S&P SmallCap 600 indices after the close of trading on Tuesday, December 19, 2006:• Terex Corp. (NYSE:TEX) will replace Navistar International Corp. (NYSE:NAV) in the S&P 500. Navistar’s common stock is scheduled to be delisted by the New York Stock Exchange prior to the open of trading on Wednesday, December 20.http://www2.standardandpoors.com/spf/pdf/index/andriuskeviciusmartynas.pdf?vregion=us&vlang=en
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