Dogs of the TSE
Re: Dogs of the TSE
LTR ticker is available!
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“It doesn't matter how beautiful your theory is, it doesn't matter how smart you are. If it doesn't agree with experiment, it's wrong.” [Richard P. Feynman, Nobel prize winner]
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- northbynorthwest
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Re: Dogs of the TSE
Care to share what's in the CORE portfolio?
Re: Dogs of the TSE
Thanks for doing that; it's quite interesting. According to http://www.finiki.org/wiki/Beating_the_TSX_%28BTSX%29 , the total return for the BTSX is 11.97% vs total index return of 9.34%. If we're safe to compare the two, am I reading correctly in assuming that this method does better than the BTSX (14% vs 12%).DenisD wrote:Shakes' post above has inspired me to do a little work too. For the past month, I've been signed up at portfolio123.com to refresh my US stock screens. This time, I opted for the $99/month package. I can backtest back to the beginning of 1999 with Canadian or US stocks. Tonight, I decided to look at the Canadian dogs.
I start with all Canadian stocks except for income trusts and select the top 40 by market cap. I'm looking at 2 strategies. The first buys the top 40 companies with the highest dividend yield. The second buys the top 40 companies with the highest shareholder yield. Shareholder yield is dividend yield plus percent reduction in shares over the past year. The following table shows the top 40, top 10 dividend yield dogs and top 10 shareholder yield dogs at the beginning of 1999 and yesterday.For each strategy, I did a rolling backtest. The rolling backtest runs the screen every week since the beginning of 1999 and holds the selected stocks for one year. I don't think there is an allowance for fees or slippage. Among other things, it returns the average percent return of those 754 runs. I ran each strategy with 5, 10, 15 and 20 stocks. The following table shows the average percent returns of each run compared with the TSX. The TSX return is not total return. The screen returns are total return. They have some total return indexes for the US but not for Canada.Code: Select all
MktCap Top 40 Jan 2/99 Jun 10/14 Ticker Name MktCap Ticker Name MktCap NT:CN Nortel Networks Corp 50,822 RY:CN Royal Bank of Canada 108,515 BCE:CN BCE Inc. 36,903 TD:CN Toronto-Dominion Bank (The) 101,275 RY:CN Royal Bank of Canada 23,624 BNS:CN Bank of Nova Scotia (The) 86,173 TRI:CN Thomson Reuters Corp 22,004 SU:CN Suncor Energy Inc. 64,148 VO.1:CN^00 Seagram Co Ltd (The) 20,240 CNR:CN Canadian National Railway Co 55,776 BNS:CN Bank of Nova Scotia (The) 16,608 CNQ:CN Canadian Natural Resources Ltd 50,642 BMO:CN Bank of Montreal 16,275 BMO:CN Bank of Montreal 49,818 TD:CN Toronto-Dominion Bank (The) 15,984 IMO:CN Imperial Oil Ltd 46,016 CM:CN Canadian Imperial Bank of Commerce 15,789 VRX:CN Valeant Pharmaceuticals International Inc 45,619 BBD.B:CN Bombardier Inc 14,964 ENB:CN Enbridge Inc 42,293 IMS.2:CN^00 Imasco Ltd 14,469 BCE:CN BCE Inc. 39,231 PWF:CN Power Financial Corp 11,992 MFC:CN Manulife Financial Corp 38,542 ABX:CN Barrick Gold Corp 11,205 CM:CN Canadian Imperial Bank of Commerce 38,446 IMO:CN Imperial Oil Ltd 10,681 TRP:CN TransCanada Corp 35,712 T:CN TELUS Corp 10,387 HSE:CN Husky Energy Inc 35,377 TRP:CN TransCanada Corp 10,316 CP:CN Canadian Pacific Railway Ltd 34,285 GWO:CN Great-West Lifeco Inc 9,704 POT:CN Potash Corporation of Saskatchewan Inc 33,310 CP:CN Canadian Pacific Railway Ltd 9,634 TRI:CN Thomson Reuters Corp 31,299 AL.Z:CN^07 Alcan Inc. 9,447 GWO:CN Great-West Lifeco Inc 29,425 L:CN Loblaw Companies Ltd 9,052 BAM.A:CN Brookfield Asset Management Inc 29,368 NNC.1:CN^00 Newbridge Networks Corp 8,242 MG:CN Magna International Inc. 25,627 NCT:CN^99 Newcourt Credit Group Inc 7,934 T:CN TELUS Corp 25,476 WN:CN George Weston Ltd 7,839 CVE:CN Cenovus Energy Inc 24,757 CNR:CN Canadian National Railway Co 7,640 PWF:CN Power Financial Corp 23,888 MG:CN Magna International Inc. 7,475 SLF:CN Sun Life Financial Inc 23,496 POW:CN Power Corp Of Canada 7,201 RCI.B:CN Rogers Communications Inc. 23,009 TGO.1:CN^00 Teleglobe Inc 7,113 G:CN Goldcorp Inc. 21,208 SHC.1:CN^07 Shell Canada Ltd 6,739 ABX:CN Barrick Gold Corp 20,638 FFH:CN Fairfax Financial Holdings Ltd 6,464 ECA:CN Encana Corp 19,014 IGM:CN IGM Financial Inc. 5,581 CPG:CN Crescent Point Energy Corp 17,898 POT:CN Potash Corporation of Saskatchewan Inc 5,342 ATD.B:CN Alimentation Couche-Tard Inc 16,779 ENB:CN Enbridge Inc 5,097 NA:CN National Bank of Canada 15,076 BUS.2:CN^07 Laidlaw International Inc 5,079 AGU:CN Agrium Inc. 14,314 SU:CN Suncor Energy Inc. 5,064 PPL:CN Pembina Pipeline Corp 14,203 TRZ.2:CN^06 Trizec Properties Inc. 4,820 TCK.B:CN Teck Resources Ltd 13,699 BCH:CN^01 Biochem Pharma Inc 4,785 POW:CN Power Corp Of Canada 13,666 T.1:CN^99 Telus Corp-Old 4,697 L:CN Loblaw Companies Ltd 13,619 PCA.Z:CN^09 Petro-Canada 4,407 IGM:CN IGM Financial Inc. 13,045 PDG.2:CN^06 Placer Dome Inc 4,388 FM:CN First Quantum Minerals Ltd 12,927 ECA:CN Encana Corp 4,354 SJR.B:CN Shaw Communications Inc. 12,393 Yield Dogs Ticker Name Yield Ticker Name Yield TD:CN Toronto-Dominion Bank (The) 5.16 CPG:CN Crescent Point Energy Corp 6.14 BNS:CN Bank of Nova Scotia (The) 5.12 BCE:CN BCE Inc. 4.89 TRP:CN TransCanada Corp 4.99 GWO:CN Great-West Lifeco Inc 4.18 PCA.Z:CN^09 Petro-Canada 3.97 NA:CN National Bank of Canada 4.17 T:CN TELUS Corp 3.35 PWF:CN Power Financial Corp 4.17 ENB:CN Enbridge Inc 3.26 IGM:CN IGM Financial Inc. 4.16 CM:CN Canadian Imperial Bank of Commerce 3.16 CM:CN Canadian Imperial Bank of Commerce 4.13 SHC.1:CN^07 Shell Canada Ltd 3.10 RCI.B:CN Rogers Communications Inc. 4.09 IMO:CN Imperial Oil Ltd 3.01 SJR.B:CN Shaw Communications Inc. 4.06 BMO:CN Bank of Montreal 2.85 BMO:CN Bank of Montreal 4.04 SH Yield Dogs Ticker Name SHYield Ticker Name SHYield IMO:CN Imperial Oil Ltd 7.18 T:CN TELUS Corp 8.87 IMS.2:CN^00 Imasco Ltd 5.38 MG:CN Magna International Inc. 7.32 TD:CN Toronto-Dominion Bank (The) 5.11 AGU:CN Agrium Inc. 6.65 CP:CN Canadian Pacific Railway Ltd 4.99 POT:CN Potash Corporation of Saskatchewan Inc 6.10 BNS:CN Bank of Nova Scotia (The) 4.65 TRI:CN Thomson Reuters Corp 5.95 TRP:CN TransCanada Corp 4.55 SU:CN Suncor Energy Inc. 4.93 VO.1:CN^00 Seagram Co Ltd (The) 3.88 CM:CN Canadian Imperial Bank of Commerce 4.74 PCA.Z:CN^09 Petro-Canada 3.82 BCE:CN BCE Inc. 4.71 T.1:CN^99 Telus Corp-Old 3.44 TCK.B:CN Teck Resources Ltd 4.68 T:CN TELUS Corp 3.14 BMO:CN Bank of Montreal 4.62
Both strategies handily beat the index. And the shareholder yield strategy beats the dividend yield strategy by a small amount. Of course, this is just the beginning of the comparison. And the screens could be "improved" substantially.Code: Select all
#Pos Return Excess TSX 6.5 Not total return Yield 5 14.8 8.3 10 14.0 7.5 15 13.7 7.1 20 12.8 6.3 SHYield 5 16.6 10.1 10 14.6 8.1 15 14.0 7.4 20 13.2 6.7
The data should be reasonably good. But they've only had it for a few months. So, no doubt there are a few glitches. In fact, I can see a few glitches in the above tables.
Re: Dogs of the TSE
The returns cover different time periods. So not really comparable. Will have more to say tonight when I'm on my desktop.
Re: Dogs of the TSE
I see. I wonder if you're able to run the scenario without the nortel disaster (i.e. after NT fell down) post as I imagine that skews things quite a bit.DenisD wrote:The returns cover different time periods. So not really comparable. Will have more to say tonight when I'm on my desktop.
Re: Dogs of the TSE
Not to mention RIM. IMO the reasons value based strategies like BTSX are likey to outperform the index is they are much less likely to contain blow ups than an index which by definition will contain spectacular blow-ups from time to time.nisser wrote:I see. I wonder if you're able to run the scenario without the nortel disaster (i.e. after NT fell down) post as I imagine that skews things quite a bit.DenisD wrote:The returns cover different time periods. So not really comparable. Will have more to say tonight when I'm on my desktop.
Show me the incentive and I will show you the outcome
--Charlie Munger
--Charlie Munger
Re: Dogs of the TSE
Reminds me of my position in Washington Mutual. Down > 99%.
Re: Dogs of the TSE
Here are some results of rolling back tests I did last year. A rolling backtest runs a screen every week since the beginning of 1999 and holds the selected stocks for one year. I don't think there is an allowance for fees or slippage. I ran each strategy with 10, 15 and 20 stocks. I downloaded the results and combined them in a spreadsheet with pivot tables.nisser wrote:I wonder if you're able to run the scenario without the nortel disaster (i.e. after NT fell down) post as I imagine that skews things quite a bit.
Labels starting with X2 refer to my Canadian large value strategy based primarily on shareholder yield. Labels starting with X4 selects stocks from the same universe based only on dividend yield. The following 2 digits are the number of stocks.
The following pivot charts show the average excess percent returns of each period compared with the TSX. The TSX return is not total return. The screen returns are total return. So the excess returns are 2 or 3% too high.
Here is the average of about 52 excess returns for each run per year. 2013 is shorter. 1999 and 2000 stand out. Here is the average of about 60 excess returns for each run for each month. David Stanley picked one of the worst months. The excess for May is 4.4% for a 10 stock dividend yield screen. LTR picked one of the best months. The excess for November is 9.4%. Hmmm ... Not sure why the first chart is displayed full-size and a second reduced. Possibly because the first uses much less storage?
Re: Dogs of the TSE
Here are the pivot tables for the above charts followed by the pivot tables with 1999 and 2000 filtered out.
Not much difference.
Code: Select all
X210A X215A X220A X410A X415A X420A
1999 -26.2 -26.9 -27.7 -34.4 -32.5 -32.4
2000 45.8 42.8 39.3 46.8 42.7 42.1
2001 21.9 22.0 22.3 13.8 14.6 15.3
2002 3.4 4.1 4.3 11.1 9.1 9.3
2003 8.1 8.7 9.2 3.7 5.3 7.1
2004 10.7 9.2 9.0 2.3 2.3 2.0
2005 -2.7 -1.8 -3.0 -5.8 -7.7 -7.4
2006 12.4 8.9 7.4 1.1 2.7 2.4
2007 -0.5 -0.6 -1.2 4.0 1.9 -0.2
2008 5.6 6.5 6.1 20.5 16.0 13.4
2009 5.5 3.3 2.8 17.7 11.4 7.9
2010 4.6 3.8 4.8 3.4 2.8 2.8
2011 12.8 12.1 10.9 3.4 5.2 6.5
2012 21.2 20.3 18.1 8.1 11.4 12.7
2013 6.0 7.1 7.3 5.1 4.7 4.4
8.7 8.0 7.3 6.8 6.1 5.8
X210A X215A X220A X410A X415A X420A
Jan 6.9 7.7 7.4 8.4 6.3 5.5
Feb 8.9 7.6 6.9 8.5 6.7 5.6
Mar 8.7 7.9 6.2 5.6 5.9 5.4
Apr 9.3 8.7 7.3 3.9 4.8 5.3
May 7.9 7.3 6.5 4.4 4.1 4.2
Jun 10.3 8.5 7.9 6.9 5.9 5.9
Jul 8.8 7.5 6.7 6.2 5.0 5.3
Aug 8.3 6.7 7.0 6.0 5.2 4.9
Sep 9.3 8.0 8.0 6.0 5.4 5.5
Oct 8.4 7.1 6.9 6.2 5.0 4.8
Nov 7.9 8.9 7.8 9.4 8.8 8.2
Dec 10.1 10.6 9.6 10.8 9.7 9.4
8.7 8.0 7.3 6.8 6.1 5.8
X210A X215A X220A X410A X415A X420A
2001 21.9 22.0 22.3 13.8 14.6 15.3
2002 3.4 4.1 4.3 11.1 9.1 9.3
2003 8.1 8.7 9.2 3.7 5.3 7.1
2004 10.7 9.2 9.0 2.3 2.3 2.0
2005 -2.7 -1.8 -3.0 -5.8 -7.7 -7.4
2006 12.4 8.9 7.4 1.1 2.7 2.4
2007 -0.5 -0.6 -1.2 4.0 1.9 -0.2
2008 5.6 6.5 6.1 20.5 16.0 13.4
2009 5.5 3.3 2.8 17.7 11.4 7.9
2010 4.6 3.8 4.8 3.4 2.8 2.8
2011 12.8 12.1 10.9 3.4 5.2 6.5
2012 21.2 20.3 18.1 8.1 11.4 12.7
2013 6.0 7.1 7.3 5.1 4.7 4.4
8.5 8.0 7.5 6.9 6.2 5.9
X210A X215A X220A X410A X415A X420A
Jan 7.6 8.6 8.4 8.7 7.3 6.9
Feb 8.1 8.3 7.9 8.4 7.3 6.4
Mar 8.0 8.1 6.7 5.9 6.1 5.6
Apr 7.2 7.6 7.0 2.8 3.5 4.0
May 8.3 7.5 7.3 5.1 4.5 4.7
Jun 11.1 8.7 8.3 7.7 6.2 6.3
Jul 9.6 7.4 7.1 6.8 5.7 5.9
Aug 9.3 7.7 7.8 6.9 6.3 5.8
Sep 9.5 8.0 7.9 5.8 5.6 5.3
Oct 8.7 7.8 7.3 6.7 5.7 5.3
Nov 6.8 7.4 6.7 8.6 8.0 7.0
Dec 7.8 8.9 8.1 9.1 8.1 7.7
8.5 8.0 7.5 6.9 6.2 5.9
Re: Dogs of the TSE
I figure investors in Canadian dividend stocks have just been incredibly lucky the last few years. We weren't like the U.S. or Europe in 2008-2009 where a number of once huge financial equities went down the drain. This is what absolutely destroyed Bill Miller's market beating record. He and his associates went down with it. Before the likes of Nortel and JDS Uniphase we had disappearing acts from a few Canadian stocks that left investors holding the bag. The so called blue chips that come to mind were Seagrams, Laidlaw (non-voting shares), and Royal Trust.
- Shakespeare
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Re: Dogs of the TSE
You have to expect that a blue chip will occasionally change into a brown chip. That was one of the problems with the Nifty Fifty.
Sic transit gloria mundi. Tuesday is usually worse. - Robert A. Heinlein, Starman Jones
Re: Dogs of the TSE
Hi ltr,
Thanks for the update on the BTSX.ltr. It's an interesting experiment, and I like your strategy of trying to be reasonably diversified. I'd feel more lot more comfortable with your approach, than the straight BTSX.
Thanks for the update on the BTSX.ltr. It's an interesting experiment, and I like your strategy of trying to be reasonably diversified. I'd feel more lot more comfortable with your approach, than the straight BTSX.
Re: Dogs of the TSE
According to the latest issue of CMS, Ross Grant is taking over from David Stanley. David feels, at age 75, it's time to lighten the load.
Ross will be writing most of the future BTSX articles. He has been running a BTSX screen for 13 years. He has 52% of his portfolio invested in the strategy. Another 28% is invested in the Dogs of the Dow and some index ETFs. No mention of bonds or GICs.
Ross and his wife retired in 2007 when he was 43. He is the author of Destination: Early Financial Independence.
Ross will be writing most of the future BTSX articles. He has been running a BTSX screen for 13 years. He has 52% of his portfolio invested in the strategy. Another 28% is invested in the Dogs of the Dow and some index ETFs. No mention of bonds or GICs.
Ross and his wife retired in 2007 when he was 43. He is the author of Destination: Early Financial Independence.
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Re: Dogs of the TSE
I saw that article. I was interested if he would be playing by the same rules as Stanley. He recounted the tweaks that he uses, but didn't say if he would be using those in the new year for the CMS articles.DenisD wrote:According to the latest issue of CMS, Ross Grant is taking over from David Stanley. David feels, at age 75, it's time to lighten the load.
Ross will be writing most of the future BTSX articles.
His tweaks are the same process as Stanleys, but his anniversary date is moved from May to January, and he very specifically removes HSE.TO (Husky Energy) because of its unsteady dividends over the years (HSE has been a perennial member of the BTSX for a long time).
Everyone has their own ideas and tweaks for the BTSX (which obviously I think is fine).
ltr
Re: Dogs of the TSE
When you are comparing to "index returns", is it safe to just use the XIU etF as a surrogate?
When I plot XIU against the largest company's on the TSX60 (one from each sector), XIU gets blown out of the water by everyone, by an excessive margin.
On a 10 year timeframe: only MFC underperforms XIU.
On a 5 year timeframe: MFC, POT, CNQ underperfom XIU
I guess it's biased since it looks at current largest (those that have survived and prospered) companies.
When I plot XIU against the largest company's on the TSX60 (one from each sector), XIU gets blown out of the water by everyone, by an excessive margin.
On a 10 year timeframe: only MFC underperforms XIU.
On a 5 year timeframe: MFC, POT, CNQ underperfom XIU
I guess it's biased since it looks at current largest (those that have survived and prospered) companies.
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Re: Dogs of the TSE
When you do a graphical compare between XIU-T and TXLX-I (S&P/TSX 60 Index) , they're quite close.nisser wrote:When you are comparing to "index returns", is it safe to just use the XIU etF as a surrogate?
Why not just use the index for your comparisons.
ltr
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Re: Dogs of the TSE
Perhaps a little survivorship bias there, as you say. I pulled up a ten year old annual report for XIU, and the largest companies by sector then were:
Magna A
Loblaw
Encana
Royal Bank
Biovail
CN Rail
Nortel
Alcan
BCE
TransCanada Pipe
There are some disappearances among that list, some bought out at nice prices, one gone to zero, Encana had at least one big spinoff, and I'm sure there are more events I've forgotten, so comparison against XIU isn't so simple. At first blush, though, I wouldn't count on a portfolio of just those ten names being truly wonderful.
Magna A
Loblaw
Encana
Royal Bank
Biovail
CN Rail
Nortel
Alcan
BCE
TransCanada Pipe
There are some disappearances among that list, some bought out at nice prices, one gone to zero, Encana had at least one big spinoff, and I'm sure there are more events I've forgotten, so comparison against XIU isn't so simple. At first blush, though, I wouldn't count on a portfolio of just those ten names being truly wonderful.
Nothing can protect people who want to buy the Brooklyn Bridge.
Re: Dogs of the TSE
IIRC, someone at the G&M ran a pretend portfolio with the top 2 companies in each sector for a while.
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Re: Dogs of the TSE
Rob Carrick, Six reasons you’ll love the Two-Minute Portfolio - The Globe and Mail. Google even turned up a Master's thesis submission that studied it.DenisD wrote:IIRC, someone at the G&M ran a pretend portfolio with the top 2 companies in each sector for a while.
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Re: Dogs of the TSE
We make a good team, P_I.
OTOH, Arnott, in one of his articles on fundamental indexing, showed that the very largest companies underperformed. But this was in the US where there are more to choose from.
OTOH, Arnott, in one of his articles on fundamental indexing, showed that the very largest companies underperformed. But this was in the US where there are more to choose from.
Re: Dogs of the TSE
It's still the case in Canada, Rob's method dodged Nortel - barely - due to the dividend requirement (IIRC).DenisD wrote:We make a good team, P_I.
OTOH, Arnott, in one of his articles on fundamental indexing, showed that the very largest companies underperformed. But this was in the US where there are more to choose from.
Re: Dogs of the TSE
You are right! If you graph that list on a 10 year time frameNorbert Schlenker wrote:Perhaps a little survivorship bias there, as you say. I pulled up a ten year old annual report for XIU, and the largest companies by sector then were:
Magna A
Loblaw
Encana
Royal Bank
Biovail
CN Rail
Nortel
Alcan
BCE
TransCanada Pipe
There are some disappearances among that list, some bought out at nice prices, one gone to zero, Encana had at least one big spinoff, and I'm sure there are more events I've forgotten, so comparison against XIU isn't so simple. At first blush, though, I wouldn't count on a portfolio of just those ten names being truly wonderful.
Nortel went to zero
Encana + Loblaw return is negative
Alcan/Biovail are no longer there
Others are above XIU but no as magnificently as in the first bunch. So probably would have done poorer than the index.
Re: Dogs of the TSE
Nortel paid a dividend on it's common shares up until June 29th, 2001. I should know because I owned it. One reason, why I've learned over time (albeit too slowly) to sell an equity as soon as the company has cut it's dividend. No thinking involved.
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Re: Dogs of the TSE
Interesting to read Ross Grants BTSX article today in the latest Canadian Money Saver. He has taken over from David Stanley, and he has his own set of modifications that he follows for the BTSX.like_to_retire wrote:I saw that article. I was interested if he would be playing by the same rules as Stanley. He recounted the tweaks that he uses, but didn't say if he would be using those in the new year for the CMS articles.DenisD wrote:According to the latest issue of CMS, Ross Grant is taking over from David Stanley. David feels, at age 75, it's time to lighten the load.
Ross will be writing most of the future BTSX articles.
His tweaks are the same process as Stanleys, but his anniversary date is moved from May to January, and he very specifically removes HSE.TO (Husky Energy) because of its unsteady dividends over the years (HSE has been a perennial member of the BTSX for a long time).
Everyone has their own ideas and tweaks for the BTSX (which obviously I think is fine).
ltr
Quote from the article where Grant says:" I will follow a similar process, with some modifications that I have added. Even with modifications, my returns over the last 14 years have been similar to David's 28 year average".
His modifications are:
1. He passes on any stock that he believes is in a dying industry, has too many problems, or leaves him uncomfortable.
2. He passes on Husky Energy (HSE).
3. He replaces POW with PWF.
4. He passes or sells any stock that reduced or cuts its dividend (read TA) and selects the next stock on the list to replace.
5. His cycle is Jan to Dec.
As expected his returns this year beat the index. His return was 17.9%, versus the S&P TSX60 Index of 12.4%.
I have to admit his rule #4 gives me pause, and I may revisit this as a new rule for my own BTSX that I have followed for several years. I'll have to give it more thought. I remember that FWF member ig17 was pontificating on this very issue some time ago in this thread. I wonder what his resolution was.
ltr
Re: Dogs of the TSE
The first rule leaves me "uncomfortable". IMHO, it's no longer a stock screen, but stock picking.