Book Value Blog

Here are candidate lists for all the Price-to-Book strategies for ALL-STOCKS, TOP-100 and TOP-40, together with performance updates of the model portfolios we run.

Price-to-Book Strategy Update XLS
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We now have one spreadsheet ranked by Price/Book candidates taken from the ALL-STOCKS, TOP100 and TOP50 universes respectively (seperate worksheet per universe). Also included in the spreadsheet are all the model portfolios showing each share in detail together with share price appreciation since inception.

Right-click HERE to download

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Here are the lowest Price/Book shares on the JSE as at 9 Jun 2009. They effectively form the 1st low price-book decile. Portfolios are normally constructed from the first 10 or 20 shares (as in our model portfolios) for a low price-to-book strategy.



Note that quite a few issues here are going through financial stress. That is why some investors prefer the Piotroski strategy which focuses on low price/book shares but with a sound financial position.
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Here is the YTD performance summary of the 10-share low price--to-book portfolio taken from the lowest price/book decile of the JSE ALL STOCKS universe on 3 March 2009. They represent the lowest price/book shares on the JSE at the time.



Although the performance looks very bad against all the other strategies we are tracking, you must bear in mind that this is taken from the ALL-STOCKS universe, and will have smaller less liquid issues than other strategies we track. In addition these represent...
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Here is the YTD performance summary of the 10-share low price--to-book portfolio taken from the lowest price/book decile of the JSE ALL STOCKS universe on 3 March 2009. They represent the 10 lowest price/book shares on the JSE at the time.



Although the performance looks bad against all the other strategies we are tracking, you must bear in mind that this is taken from the ALL-STOCKS universe, and will have smaller less liquid issues than other strategies we track. In addition these represent t...
Continue reading...

Here is the YTD performance summary of the 10-share low price--to-book portfolio taken from the lowest price/book decile of the JSE ALL STOCKS universe on 3 March 2009. They represent the 10 lowest price/book shares on the JSE at the time.



Although the performance looks bad against all the other strategies we are tracking, you must bear in mind that this is taken from the ALL-STOCKS universe, and will have smaller less liquid issues than other strategies we track. In addition these represent t...
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Our backtests have shown that the Price/Book ratio is one of the most powerful indicators for value stocks on the JSE. Therefore we will be tracking the performance of live model portfolios constituted each quarter.

Here is an update of the portfolio made up of the lowest 10 price/book shares taken from the ALL-STOCKS JSE universe and constituted on 2 March 2009. Each share made up R5,000 at the creation of the portfolio, and brokerage charges were included. We see the portfolio is more or les...

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We have completed a 8-year backtest on the Price/Book ("Book Value") Decile strategy of purchasing the JSE's lowest 10% Price/Book ratio stocks. The backtest includes a detailed analysis of the effectiveness of the strategy.

Go to the RESEARCH main menu tab to get access, it is currently free to the public.

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As with our other Strategy Blogs, once a month we will rank the JSE into 10 deciles based on Price/Book ratio and then publish the contents of the Decile-10 portfolio. This is the portfolio with the lowest 10% of Price/Book ratios on the JSE. As we have shown in our historical research, this portfolio repeatedly manages to significantly outperform the ALSI. This is similar to the "Dogs of the Dow" theory except that we are basing our measure of bargain on the Price/Book ratio as opposed to th...
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