Advanced screeners for UK investors

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New screener on the block For veteran value investing blog readers, if there can be such a thing, the re-emergence of Empirical Finance Blog is welcome. Empirical Finance earned its reputation digesting papers produced by academia and regurgitating them in one-post summaries on its blog. Then it disappeared to set up a hedge fund. Now, along with the blog, it’s launched Empirical Finance Data, a stock screener that implements some of the blog’s favourite quantitative strategies, among them two of my favourites:

  1. The magic formula, discussed to death here, here, and here
  2. Piotroski’s F_Score.

And two strategies I like the sound of:

  1. Profit & Value, a kind of magic formula with simpler ratios: gross return on assets for profitability, and tangible book value.
  2. Asset growth, which ranks companies according to how quickly they grow total assets. The slowest growers are the best (fact!).

It’s free, international (including the FTSE 350), and the data is up to date (latest twelve months), although we’re stuck with the pre-defined screens for now. I emailed founder Wes Gray to see how Empirical tackled the calculation of net working capital, a contentious component of Return on Capital used in the magic formula. This is how Joel Greenblatt, inventor of the magic formula defines net working capital: Net working capital was used because a company has to fund its receivables and inventory (excess cash not needed to conduct the business was excluded from the calculation) but does not have to lay out money for its payables, as these are effectively an interest-free loan (short-term interest-bearing debt was excluded from current liabilities for this calculation). We don’t know how Greenblatt calculates excess cash, and all screeners I’ve investigated bar Greenblatt’s own US-only service deduct all current liabilities including short-term debt from current assets, and not just payables. Does this matter? I think it might, hence my test comparing ROC as a factor in the magic formula to Return on Assets, which is easier to define. Gray doesn’t think it matters, much. On excess cash he says: In our calculation of net working capital we don't do anything fancy with respect to calculating excess cash--we simply take current assets minus current liabilities as a measure for net working capital. Having studied the formula via much more rigorous means, I can tell you that various perturbations of the magic formula are statistically indistinguishable from one another. In our hedge fund we operate a strategy that screens on over 100 custom variables meant to fine-tune the magic formula concept--we call it "magic formula on steroids". This strategy works better than the normal magic formula, but the results are quantitatively similar--in other words, you can go nuts trying to optimize, but in the end your results will likely be in the same ballpark. And on deducting all current liabilities he says: To keep it simple, Net working capital is calculated as Current Assets minus Current Liabilities. Magic formula quibbles aside, now there are three affordable screeners, all, incidentally, calculating the magic formula in a similar way, for UK investors wishing to implement advanced screens:

  1. Sharelockholmes is currently the most flexible, allowing subscribers to build their own screens and limited back testing. But it uses raw data from company accounts which may not be as accurate or up-to-date as screeners using adjusted data from Thompson Reuters like the other two.
  2. Magic Formula Investing Europe offers four pre-defined screens: Piotroski, magic formula, price to net working capital (i.e. Ben Graham bargains) and its own multifactor ERP5 screen across four major markets: US, UK, Japan and the eurozone. At 49 euros a quarter, it’s the most expensive.
  3. Empirical Finance Data, is more limited than Sharelockholmes and MFiE in terms of UK coverage, and more limited than Sharelockholmes in terms of functionality but it’s free, and very clean.

That’s great news. If you discover any others, please let me know.


I think Sharescope has decent select/sort criteria. The pro version allows you to build your own criteria for select/sort or download from their site (they've just added the F-score). I don't use it but I have in the past and it's another tool that's out there.

Hi John, I subscribe to the basic 'Gold' version but don't use it for screening because it doesn't have the magic formula or the F_Score or many of the component ratios from which you could export the data and rank companies in Excel. At £95 a month, I guess I don't classify the pro version as affordable. That's over a £1,000 a year - you'd need to be managing hundreds of thousands of pounds to absorb the cost. I use Sharescope Gold to manage portfolios, which it's very good at - adding in dividends automatically etc.

Just to confirm: the F_Score's not available in Gold is it? I've just had a quick look, can't find it...

Empirical Finance Data seems to have discontinued their screener. It's a pity.

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