Oversold Quality
20 stocks · monthly · free
Recently sold-off shares of cash-generating companies.
Annual return
+4.2%
Max drawdown
−42.9%
YTD
+6.3%
Holdings
20
Live since
Not live yet
Rules
- Idea
- Each month it takes profitable, well-run companies worth at least $2 billion that generate free cash flow and buys the twenty whose shares have been sold off the most recently, measured by the 14-day RSI, favouring those with a higher free-cash-flow yield.
- Universe
- Every stock listed in the US at each date, including foreign companies listed here and companies that later delisted or were acquired.
- Must pass
- Require company market value (all share classes) at least $2 billion. Require net income over the last twelve months above 0. Require gross margin at least 20%. Require return on invested capital at least 8%. Require Piotroski F-score at least 5. Require free-cash-flow yield above 0%.
- Ranking
- Lower 14-day RSI (2 weight); higher free-cash-flow yield (1 weight).
- Holdings
- Equal weight the top 20 names.
- Rebalance
- Monthly; orders fill at the next session's open, with spread and market-impact costs that grow for less liquid names; compare against SPY.
- Note
- Every figure is as it was known on the decision date; a name missing a figure is left out at that decision.