Quantitative Value Shorting Part II: Earnings Yield & Price Over Book

In response to many questions from the Short Selling Blog:

Short Algorithm

The screen that featured in the article can be described as follows:

·         US companies with market capitalisation greater than one billion dollars and with 20 day average trading volume greater than 100,000 shares.  These companies are less volatile than their smaller brethren and much more likely to be borrowable.  ADRs are excluded.   This gives a typical starting universe of about 1700 large, liquid US-based companies.

·         Then a 5 year earnings yield (EY5) is found for each.  The screen excludes those companies...