I am wondering if anyone has devised any specific screens for international stocks. I am thinking the US market is generally peaking and think there are generally better macro economics and values in Europe, Asia and possibly South America at this time (specifically I am targeting Germany, Great Britian, China, Hong Kong, Japan, Singapore, South Korea, Taiwan, Brazil and Mexico). I have backtested many of the existing screens with a filter toward the countries I have an interest. Some have pretty decent results and fare well through the robustness testing. However, they tend to have a scarcity of stocks meeting the criteria and some periods totally lacking investment. Any thoughts and suggestions would be greatly appreciated.
Sorry, but don't know of anything else within Zacks that would address the international issue. I only do US stocks.
The number of stocks that I mentioned (15-20) is just a ballpark number. I have noticed that by running a screen on an older version of DBCMHIST (say, 1 year old) and then comparing that output to the current DBCMHIST, it is not unusual to get several periods where the returns vary significantly (several percent) even with the number of stocks is around 15-20 (especially if using sector ranks and the like). That, coupled with my opinion (and experience) that a screen which returns a large number of stocks (instead of a handful) is more likely to represent a true valuation anomaly and not some statistical mirage, has convinced me to disregard anything with as few stocks as you are getting. Of course, your experience may be different. Mine was not.