Small-Cap Value Stock Selection with Leverage and ROE Filters

Summary

This brief community post proposes adding two filters to a small-cap stock strategy: rank companies from lower to higher debt ratio and require five-year average return on equity to exceed 10%. The title advertises an annualized return of 41% and a win rate of 57.63%, but the page provides no supporting backtest methodology, sample period, benchmark, transaction-cost assumptions, or risk measures.

The post therefore offers a limited factor-screening idea rather than a fully specified investment strategy. It does not describe how small-cap candidates are initially selected, how the debt and ROE conditions are combined, how holdings are weighted or rebalanced, or whether the reported statistics are in-sample or out-of-sample. The headline figures should be treated as unverified claims, not as evidence that the screen will perform similarly elsewhere.

Key ideas

• The proposed screen starts from a small-cap investment strategy and adds a debt-ratio ranking.
• It also requires five-year average return on equity to be above 10%.
• The title reports annualized return and win-rate figures, but the page gives no methodology to assess them.
• Portfolio construction, rebalance rules, costs, benchmarks, and out-of-sample evidence are not provided.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.