North American-listed companies exhibiting strong momentum, value and earnings quality.With 2022 in the rear-view mirror, markets have rebounded, with the S&P 500 up over 7 per cent year-to-date. Economic data released last week revealed a strengthening labour market, with the United States posting better than expected job growth for January. Nonfarm payroll increased by 517,000, and the unemployment rate was the lowest in more than 50 years at 3.4 per cent.
First, we screen for large-cap North American-listed companies with a market capitalization greater than US$10-billion. Next, we screen for companies demonstrating strong value and momentum. We use the Refinitiv StarMine Value Momentum Model to screen for companies with a score greater than or equal to 90, representing the top 10 per cent of companies. The value momentum model is a percentile ranking of stocks based on recent valuation and momentum characteristics such as analysts estimates, historical stock returns, and earnings-per-share growth rates, with 100 representing the highest rank.
Finally, we screen for companies with high earnings quality. We use the Refinitiv StarMine Earnings Quality Model to screen for companies with an earnings quality score greater than or equal to 90, representing the top 10 per cent of companies. The earnings quality model is a percentile ranking of stocks based on the sustainability of earnings, with 100 representing the highest rank.