We have completed another periodic refresh of our value style screen, first established in our note of 26 May 2015. As usual the screen selected the 25 stocks exhibiting the most extreme value characteristics from our universe, and we have chosen 9 stocks to focus on. Since inception last year the screen has marginally outperformed the main small-cap index by 1pp and underperformed the micro-cap index by about 3pp. The EU referendum result arose in the latest period and resulted in significant short-term underperformance, which has not been recovered. The new basket was struck before the US election result.
