2022: A year in successful screens

I hope everyone had a great Christmas and managed to get a welcome break from the cut and thrust of financial markets. This week I am going to take a look back at the value screens I have developed this year.
But before I dive into that, my holiday reading included the following study by Robeco, which contained some interesting charts that backed up the arguments I made in my recent article,  A look back on 2022 through a value investing lens, and I thought it worth sharing those:
Assertion 1 – Value has a long way to run, particularly in small and mid-caps
Using the Value Rank, I showed the supposed rotation to Value seen so far has only really been seen in large caps in certain industries. Looking at global equity markets and using their own measure of “enhanced Value factor”, Robeco find that value stocks remain very cheap relative to history:

If history is any guide, this is the start of a return to Value, not the end, and the underperforming small and mid-caps are likely to catch up.
Assertion 2 – Value isn’t just a rising interest...