Diary of a Financier

Quant Screens: Negative Enterprise Value & Core Value

In Trading Desk on Tue 26 Feb 2013 at 11:31

I run a hybrid strategy, wherein quantitative screens distill a universe of securities down to a watch list, whence I perform fundamental research to whittle the list further, then open positions based upon technicals. I think this hybrid approach–the fusion of analytical processes (technical & fundamental) combine with quantitative tools–offers an optimal balance between fast & slow thinking, quantitative & qualitative analytics, and automated & manual decision making. I think the hybrid movement is already underway in the investment management industry, however the effort has been lethargic as the old guard has nurtured the transition, and the old guard doesn’t fully trust/understand the power of technology, nor its [responsible] applications.

In an effort to crystallize even more of my thinking here in this diary, I want to paste occasional outputs from my various screens. They’ll provide a good launchpad for conversation, retrospect, and evolution.

Without further ado, I have two offerings today. The first is a screen I run to find deep value in firms with Negative Enterprise Value (mrq). My formula scored the following as the highest ranking names to survive the filter on 1/3/13:

  1. Interactive Brokers ($IBKR)
  2. Bank of New York Mellon ($BK)
  3. Charles Schwab (&SCHW)

Negative Enterprise Value (2012.01.03)

Second, my Core Value screen (version 3.0), which scored these names as the highest ranking outputs on 2/21:

  1. Iamgold Corp ($IMG.TO/$IAG)
  2. Pan American Silver ($PAAS)
  3. Compania Cervecerias Unidas ($CCU)
  4. Men’s Wearhouse ($MW)
  5. Magna International ($MGA)
  6. Standard Motor Products ($SMP)
  7. Westjet Airlines ($WJA.TO)
  8. Innophos Holdings ($IPHS)
  9. Genesco Inc ($GCO)
  10. Cisco Systems ($CSCO)

Core Value (2012.02.21)

A few of these individual holdings will pass my subsequent layers of due diligence, and I’ll perhaps deploy some cash to initiate positions at turnbuckle of the next market swing, as planned.

–Romeo

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  1. […] metals exposure via Iamgold (IMG-T), a beat-down Canadian miner that showed up on a core value quant screen a ran last week.  IMG is oversold on all fractals, but I’m exercising patience in waiting for […]

  2. […] a followup on the outputs from my last Core Value screen […]

  3. […] screen for the 7th consecutive month, -15% since May’s high.  SMP is also back, having last braved my filters in March.  TEL is a Swiss company I’m taking a deep dive into–despite it […]

  4. […] which has a fundamental precedent to merge with Men’s Warehouse ($MW), which itself made an appearance on a previous screen.  JOSB’s Enterprise Value discount to Market Cap (84% ratio) requires a […]

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