Diary of a Financier

Quant Screens: Core Value (v3.0)

In Trading Desk on Fri 22 Mar 2013 at 18:36

My Core Value screen scored the following names as the highest ranking outputs on 3/15:

  1. Compania Cervecerias Unidas ($CCU)- watchlist
  2. Westjet Airlines ($WJA.TO)- watchlist
  3. Standard Motor Products ($SMP)- watchlist
  4. Foot Locker ($FL)- new to list
  5. Genesco Inc ($GCO)
  6. Cisco Systems ($CSCO)- vetoed; too much idiosyncratic risk; awash in cash, which suggests it can’t find investment opportunities to increase ROE (don’t want to rely on speculation that they can find an acquisition target at a reasonable price that can meaningfully increase the growth rates of a $110B market cap company doing $48.6B in sales, so once they distribute cash to shareholders, the lack of growth in OCF since 2007 doesn’t make me think there’s sustainable value here).

Output- Core Value 2013.03.15

A few of these individual holdings will pass my subsequent layers of due diligence, and I’ll perhaps deploy some cash to initiate positions.

~~~~

Here’s a followup on the outputs from my last Core Value screen 2/21:

Output- Core Value 2013.02.15

Passive +5.41% (alpha= +3.12)
Active +8.01% (alpha= +5.72)
SPX +2.29%

–Romeo

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  1. […] Value screen upgraded from version 2.0 to 3.0 in February […]

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