Diary of a Financier

Quant Screens: Core Value (April 2013)

In Trading Desk on Tue 30 Apr 2013 at 17:09

My Core Value screen scored the following names as the highest ranking outputs on 4/12:

  1. Compania Cervecerias Unidas ($CCU)
  2. Westjet Airlines ($WJA.TO)
  3. Joseph A Bank Clothiers ($JOSB)- bought 4/30
  4. Foot Locker ($FL)- bought 4/30
  5. Genesco Inc ($GCO)- bought 4/30
  6. Cisco Systems ($CSCO)- vetoed

Output- Core Value 2013.04.12

This month’s screen was not radically different from March’s, however there was a bit of a shuffling of the deck, with some new friends rallying their way out of the list and old friends coming back for more.

Some of the names from my output reached technical sweet spots today, prompting me to initiate new positions, as I disclosed on my trade reconciliation. I used only 3% of our capital in total to buy long positions in JOSB, FL & GCO this morning, since they’re all apparel retailers. At time of purchase, the names were all trading in the red since inception of the latest quant screen (4/12); all ended trading up more than 1% intraday after my orders executed.

Like I said, their technicals were ripe, with all trading at or near trendline resistance of major bull flags with bull divergence. JOSB’s construction is especially long term, best viewed from the weekly fractal, which means the breakout rally may take longer to materialize, but it should also be more powerful:

JOSB weekly

JOSB weekly

Albeit months (almost a year) in the making, GCO is just a straight-up bull flag, closing right at trendline resistance, which means a breakout is neigh:

GCO daily

GCO daily

Then there’s FL, which is the hairiest of the three. FL resembles a bull flag from space, but closer inspection of the daily chart says there’s a risk of the pattern losing-out in struggle with a bearish descending triangle (support $31.25-32.00):

FL daily

FL daily

JOSB & GCO are particularly high conviction positions, due to their stellar fundamental scores, high probability classical pattern setups, and technical indicators concurring across all major fractals.

Plus, I see a real kicker in JOSB, 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 catalyst to unlock its value, and now that their cycle of discounting merchandise has run its course, JOSB will get pressured to do something like seek strategic alternatives with synergistic partners.

~~~~

Here’s a followup on the outputs from my last Core Value screen 3/15:

Output- Core Value 2013.03.15

Passive +4.39% (alpha= +1.92)
Active +6.18% (alpha= +3.71)
SPX +2.47%

–Romeo

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  1. […] the performance from the opened positions over this past month; buys all executed […]

  2. […] the performance from the opened positions over this past month; buys executed 4/30 & 6/10, as specified […]

  3. […] sector seems cheap relative to forward expectations though.)  Again, $MW would overlap with our preexisting $JOSB position, but I’m glad that takeover/merger battle is materializing as envisioned.  […]

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