Diary of a Financier

Quant Screens: Negative Enterprise Value (May 2013)

In Capital Markets on Thu 9 May 2013 at 18:50

My Negative Enterprise Value screen scored the following names as the highest ranking outputs on 5/3:

  1. FXCM Inc ($FXCM)- watch list

Output_Negative EV (2013.05.03)

$FXCM is currently on my watch list, and I’ll disclose any upgrades or new positions on my trade reconciliation.

This is a screen for deep value, basically cash for a discount. While there are still a few names out there with negative EVs, this rally has made value hard to come by. It’s getting to be slim pickings, since few candidates qualify for my output due to either illiquidity or apparent fundamental unsustainability.

–Romeo

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  1. […] beta is around 0.89 vs 0.76 benchmark; sigma 1.39 vs 0.82 benchmark. I’m really poaching $FXCM and $USO for entry points here.  The Regional Bank ETF ($KRE) may also be a candidate after […]

  2. […] Quant study: Returns on negative Enterprise Value stocks (1972-2012) | Greenbackd For 2,613 historical occurrences, a subsequent 12-month holding period averaged returns of 50.4%. [Hence, one of my best performing quant screens.] […]

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