Diary of a Financier

Quant screen: Core Value (July 2013)

In Trading Desk on Mon 22 Jul 2013 at 21:55

My Core Value screen scored the following names as the highest ranking outputs on 7/12:

  1. Hess ($HES)- watch list
  2. Westjet Airlines ($WJA.TO)- watch list
  3. American Railcar Industries ($ARII)- bought 6/10
  4. Foot Locker ($FL)- bought 4/30

Core Value 2013.07.12

The only newcomer to this list, HES has been a battleground stock for a couple quarters now, so I’m not sure if much research can provide an edge–I’ll take a look though. WJA has made a few appearances on this screen since 1q13, but I’ll take another hard look now that it’s fallen 20% since May’s high.

I’ll be sure to update any trade activity in my reconciliation.

~~~~

Here’s the performance to date of unrealized positions still open from prior screens; buys executed 4/30 & 6/10, as specified above:

$ARII +8.05%
$FL +5.66%
$GCO +19.59%
$JOSB -3.6%

Here’s a followup on the last Core Value screen 5/24:

Passive +4.29% (alpha= +1.76)
Active +8.10% (alpha= +5.57)
SPX +2.53%

Core Value 2013.05.24

–Romeo

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