Diary of a Financier

Quant screen: Core Value (August 2013)

In Trading Desk on Wed 21 Aug 2013 at 17:12

My Core Value screen scored the following names as the highest ranking outputs on 8/15:

  1. American Railcar Industries ($ARII)- bought 6/10
  2. Hess ($HES)- vetoed
  3. Westjet Airlines ($WJA.TO)- watch list
  4. Foot Locker ($FL)- bought 4/30
  5. Genesco ($GCO)- bought 4/30
  6. Tyson Foods ($TSN)- new to list
  7. Standard Motor Products ($SMP)
  8. TE Connectivity ($TEL)- new to list

Core Value 2013.08.15

My retailers FL and GCO have pulled back in a couple volatile weeks, putting them back on the screen. Still awaiting an entry point on WJA, which remains on the 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 being +34% ytd and ranking at the bottom of my final output (#8 net, #15 gross rank). Finally, TSN is the second best performer on the S&P 500 (+63% ytd), so I don’t expect to touch it and will likely demote it to the vetoed list.

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 elsewhere herein:

$ARII +5.29%
$FL -2.95%
$FXCM +15.01%
$GCO +14.72%
$IBKR +2.53%
$JOSB -4.78%

Here’s a followup on the last Core Value screen 7/12:

Passive +3.08% (alpha= +4.85)
Active +3.23% (alpha= +5.00)
SPX -1.77%

Core Value 2013.07.12 (followup)

The Negative Enterprise Value screen was little changed m/m, so I’m not going to post a refreshed output, but here’s a followup on the last screen, run 7/12:

Active & Passive +9.86% (alpha= +11.63)
SPX -1.77%

Negative EV 2013.07.12 (followup)

–Romeo

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