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)


  1. […] I said last month, my Negative Enterprise Value screen was little changed m/m, so I refrained from […]

  2. […] in this output,  due to either sub-standard valuations or preexisting holdings.  For example, we already own $SMP in the autoparts sector, so $MGA or $LEA would be duplicative.  (Good to note that the […]


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