Diary of a Financier

Quant screen: Low EV (April 2014)

In Trading Desk on Thu 17 Apr 2014 at 16:30

My quantitative screens scored the following names as the highest ranking outputs for April…

Low Enterprise Value (4/11):

  1. Myriad Genetics ($MYGN)- previously
  2. IDT Corp ($IDT)- watch, new
  3. Qlogic ($QLGC)- previously
  4. Vishay Intertechnology ($VSH)- previously
  5. Charles Schwab ($SCHW)- previously
  6. Nvidia Corp ($NVDA)- bought 4/1
  7. FXCM Inc ($FXCM)- bought 6/21/13
  8. Ceva Inc ($CEVA)- watch, new
  9. Marvell Technology ($MRVL)- bought 2/18

Low EV 2014.04.11

Core Value (3/13):

Unchanged (see update below)

~~~~

I’ve been pretty active in this downturn (see my Trade Reconciliation), accumulating new exposure in contrarian plays like China ($GXC) and $GNC, plus swapping out some index holdings for recent Quant Screen constituents.  I haven’t been able to open a position in Barnes Group ($B), which has finally given me a nice setup after appearing on March’s Core Value screen, but I expect to execute on a buy therein next week.

The portfolio’s asset allocation is 65/29/6 vs 60/40 benchmark (stocks/bonds/cash), with beta at 0.83 vs 0.78 benchmark, and sigma 1.04 vs 0.77.

~~~~

Here’s the performance-to-date (total return) of unrealized positions still open from prior screens; buys executed throughout the year, as specified in my trade reconciliations:

$AGX -9.48%
$BMA +34.43
$FL +31.25
$FXCM -3.64
$HCI -12.90
$JOSB +48.60
$MRVL -0.12
$NDZ +34.64
$NVDA -1.24
$TGA +1.27
$VMI +8.95

Here are the total returns of positions closed ytd:

$ARII +61.93%
$GCO +19.04
$IBKR +39.97
$SMP +10.80

Here’s a followup on the last Low Enterprise Value screen 3/12:

Passive -0.74% (alpha= -0.26)
Active +0.13% (alpha= +0.61)
SPX -0.48%

 

Low EV 2014.03.12_updateHere’s a followup on the last Core Value screen 3/13:

Passive & Active +5.11% (alpha= +4.46)
SPX +0.65%

Core Value 2014.03.13_update

 

–Romeo

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