The list of stocks
Last 12-Month Return % (Momentum)
Beta
EPS Surprise %
M/B Ratio
P/E Ratio
Valuation %
Volatility %
This week we continue with our screen for high Alpha, low Beta stocks [see previous two posts]. If you compare this week's list with the first list, you will notice that many of the stocks were on the first list e.g. Frontier Gold, US Gold, Logmein, 7-Days Group etc. You will also realize that many of the stocks are in the high expectations industries e.g. mining, biotech, Chinese Internet, Oil and Gas. These are what we usually think of as high Beta stocks, but the difference is that these particular stocks have a high Alpha and low Beta-which makes any run-up more sustainable [see their low Beta values in top table]. But ValuEngine's Beta are longer term Betas, and therefore it is possible for these stocks to have short term correction. Frontier Gold was 9.19 when we listed it two weeks ago versus 10.42 now. US Gold was 5.56 versus 7.56 now, Western Refining was 9.25 versus 10.22 now. So whether these stocks continue to run up depends on the market, the perceptions on Gold, Oil and the USD. What we can do is to take a look at the performance of this week's portfolio next week. For now, just take a look at each of the image maps based on some of the model variables. First of all, note that the list of stocks are in two clusters: One in segment S3 and the other in segment S1. Segment S3 include the red-hot stocks like FRG,UXG and WNR which have already made good gains.
Last 12-Month Return % (Momentum)
Beta
EPS Surprise %
M/B Ratio
P/E Ratio
Valuation %
Volatility %
This week we continue with our screen for high Alpha, low Beta stocks [see previous two posts]. If you compare this week's list with the first list, you will notice that many of the stocks were on the first list e.g. Frontier Gold, US Gold, Logmein, 7-Days Group etc. You will also realize that many of the stocks are in the high expectations industries e.g. mining, biotech, Chinese Internet, Oil and Gas. These are what we usually think of as high Beta stocks, but the difference is that these particular stocks have a high Alpha and low Beta-which makes any run-up more sustainable [see their low Beta values in top table]. But ValuEngine's Beta are longer term Betas, and therefore it is possible for these stocks to have short term correction. Frontier Gold was 9.19 when we listed it two weeks ago versus 10.42 now. US Gold was 5.56 versus 7.56 now, Western Refining was 9.25 versus 10.22 now. So whether these stocks continue to run up depends on the market, the perceptions on Gold, Oil and the USD. What we can do is to take a look at the performance of this week's portfolio next week. For now, just take a look at each of the image maps based on some of the model variables. First of all, note that the list of stocks are in two clusters: One in segment S3 and the other in segment S1. Segment S3 include the red-hot stocks like FRG,UXG and WNR which have already made good gains.The images are self-explanatory. The stocks are plotted against the backdrop of the S&P500 stocks.
Look at where the stocks are positioned, and look at the scale below. In general, these high Alpha stocks have become more expensive [see valuation map], with high P/E ratio, and higher volatility. But their M/B Ratio is low and the EPS Surprise % is very high. Momentum is high, and Beta is higher for the stocks in S3, but lower for the stocks in S2.
My bet is on the lower Beta stocks in S2: PBT,LOGM,SVN,MNRO,OPEN and HTWR. Let's see how they perform next week.
