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The Stingy News Weekly (06/08/2014)


"Success in investing doesn't correlate with I.Q. once you're above the level of 25. Once you have ordinary intelligence, what you need is the temperament to control the urges that get other people into trouble in investing."
- Warren Buffett


Stingy Links

Portfolio tracking is for losers
"If we can't stop ourselves being biased by market information then we have the alternative of avoiding it. The idea that we should cut ourselves off from our portfolios and limit our exposure to market news is anathema to the majority of us, but we'd probably end up wealthier as a result."


Does Academic Research Kill Returns?
"On average, long-short versions of the 82 investment strategies enjoyed risk-adjusted returns (alpha) of 9.5% per year within the data sample. In the second period, after the initial study was concluded but before the paper was published, the alpha dipped by 13%, to 8.5% annualized. After publication, alpha fell much by the much larger percentage of 44%, landing at 4.8%."


Academic research and return predictability
"We study the out-of-sample and post-publication return-predictability of 82 characteristics that are identified in published academic studies. The average out-of-sample decay due to statistical bias is about 10%, but not statistically different from zero. The average post-publication decay, which we attribute to both statistical bias and price pressure from aware investors, is about 35%, and statistically different from both 0% and 100%. Our findings point to mispricing as the source of predictability. Post-publication, stocks in characteristic portfolios experience higher volume, variance, and short interest, and higher correlations with portfolios that are based on published characteristics. Consistent with costly (limited) arbitrage, post-publication return declines are greater for characteristic portfolios that consist of stocks with low idiosyncratic risk."


Price to sales ratio backtest
"This backtest of the Price/Sales ratio reveals that the first quintile outperforms the S&P 500 Equal Weight Index benchmark. The second through fifth quintiles have lower average annual excess returns than each of the previous quintiles and the overall trend in excess returns is a linear decrease as the P/S ratio increases."


Price to free cash flow ratio backtest
"This backtest of the P/FCF ratio reveals that the first quintile outperforms the S&P 500 Equal Weight Index benchmark. The second through fifth quintiles have lower average annual excess returns than each of the previous quintiles and the overall trend in excess returns is a linear decrease as the P/FCF ratio increases."


An astonishing record of complete failure
"In the 2001 issue of the International Journal of Forecasting, an economist from the International Monetary Fund, Prakash Loungani, published a survey of the accuracy of economic forecasts throughout the 1990s. He reached two conclusions. The first was that forecasts are all much the same. There was little to choose between those produced by the IMF and the World Bank, and those from private sector forecasters. The second conclusion was that the predictive record of economists was terrible. Loungani wrote: 'The record of failure to predict recessions is virtually unblemished.'"



DOW 30 Value Screens

High Dividend Yield StocksP/EP/BP/SYield
AT&T (T)5545
Verizon (VZ)5145
Pfizer (PFE)5415
Chevron (CVX)5555
General Electric (GE)1535
Procter & Gamble (PG)2435
Intel (INTC)4424
McDonald's (MCD)3124
Cisco (CSCO)3424
Merck (MRK)1314
Notes | More Info...


Low Price/Earnings StocksP/EP/BP/SYield
Travelers (TRV)5542
Pfizer (PFE)5415
AT&T (T)5545
Goldman Sachs (GS)5531
Verizon (VZ)5145
Chevron (CVX)5555
IBM (IBM)4132
Exxon Mobil (XOM)4453
JP Morgan Chase (JPM)4534
UnitedHealth (UNH)4451
Notes | More Info...


Value Ratio StocksP/EP/BP/SYieldV.R.
AT&T (T)55451.94
Verizon (VZ)51452.57
Pfizer (PFE)54152.58
Chevron (CVX)55553.50
Travelers (TRV)55423.91
Intel (INTC)44244.72
JP Morgan Chase (JPM)45345.02
Exxon Mobil (XOM)44535.09
IBM (IBM)41325.40
Cisco (CSCO)34245.47
Notes | More Info...


US Stock SummaryYieldP/EV.R.
AT&T (T)YYY
Chevron (CVX)YYY
Pfizer (PFE)YYY
Verizon (VZ)YYY
Cisco (CSCO)YY
Exxon Mobil (XOM)YY
IBM (IBM)YY
Intel (INTC)YY
JP Morgan Chase (JPM)YY
Travelers (TRV)YY
General Electric (GE)Y
Goldman Sachs (GS)Y
McDonald's (MCD)Y
Merck (MRK)Y
Procter & Gamble (PG)Y
UnitedHealth (UNH)Y
Notes...



S&P/TSX60 Value Screens

High Dividend Yield StocksP/EP/BP/SYield
Crescent Point (CPG)1315
Canadian Oil Sands (COS)5225
TransAlta (TA)0445
Penn West Petroleum (PWT)0535
BCE Inc. (BCE)3135
National Bank (NA)5335
Enerplus (ERF)1215
Rogers (RCI.B)4135
CIBC (CM)5235
Bank of Montreal (BMO)5435
Notes | More Info...


Low Price/Earnings StocksP/EP/BP/SYield
National Bank (NA)5335
Bank of Montreal (BMO)5435
Manulife (MFC)5533
Bombardier (BBD.B)5153
CIBC (CM)5235
Brookfield (BAM.A)5442
Royal Bank (RY)5224
Bank of Nova Scotia (BNS)5324
Canadian Oil Sands (COS)5225
Power Corp of Canada (POW)4554
Notes | More Info...


Value Ratio StocksP/EP/BP/SYieldV.R.
Canadian Oil Sands (COS)52252.22
National Bank (NA)53352.52
Bank of Montreal (BMO)54352.88
CIBC (CM)52352.99
Royal Bank (RY)52243.39
Rogers (RCI.B)41353.44
Power Corp of Canada (POW)45543.59
Bank of Nova Scotia (BNS)53243.59
Shaw (SJR.B)42353.86
BCE Inc. (BCE)31353.96
Notes | More Info...


Canadian Stock SummaryYieldP/EV.R.
Bank of Montreal (BMO)YYY
CIBC (CM)YYY
Canadian Oil Sands (COS)YYY
National Bank (NA)YYY
BCE Inc. (BCE)YY
Bank of Nova Scotia (BNS)YY
Power Corp of Canada (POW)YY
Rogers (RCI.B)YY
Royal Bank (RY)YY
Bombardier (BBD.B)Y
Brookfield (BAM.A)Y
Crescent Point (CPG)Y
Enerplus (ERF)Y
Manulife (MFC)Y
Penn West Petroleum (PWT)Y
Shaw (SJR.B)Y
TransAlta (TA)Y
Notes...



The Rothery Report
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The Rothery Report provides research on select deep-value stocks in North America. Discover overlooked and undervalued stocks in quarterly investment reports which provide detailed analysis of Canadian and U.S. stocks. Weekly email news and additional updates keep subscribers informed about new opportunities and developments.

Rothery Report Performance
(03/31/2001 to 03/31/2014)
Average Capital Gain
47.5%



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Disclaimers: Consult with a qualified investment adviser before trading. Past performance is a poor indicator of future performance. The information on this site, and in its related newsletters, is not intended to be, nor does it constitute, financial advice or recommendations. The information on this site is in no way guaranteed for completeness, accuracy or in any other way. More...