Fundamental

Fundamental is a moderately low-beta, moderately low-turnover trading plan for stocks traded on major U.S. exchanges. It focuses on providing above-market returns over the longer term while keeping a variability of returns that is similar to the market’s risk profile.

Information is as of the close on November 9, 2007.

Model Allocation

These are the twenty qualifiers with highest ROE, shown in ticker alpha sort. This system would buy an equal-weighted share (approx. 5%) in each security, and hold for four weeks before re-evaluating.

Affiliated Mgrs Grp (AMG)
Abercrombie & Fitch (ANF)
Amphenol Cp (APH)
Cpfl Energia Sa Ads (CPL)
Diamond Offshore Drl (DO)
Garmin Ltd. (GRMN)
Gymboree Corporation (GYMB)
Infosys Technologies Limited (INFY)
Jones Lang LaSalle (JLL)
Kinetic Concepts Inc (KCI)
Mobile Telsys Ojsc (MBT)
Mcdermott Int Panama (MDR)
Microsoft Corporation (MSFT)
Mechel Oao Ads (MTL)
Nvidia Corporation (NVDA)
Partner Communications Co. Ltd. (PTNR)
TransOcean Inc (RIG)
Sap Aktiengesell Ads (SAP)
SEI Investments Company (SEIC)
Schlumberger Ltd (SLB)

Tracking

Consider this site’s initial post on the model to be a “buy” on Monday’s open, at market, for the above allocations.

This entry was written by Bill Rempel, posted on November 11, 2007 at 8:17 pm, filed under Systems-Fundamental. Bookmark the permalink. Follow any comments here with the RSS feed for this post. Post a comment or leave a trackback: Trackback URL. Print This Post

3 Comments

  1. rrdlj123
    Posted November 11, 2007 at 11:01 pm | Permalink

    Bill,
    So the position is 100% long, correct? I like the use of ROE, it feels comfortable with my favoring dividends related picks. I will be watching how this turns out. Congrats and good luck with the new site. Dallas

  2. ritholtz
    Posted November 12, 2007 at 4:43 am | Permalink

    Hey Bill, very nice redesign!

    Its clean, loads fast, soft colors are easy on the eyes.

    Very professional looking — better than the doodahs . . .

  3. Bill Rempel
    Posted November 12, 2007 at 4:48 am | Permalink

    Yes, this system is 100% long 100% of the time. Any trader’s or system’s return is composed of the market return, plus contributions from technical factors in security selection or entry/exit, contributions from fundamental factors in security selection, and blind luck. Holding 20 at a time will hopefully minimize the role of luck, and this system doesn’t use technical analysis, hence the name “Fundamental.”

    The earnings quality metrics may tend to stilt this system towards dividend-payers over the long haul.

Post a Comment

You must be logged in to post a comment.