The Stingy News Weekly: 06/06/2019
Stingy Links
Jim O'Shaughnessy talks to Tobias Carlisle
"Jim published his first book Invest Like the Best in 1994,
followed by the first edition of What Works on Wall Street in 1997,
How to Retire Rich in 1998, and Predicting the Markets of
Tomorrow in 2006." [video] [Value Investing]
John Neff dies at 87
"He brought considerable wit, as well as investment wisdom, to
the proceedings, and was always generous with his time and
insights. He was a brilliant contrarian, common-sensical investor, and
one of the nicest, most decent people I have ever known." [Neff]
Volatility targeting
"When viewed through the lens of the Sharpe ratio, the research
demonstrates that while MV has enhanced outcomes, on average,
over the buy-and-hold benchmark, it does so with great variation.
In addition, enhancements are period-dependent. However, they do
alter the higher moments of the return distribution in a
favorable way, enhancing skewness and removing fat tails. Thus, they
improve utility for risk-averse investors. It's also important to
note that MV strategies are characterized by material turnover
and trading activity due to their dynamic adjustment of
exposures. The result is that MV strategies are likely to be tax
inefficient." [Markets]
F Score in Australia
"We show that when applied to the 200 largest stocks in the
Australian market, the Piotroski signal generates long/short
portfolio returns of 1.0% per month. However, much of this return is on
the short side. The long/short return is much higher against
smaller cap stocks and is evenly balanced between the long and
short sides. Positive returns are generated in 74% of months. The
premium to high F score stocks is robust to controls for the size,
value and momentum risk premia. We use three separate tests to
show that the standard explanation for the power of the F score
signal - analyst neglect of the news contained in small stocks -
isn't supported by the data. Other underlying forces must be at
work." [Value Investing]
S&P/TSX60 Value Screens
| High Dividend Yield Stocks | P/E | P/B | P/S | Yield | | Inter Pipeline (IPL) | C | C | D | A |
| Enbridge (ENB) | D | B | C | A |
| CIBC (CM) | A | B | C | A |
| Power Corp of Canada (POW) | B | A | A | A |
| BCE Inc. (BCE) | C | D | C | A |
| Bank of Nova Scotia (BNS) | B | B | C | A |
| Pembina Pipeline (PPL) | D | C | D | A |
| Brookfield Infrastructure (BIP.UN) | E | F | C | A |
| TransCanada (TRP) | C | D | E | A |
| TELUS (T) | C | D | C | A |
| Notes | More Info... |
| Low Price/Earnings Stocks | P/E | P/B | P/S | Yield | | Magna (MG) | A | B | A | C |
| Teck Resources (TECK.B) | A | A | B | E |
| EnCana (ECA) | A | A | B | D |
| Husky Energy (HSE) | A | A | A | B |
| Thomson Reuters (TRI) | A | D | E | C |
| Manulife (MFC) | A | A | B | B |
| Nutrien (NTR) | A | B | B | C |
| CIBC (CM) | A | B | C | A |
| Bombardier (BBD.B) | A | F | A | F |
| National Bank (NA) | A | C | C | B |
| Notes | More Info... |
| Low Price/Book Value Stocks | P/E | P/B | P/S | Yield | | First Quantum (FM) | B | A | B | E |
| Husky Energy (HSE) | A | A | A | B |
| Teck Resources (TECK.B) | A | A | B | E |
| EnCana (ECA) | A | A | B | D |
| Cenovus Energy (CVE) | F | A | A | C |
| Power Corp of Canada (POW) | B | A | A | A |
| Kinross Gold (K) | F | A | B | F |
| Manulife (MFC) | A | A | B | B |
| Cameco (CCO) | E | A | D | E |
| Imperial Oil (IMO) | B | A | B | C |
| Notes | More Info... |
| Canadian Stock Summary | Yield | P/E | P/B | | CIBC (CM) | Y | Y | |
| EnCana (ECA) | | Y | Y |
| Husky Energy (HSE) | | Y | Y |
| Manulife (MFC) | | Y | Y |
| Power Corp of Canada (POW) | Y | | Y |
| Teck Resources (TECK.B) | | Y | Y |
| BCE Inc. (BCE) | Y | | |
| Bank of Nova Scotia (BNS) | Y | | |
| Bombardier (BBD.B) | | Y | |
| Brookfield Infrastructure (BIP.UN) | Y | | |
| Cameco (CCO) | | | Y |
| Cenovus Energy (CVE) | | | Y |
| Enbridge (ENB) | Y | | |
| First Quantum (FM) | | | Y |
| Imperial Oil (IMO) | | | Y |
| Inter Pipeline (IPL) | Y | | |
| Kinross Gold (K) | | | Y |
| Magna (MG) | | Y | |
| National Bank (NA) | | Y | |
| Nutrien (NTR) | | Y | |
| Pembina Pipeline (PPL) | Y | | |
| TELUS (T) | Y | | |
| Thomson Reuters (TRI) | | Y | |
| TransCanada (TRP) | Y | | |
| Notes... |
DOW 30 Value Screens
| High Dividend Yield Stocks | P/E | P/B | P/S | Yield | | IBM (IBM) | B | D | B | A |
| Exxon Mobil (XOM) | C | B | A | A |
| Verizon (VZ) | B | C | B | A |
| DowDuPont (DWDP) | A | A | A | A |
| Chevron (CVX) | C | A | B | A |
| 3M (MMM) | C | E | C | A |
| Walgreens (WBA) | A | B | A | B |
| Pfizer (PFE) | D | C | D | B |
| Caterpillar (CAT) | A | C | B | B |
| Coca-Cola (KO) | E | E | E | B |
| Notes | More Info... |
| Low Price/Earnings Stocks | P/E | P/B | P/S | Yield | | DowDuPont (DWDP) | A | A | A | A |
| Goldman Sachs (GS) | A | A | C | D |
| Walgreens (WBA) | A | B | A | B |
| Intel (INTC) | A | B | C | C |
| Caterpillar (CAT) | A | C | B | B |
| JP Morgan Chase (JPM) | A | A | D | B |
| IBM (IBM) | B | D | B | A |
| Verizon (VZ) | B | C | B | A |
| Travelers (TRV) | B | A | A | D |
| American Express (AXP) | B | C | C | E |
| Notes | More Info... |
| Low Price/Book Value Stocks | P/E | P/B | P/S | Yield | | DowDuPont (DWDP) | A | A | A | A |
| Goldman Sachs (GS) | A | A | C | D |
| Chevron (CVX) | C | A | B | A |
| JP Morgan Chase (JPM) | A | A | D | B |
| Travelers (TRV) | B | A | A | D |
| Exxon Mobil (XOM) | C | B | A | A |
| Walgreens (WBA) | A | B | A | B |
| Walt Disney (DIS) | B | B | D | E |
| Intel (INTC) | A | B | C | C |
| United Technologies (UTX) | D | B | B | D |
| Notes | More Info... |
| US Stock Summary | Yield | P/E | P/B | | DowDuPont (DWDP) | Y | Y | Y |
| Walgreens (WBA) | Y | Y | Y |
| Caterpillar (CAT) | Y | Y | |
| Chevron (CVX) | Y | | Y |
| Exxon Mobil (XOM) | Y | | Y |
| Goldman Sachs (GS) | | Y | Y |
| IBM (IBM) | Y | Y | |
| Intel (INTC) | | Y | Y |
| JP Morgan Chase (JPM) | | Y | Y |
| Travelers (TRV) | | Y | Y |
| Verizon (VZ) | Y | Y | |
| 3M (MMM) | Y | | |
| American Express (AXP) | | Y | |
| Coca-Cola (KO) | Y | | |
| Pfizer (PFE) | Y | | |
| United Technologies (UTX) | | | Y |
| Walt Disney (DIS) | | | Y |
| Notes... |
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