The Quant View: Pausing for a Breath...Or Running Out of Gas? By David Brown | June 09, 2009

17 Jun 4:50am
The Quant View: Pausing for a Breath...Or Running Out of Gas? By David Brown | June 09, 2009

Was Monday's market action a pause to catch a breath, or is it running out of gas? Pundits are on both sides of the fence, but in my view the trend is still up until proven otherwise.

A steady dose of positive economic data fueled yet another positive week on Wall Street, led by the surging Small-cap Growth stocks, up 5.9%. The worst performance came from Large-cap Value stocks, which were still up 1.5%.

The chief economic concern has been unemployment, so the most welcome news of the week was the labor statistics published on Friday. Yet somewhat surprisingly, Friday ended slightly down for the day, and that slight negative feeling has carried over into Monday, though to be sure, the saber rattling of North Korea doesn't help matters.

Still, one cannot help but wonder whether the current rally is losing steam, or perhaps has completely run out of gas, although I believe the latter is unlikely. If you'll look at the Style/Cap table below, you can see that Small-caps performance is now at approximately 50% over the past three months, with Large-cap and Mid-cap stocks in the high 30% and 40%.

From a sector viewpoint, Industrials led the way, up 5.6% for the week, followed by Technology and Consumer Discretionary. The latter was triggered by fairly positive housing data reports on several occasions throughout the week. Telecom, Financials and Health Care were at the bottom of the sector rankings, but still positive for the week.

From an industry viewpoint, Auto Components was the leader, spurred on by optimism generated by the agreement with the bondholders that resulted in a view that a leaner, meaner GM will emerge from bankruptcy, which was announced last week. Hence, the Auto Components industry was up 9.6%. Machinery, Internet Retail, Airlines and Aerospace & Defense were close behind, while Commercial Banks and Marine companies brought up the rear.




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The Quant View: Pausing for a Breath...Or Running Out of Gas? By David Brown | June 09, 2009

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Sabrient Systems LLC, headquartered in Santa Barbara, CA, is an independent equity research firm catering primarily to institutions, money managers, and hedge funds. We employ a computer-driven, fundamentals-based quantitative methodology that adapts to evolving market preferences to identify stocks that appear poised to outperform or under-perform the market. Sabrient's strong performance, quality reports, and broad coverage have made us a primary independent research provider (IRP) in the Global Research Analyst Settlement. Through a competitive process, several major brokerage firms including Lehman Bros, Bear Stearns, Deutsche Bank, CSFB, UBS, and Thomas Weisel have selected Sabrient's weekly reports for distribution to their clients. All told, 7 of the 12 settlement parties are employing Sabrient's research! Moreover, we were selected for E*TRADE's new independent research initiative which was just launched in December. We not only provide weekly reports on their defined universe, but also various sets of actionable stock picks for specialized themes. The Sabrient methodology was developed by an experienced research team led by David Brown, a former NASA scientist and retired CEO of Telescan (and designer of its premier stock search program, ProSearch). Employing a scientific approach, the team has created a library of robust, multi-factor filters, each targeting a key area of traditional stock analysis: value, growth, and momentum. Through a dynamic/adaptive process, Sabrient continually monitors them to ensure that the best performing filters are at work. ROBUST RESULTS Sabrient is now participating on the Investars site (http://www.Investars.com), which rates the relative performance of research providers. Looking at the net returns of both buy and sell ratings across our entire coverage universe over the past year, Sabrient consistently ranks in the top quartile out of 46 research firms covering more than 500 stocks (including firms with unaudited ratings). According to Willy Ballmann and Tan Lien Seng of SHK Fund Management Ltd., "Thanks to today's abundance of computing power and extensive financial databases, a quant model can monitor and analyse many more stocks in a systematic fashion than any human analyst ever could. Therefore, a quant model's main strength lies in the disciplined process of applying a small edge repeatedly to find as many independent investment opportunities as possible. The resulting broad diversification increases the chances of achieving superior risk-adjusted returns." (source: EurekaHedge - Hedge Fund Monthly) And Sabrient accomplishes this quite well. Our picks have consistently beaten the market benchmarks, and in fact, our micro-cap growth picks have beaten their benchmark by an average of 42% per year! Our approach works well across all market caps. Whether you prefer large, mid, small, or micro-caps, Sabrient's selections can help add alpha to your portfolios. But, in particular, if you are looking for the best small and micro-cap stocks, which are largely uncovered by Wall Street, this is where our scientific, computer-based, quantitative approach works best! We routinely uncover those proverbial diamonds in the rough. (Visit our website for more performance data.)