Presentation For Mta


CHANGE is the most useful word in the dictionary for making money in the stock market. By measuring

change across technical, fundamental and seasonal data points, opportunities can be exploited.

THE TREND IS YOUR FRIEND..sometimes, he likes to play hide and seek…


Portfolio Manager Points:

•Save time: too many stocks too little time…•Beat peer group•Grow AUM

Investor Points:

•Improve Win/Loss Ratio

•Increase velocity of turns, avoid dead money

•Capture the bulk of a move, early actionable…

“Determine your strike zone and make them pitch to it”, Teddy Ballgame


The Technical Components of Change:

Momentum Factor:

CP – P5 = M

Where CP is Current Price, P5 is Price 5 days ago and M is momentum.

This short-term momentum indicator measures Week over Week change, providing a faster moving component to complement our long-term trend factor.


0

10

20

30

40

50

60

70

80

90

100

1/7/ 2009 1/17/2009 1/27/2009 2/6/ 2009 2/16/2009 2/26/2009 3/8/ 2009 3/18/2009 3/28/2009 4/7/ 2009 4/17/2009 4/27/2009

AMZN Price

AMZN Score

Universe

AMZN score crosses above large cap average universe score near


0

200

400

600

800

1000

1200

1400

1600

1800

7/24/1998 12/6/1999 4/19/2001 9/1/2002 1/14/2004 5/28/2005 10/10/2006 2/22/2008 7/6/2009 11/18/2010

SPX

200 dma

Upper Band

Lower Band

Long Term Trend Factor:

Simple Moving Average analysis using 200 day moving average supplemented with an upper and lower band range.

200dma (1.05) = Upper Band

200dma (0.95) = Lower Band


0

20

40

60

80

100

120

9/1/2002 1/14/2004 5/28/2005 10/10/2006 2/22/2008 7/6/2009 11/18/2010

IYT Adj Close

200dma

Upper Band

Low er Band

The spread between the lower and upper band is a neutral bias. The use of a banded 200dma helps reduce head fakes and false positives, allowing additional conviction.

Scores are rewarded above the upper band and punished below the lower band. A move from below the lower band or down from above the upper band would add or subtract a specified number of points from the security’s score.

Score + or – Long Term Trend Factor = adjusted score.


0

10

20

30

40

50

60

70

80

90

100

9/9/2008 10/29/2008 12/18/2008 2/6/2009 3/28/2009 5/17/2009

NFLX Weekly Score

Universe Avg. Score

NFLX moves to an 80 on 12/11 ($27.89)

NFLX moves to a 90 on 1/3 ($31.94).

NFLX price peaks at $49 April 13th.

NFLX 2008-2009

0

5

10

15

20

25

30

35

40

45

50

9/9/2008 10/29/2008 12/18/2008 2/6/2009 3/28/2009 5/17/2009

Price

200dma

Top Range

Bottom Range


0

5

10

15

20

25

30

8/6/2007 11/14/2007 2/22/2008 6/1/2008 9/9/2008 12/18/2008 3/28/2009 7/6/2009

PFE Chart

200dma

Upper Band

Low er Band


Other Technical inputs considered in our process for commentary:

•50dma crossover above 200dma

•VIX as cross-check at inflection points only

•% of our 1800 stock universe above our upper 200dma band, by market cap, sector or industry.

•% of our 1800 stock universe below our lower 200dma band, by market cap, sector or industry.

•Sector and industry returns for 1-3 month and year-to-date measured by widely traded ETF’s


Volume Analysis:

•Dow theory:

• V + P = Bullish

• V + P = Bullish

• V + P = Bearish

• V + P = Bearish

5 d(V)/M(V) and M(V)/YTD(V) = Ratio of Sentiment

Where d = days, V = average daily volume, M= Monthly average daily volume, YTD = year-to-date average daily volume.

Average Daily Volumes

DBB (Base Metals ETF)

March & April YTD % Change

461,000 273,326 68.81%

Feb 28th

$11.64 $13.89 19.33%


•Transports action vs. SPX/DJIA action – confirm or deviate.

•Intraday activity

oDown open, intraday low, up close = Bullish

oUp open, intraday low, up close = Bullish

oUp open, intraday high, down close = Bearish

oDown open, intraday high, down close = Bearish.

Informal Action

oWatch 11am action – international close.

oWatch 2pm action – coincident properties to end of day


Other:

• Correlation and divergence of various asset classes – re. dollar gold relationship.

oCorporate bond action vs. equity action.

oHigh yield action vs. equity action.

oBond ETF action vs. equity action.

oDollar vs. Commodity action.

o Front Page Factor…are folks too pessimistic? Optimistic?

o MACD at oversold/overbought levels.

• Investor Behavior relative to news flow

oGood news as bad = Bearish

oBad news as good = Bullish

• Look for relative strength divergences with price.

• Fibonacci levels at inflection points.


FUNDAMENTAL COMPONENTS OF CHANGE:

Earnings Momentum

FY – CY =

Where FY is future year Street consensus and CY is Current Year

Earning Beats: Absolute Basis

oTrailing 4 Qtrs

oRE-SE=BEAT/MISS

oWhere RE is Reported EPS and SE is Street Estimate

•3&4 beats = bullish

•2 beats = neutral

•0&1 beat = bearish


Insider Buying

•At the market insider purchases by key insiders (CEO, SVP, CFO, etc)

•Not compensation related purchases or options exercising.

•Same price investors would pay.

•Reflects true level of optimism in the company future, eliminating the corporate bias/cheerleading permeating analyst days

Note: BBY CEO bought over $40mn of stock in October at $21-23; the stock has traded as high as $40 since.


Short Interest

High SI = Bullish

Where SI = short interest days-to-cover short based on average daily volumes and total shares short.

•Consider SI across sectors at inflection points and vs. prior rallies to gauge slope and duration of the move.

•Consider SI by market cap

•Avoid the temptation to be SPX centric on SI

The higher days-to-cover the more likely demand from covering activity will drive price momentum higher given:

•The stock has positive technicals.

•The stock is enjoying EPS growth.

•The stock is beating Street estimates.

•The stock is being undervalued vs. historical levels.

•The stock has positive 3-month seasonal support.


PE Range Analysis

CY PE / 5 YR PE Low

FY PE/ 5 YR PE Low

CY PE / 5 YR PE High

FY PE / 5 YR PE High

Where CY is current year and FY is future year.

Relative position of ratio of PE to historical 5 Year PE range indicates current sentiment in relation to prior years sentiment.

•Investors are willing to pay a range for each $ of EPS.

•The range will be wider and higher for early development companies.

•The range may be wider and higher for high growth EPS companies.

•Dislocations of investor sentiment represent a deviation of sentiment from historical PE ranges, providing insight into future upside or downside as investor sentiment normalizes.

•Reflects investor Fear/Greed pendulum.

1. Stocks trading above 5 Year PE ranges represent overly enthusiastic investor sentiment, which will pressure future returns.

2. Stocks trading below % year PE ranges represent overly pessimistic investor sentiment, which will support future returns.


Seasonality Factor•Rolling 5-year calendar quarter returns.

•QE AC – QB AC / QB AC

Where QE is quarter end close, AC is adjusted close, QB is prior quarter close

•Rolling 5-year ongoing 3-month returns.

o3ME AC – 3MB AC / 3MB AC

Where 3ME is 3 month close, AC is adjusted close, 3MB is prior 3 month close.

Ex. 7/31/08-4/30/08 divided by 4/30/08

Aggregate seasonality by individual security by:

1. Market Cap

2. Sector

3. Industry

Provides cap/sector and industry over and underweight bias.

Positive absolute returns for each period:

4 and 5 of 5 periods positive = bullish

3 of 5 = neutral

0, 1 and 2 of 5 = bearish


Where are We Today? And, Where do We go

Tomorrow?

Presentation For Mta

Documents

Transcript of Presentation For Mta