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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 StocksP/EP/BP/SYield
Inter Pipeline (IPL)CCDA
Enbridge (ENB)DBCA
CIBC (CM)ABCA
Power Corp of Canada (POW)BAAA
BCE Inc. (BCE)CDCA
Bank of Nova Scotia (BNS)BBCA
Pembina Pipeline (PPL)DCDA
Brookfield Infrastructure (BIP.UN)EFCA
TransCanada (TRP)CDEA
TELUS (T)CDCA
Notes | More Info...


Low Price/Earnings StocksP/EP/BP/SYield
Magna (MG)ABAC
Teck Resources (TECK.B)AABE
EnCana (ECA)AABD
Husky Energy (HSE)AAAB
Thomson Reuters (TRI)ADEC
Manulife (MFC)AABB
Nutrien (NTR)ABBC
CIBC (CM)ABCA
Bombardier (BBD.B)AFAF
National Bank (NA)ACCB
Notes | More Info...


Low Price/Book Value StocksP/EP/BP/SYield
First Quantum (FM)BABE
Husky Energy (HSE)AAAB
Teck Resources (TECK.B)AABE
EnCana (ECA)AABD
Cenovus Energy (CVE)FAAC
Power Corp of Canada (POW)BAAA
Kinross Gold (K)FABF
Manulife (MFC)AABB
Cameco (CCO)EADE
Imperial Oil (IMO)BABC
Notes | More Info...


Canadian Stock SummaryYieldP/EP/B
CIBC (CM)YY
EnCana (ECA)YY
Husky Energy (HSE)YY
Manulife (MFC)YY
Power Corp of Canada (POW)YY
Teck Resources (TECK.B)YY
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 StocksP/EP/BP/SYield
IBM (IBM)BDBA
Exxon Mobil (XOM)CBAA
Verizon (VZ)BCBA
DowDuPont (DWDP)AAAA
Chevron (CVX)CABA
3M (MMM)CECA
Walgreens (WBA)ABAB
Pfizer (PFE)DCDB
Caterpillar (CAT)ACBB
Coca-Cola (KO)EEEB
Notes | More Info...


Low Price/Earnings StocksP/EP/BP/SYield
DowDuPont (DWDP)AAAA
Goldman Sachs (GS)AACD
Walgreens (WBA)ABAB
Intel (INTC)ABCC
Caterpillar (CAT)ACBB
JP Morgan Chase (JPM)AADB
IBM (IBM)BDBA
Verizon (VZ)BCBA
Travelers (TRV)BAAD
American Express (AXP)BCCE
Notes | More Info...


Low Price/Book Value StocksP/EP/BP/SYield
DowDuPont (DWDP)AAAA
Goldman Sachs (GS)AACD
Chevron (CVX)CABA
JP Morgan Chase (JPM)AADB
Travelers (TRV)BAAD
Exxon Mobil (XOM)CBAA
Walgreens (WBA)ABAB
Walt Disney (DIS)BBDE
Intel (INTC)ABCC
United Technologies (UTX)DBBD
Notes | More Info...


US Stock SummaryYieldP/EP/B
DowDuPont (DWDP)YYY
Walgreens (WBA)YYY
Caterpillar (CAT)YY
Chevron (CVX)YY
Exxon Mobil (XOM)YY
Goldman Sachs (GS)YY
IBM (IBM)YY
Intel (INTC)YY
JP Morgan Chase (JPM)YY
Travelers (TRV)YY
Verizon (VZ)YY
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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2019
  12: 03 11
  11: 03 08 16 22 27
  10: 04 11 18 22
  09: 06 11 17 25
  08: 12 19 31
  07: 07 26 31
  06: 06 15 21 26
  05: 01 08 15 20 27
  04: 03 13 16 21
  03: 04 12 18 25
  02: 05 13 20 25
  01: 01 08 16 22 28
2018
  12: 03 11 17 26
  11: 01 05 12 19 26
  10: 09 15 22
  09: 06 10 17 24 30
  08: 07 13 22 28
  07: 02 09 16 23 30
  06: 04 12 19 25
  05: 08 14 23 28
  04: 02 10 16 22 30
  03: 05 12 19 27
  02: 05 12 20 26
  01: 01 08 15 22 29
2017
  12: 04 11 18 24
  11: 06 12 20 27
  10: 01 07 16 23 30
  09: 04 11 17 23
  08: 07 16 20 28
  07: 02 09 16 23 30
  06: 04 11 18 26
  05: 07 14 21 28
  04: 02 09 16 23 30
  03: 05 12 19 26
  02: 05 12 19 26
  01: 02 07 15 22 29
2016
  12: 04 11 18 26
  11: 06 13 20 27
  10: 02 09 16 23 29
  09: 04 11 18 25
  08: 07 14 21 28
  07: 03 10 17 24 31
  06: 05 11 19 26
  05: 01 08 15 22
  04: 03 10 17 24
  03: 06 13 20 27
  02: 07 14 21 28
  01: 03 10 17 24 31
2015
  12: 06 13 20 27
  11: 01 08 15 22 29
  10: 04 10 18 25
  09: 05 13 20 27
  08: 17 23 30
  07: 05 12 19 26 31
  06: 06 14 21 28
  05: 03 09 17 23 31
  04: 04 12 19 26
  03: 01 07 15 22 28
  02: 07 14 21
  01: 04 12 18 25 31
2014
  12: 06 14 21 28
  11: 02 08 16 23 30
  10: 04 11 19 26
  09: 06 14 19 28
  08: 10 16 24 29
  07: 05 12 19 25
  06: 08 15 20 29
  05: 04 11 18 25 30
  04: 06 12 20 27
  03: 02 09 16 23 30
  02: 01 09 16 23
  01: 05 12 18 26
2013
  12: 02 09 16 30
  11: 03 11 17 24
  10: 06 14 20 27
  09: 09 16 23 30
  08: 04 10 25
  07: 07 15 21 28
  06: 03 09 16 23 30
  05: 05 12 19 26
  04: 07 14 21 28
  03: 03 11 17 24 31
  02: 04 10 17 24
  01: 06 13 20 27
2012
  12: 02 09 16 23 30
  11: 04 11 18 25
  10: 07 14 21 28
  09: 02 09 16 23 30
  08: 05 12 19 26
  07: 01 08 15 22 29
  06: 03 10 17 24
  05: 07 13 20 27
  04: 01 08 15 22 29
  03: 04 11 18 25
  02: 05 12 19 26
  01: 01 08 15 22 29
2011
  12: 04 11 18 25
  11: 06 13 20 27
  10: 02 09 16 23 30
  09: 04 11 18 25
  08: 07 14 21 28
  07: 03 10 17 24
  06: 05 12 19 26
  05: 01 08 15 22 29
  04: 04 10 17 24
  03: 06 13 20 27
  02: 06 13 20 27
  01: 02 09 16 23 30
2010
  12: 05 12 19 26
  11: 07 14 21 28
  10: 03 10 17 24 31
  09: 05 12 19 26
  08: 01 08 15 22 29
  07: 04 11 16 25
  06: 06 13 20 27
  05: 02 09 16 23 30
  04: 04 11 18 25
  03: 07 14 21 28
  02: 07 14 21 28
  01: 03 10 17 24 31

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