Quantemonics Investing Profile Picture Individual Investor

Quantemonics

Quantemonics Investing

Relative Value

We use a two-tier approach to stock portfolio creation. We run computer models of overall economic and stock market risk to assess the current point in the growth/recession cycle. This effort is aimed at weighting our portfolios in the right sectors, industries and company capitalizations, using appropriate levels of cash and ETF hedges to control downside risk. At the same time, we use fundamental, company-specific data, tracking relative valuations for each business versus historical standards, striving to remain invested in the most undervalued sectors and individual names. We believe keeping investment risks contained while leaving potential upside unlimited is the key to success in the stock market.
We use a quantitative, database model, reviewing thousands of stocks in search of undervalued companies. The main inputs in our formula are cash flow projections, tangible book value and liquidation calculations, profit margins, liability totals and types, and revenue projections. We also consider proprietary ratings, short interest data, insider trading activity, technical and volume patterns, management ratings and other inputs for each company. Most holdings will be in out-of-favor, "contrarian" ideas. Our goal is to own companies that will become more valuable in time, as economic conditions change and those businesses grow larger in size and/or profitability.
We use a variety of quantitative stock screens, generated from in-house databases. We have developed a proprietary overall stock market risk indicator, the Market Breadth Index (MBI), which includes twenty different predictors of future stock market trend, each mathematically scored. It has been used in real-time since 1993 for weighting portfolios, and back tested through 80 years of market activity. Intense review of earnings reports, quarterly statements and filings, management communications/disclosures with the public and our direct correspondence play a role in final decisions.
We aim to hold 25-40 individual positions at a time, roughly equally weighted, with emphasis on diversification through different sectors and industries. We try to maintain some exposure to each of the major market sectors and various market capitalizations. We may own ETFs, including leveraged and inverse ETFs, as hedges and for sector participation. We may own foreign-based or international focused businesses.
Stocks will be replaced based on predetermined stop-loss levels (note that the Covestor replication system does not use stop losses), when we uncover compelling values greater than those owned in the portfolio, or when higher levels of cash or hedges are desired to reduce the portfolio's overall stock market exposure. We aim to keep turnover at less than 100% annually, but it may reach 150%-200%. Holding period of particular positions varies from a few weeks to many years.
None.

Risk score

4
4.6%

Best 30 days

-7.9%

Worst 30 days

Performance

  • -4.3%
    30 day
  • -8.0%
    90 day
  • -11.7%
    365 day
Monthly vs S&P500
quantemonics investing - relative value
-21.7% 12 months
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  • $10,000 subscription min
  • 1.5% fee

Replicability

100.0%
  • Replicable

Model commentary

  1. Warning: Stocks are overvalued and may fall 10% in 2013

    23 February 2013

    To prepare, we've been accumulating hard assets like energy, real estate and precious metals.

  2. EBay revenue miss doesn't dampen holiday season expectations 19 October 2012
  3. Geopolitical risks hanging over the markets 1 October 2012
  4. Paul Franke in his own words about Covestor 21 June 2012
  5. Four reasons the stock market may be in trouble 18 June 2012

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Performance detail

  • Manager
  • Dow Jones Moderate Conservative
  • S&P 500
30D 90D 365D SI

Performance

Inception February 08, 2011
as of May 23, 2013 Manager Dow Jones Moderate Conservative S&P 500 Average Subscriber
Past 30 days -4.3% 0.8% 4.5% -4.5%
Past 90 days -8.0% 2.3% 8.9% -8.2%
Past 365 days -11.7% 10.5% 25.1% -13.2%
Since Inception (Annualized) -5.5% 6.2% 10.1% -
2013 (YTD) -8.2% 3.8% 15.7% -8.6%
2012 -5.8% 8.4% 13.4% -7.7%

Risk Metrics

Last 365 days
as of May 23, 2013 Manager Dow Jones Moderate Conservative S&P 500
Best 30 days 1.9% 3.3% 8.2%
Worst 30 days -7.9% -2.3% -7.0%
Volatility 7.2% 4.4% 12.7%
Sharpe Ratio - 1.64 2.34 1.97
Sortino Ratio - 2.33 3.56 2.85
Maximum Drawdown -14.3% -2.6% -7.7%
Value-at-risk (95%, 1 week) -1.7% -1.0% -2.9%
vs. Dow Jones Moderate Conservative vs. S&P 500
Information Ratio -2.09 -1.97
Alpha -1.7% -2.4%
Beta -1.06 -0.42
R-Squared 0.42 0.55
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  • $10,000 subscription min
  • 1.5% fee

Latest transactions view all

Average trades per month 7.0
Executed Symbol Security Replicable Type Price
05/23/13 SDS ProShares UltraShort S&P500 Yes Sell $39.74
05/23/13 TWM PROSHARES ULTRASHORT RUSSELL20 Yes Sell $18.41
05/23/13 SKF PROSHARES ULTRASHORT FINANCI Yes Sell $23.11
05/22/13 RWM PROSHARES SHORT RUSSELL2000 Yes Sell $20.53
05/20/13 QID PROSHARES ULTRASHORT QQQ Yes Sell $22.32
04/18/13 SA SEABRIDGE GOLD INC Yes Sell $10.31
04/18/13 PALL ETFS PHYSICAL PALLADIUM SHAR Yes Sell $65.36
04/18/13 GLD SPDR Gold Shares Yes Sell $134.14


Important Information

1. Past performance is no guarantee of future results.

2. Performance of the model manager's account is calculated by Covestor on a daily time-weighted basis, including cash, dividends and earnings distributions, and broker commissions. Manager returns include trades that fail Covestor's trading rules, do not reflect any Covestor suitability or risk score restrictions and are exclusive of Covestor fees. More

3. Average subscription returns ("Avg Sub" or "Avg Client") are calculated by Covestor and are composed of the average, daily, time weighted returns of all active subscriptions to the underlying model. These daily average returns are then linked together for the timeframe requested. In addition, these returns include cash, dividends and earnings distributions, brokerage commissions, Covestor advisory fees, and reflect individual client suitability and risk score restrictions. More

4. All graph data is as of the end of day for the referenced period, unless otherwise specified. The subscription minimum is the minimum subscription required to follow a particular model. The minimum amount is determined by Covestor, based on the characteristics of the underlying model. It should not be considered as specific investment advice for your investment situation.

5. The performance charts are provided for informational purposes only, and should not be used as the basis for making an investment decision. Variables such as corporate actions or foreign exchange may affect daily performance displays. We rely on mathematical formulas, computer programs, and pricing information from third-party vendors to provide these returns. Neither Covestor nor any of its data or content providers shall be liable for any errors in this information or any actions taken by you in reliance upon this information.

6. Benchmark returns have been calculated by Covestor using a time-weighted calculation of daily index valuations and do not include cash, dividends and earnings distributions, or transaction costs. More

7. Leverage indicates the level of margin utilized and is calculated by dividing gross exposure by portfolio net liquidation value.

8. All Model Manager information including personal data, profiles, strategies, monthly investment reports, and historical results outside of Covestor has been provided by the Model Manager. Covestor makes no representation or warranty of its accuracy, completeness or relevance and it does not represent the opinions of Covestor. Transaction history is available upon request. Model classifications (Approach, Asset Class) are provided by Covestor, and are intended to serve as a general guide.

9. Top Replicable Holdings: These securities are currently held in the model manager's brokerage account. Those marked as "Replicable Holdings" currently pass Covestor's trading rules, subject to individual client constraints. Eligibility for replication may change over time. Actual client subscription holdings may vary.

10. Latest Transactions: These transactions were executed in the model manager's brokerage account. Those marked as "Replicable" () passed Covestor's trading rules and were eligible for replication at the time of execution, subject to individual client constraints. Eligibility for replication may change over time. Actual client subscription trade activity may vary.

11. S&P 500 Index is an unmanaged index compiled by Standard & Poor´s Corp. Index returns do not reflect any management fees, transaction costs or expenses. Individuals cannot invest directly in an Index. S&P 500 index data: S&P/Dow Jones Indices LLC, a subsidiary of The McGraw-Hill Companies Copyright © 2013.


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Covestor Ltd is an Investment Adviser regulated by the Securities and Exchange Commission under the Investment Advisers Act of 1940. This website is for informational purposes only. See important Terms of Use and Privacy Policy. All rights reserved. © Covestor, Ltd. 2013. System response and account access times may vary due to a variety of factors, including trading volumes, market conditions, system performance, and other factors. More