Combining BoomBustBlog Forensic Research with Volatility Strategies

By: Reggie Middleton | Fri, Aug 7, 2009
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Note: The Goldman Sachs direction neutral strategy empirical analysist is now available to Pro subscribers. Click Goldman Sachs Option Strategy Pro Analysis 2009-08-05 09:52:44 1.02 Mb to access or proceed to the downloads section.

We have started with analyzing market neutral option strategies during the bull run of 2Q09. Also we have started with analyzing most optimal OTM Strangle strategies for the S&P and the companies we have covered over the last year. Below is a list of 12 companies for the purpose of analysis based on following criteria.

Criteria 1:

a) More than 50% price change over the past one month / three month / six month and

b) More than 5% deviation from consensus mean

Criteria 2:

b) More than 25% deviation from consensus mean

Based on the criterion above we have selected the list of 12 companies below. Before getting to the list, I want to make clear how absurd this rally has been. Notice the columns in the list and who has made the list... The worst performers with the worst prospects have been propelled the farthest, while the best performers with the brightest prospects have remained relatively static. I aim to mitigate the risk of prospecting for a correction with the direction neutral strategies described in my previous post.

Please keep in mind that the consensus estimates outlined here have been lowballed, and reduced significantly according to managment guidance. You all should know the Wall Street game by now. It goes a little something like this: "Company X's earnings fell 80%, with a 95% drop in revenues, as auditors doubt the ability to continue as a going cocern. Management hires prominent law firm Getcha, Gotcha, Wily and Lipton to advise on potenial bankruptcy filings, but stock pops and rallies in after hours trading on better than anticipated results!" This would be funny, except for the fact that even with significantly lowered guidance and consequent consensus estimates, companies are still missing, and missing by a lot. Notice how that does not stop them from rallying though. For those who subscribe to my research, you know what the real numbers should look like, without the politics, drama, conflicts of interest and bullshit that abounds!

Ticker Price 52
week
high
% of
52
week
high
52
week
low
% of
52
week
low
1
month
return
3
month
return
6
month
return
1
year
return
Upside
(downside)
from
consensus
mean
Mean Bullshit Factor
Analysis
MAC 20.0 69.1 29% 5.3 378% 17.9% 7.4% 48.5% -62.1% -7.1% 18.6 Missed consensus, rallies 50%
STI 19.9 64.0 31% 6.0 331% 23.2% 15.1% 99.4% -53.6% -11.2% 17.7 Missed consensus, rallies 100%
JPM 39.6 50.6 78% 15.0 265% 22.7% 10.6% 64.7% -1.3% 8.8% 43.1 Beats consensus (w. tricks) rallies 65%
USG 14.8 35.0 42% 4.2 356% 50.3% -11.0% 133.1% -44.2% -34.7% 9.7 Totally misses consensus, rallies 133%
SFD 13.1 26.7 49% 5.4 243% -4.2% 33.0% 15.2% -41.1% -16.2% 11.0 Misses consensus, up 33% last quarter
AXP 28.7 41.8 69% 9.7 295% 28.6% 5.0% 75.1% -22.3% -8.8% 26.1 Misses consensus, nearly doubles
HOT 24.9 42.3 59% 9.0 277% 19.0% 19.7% 68.7% -28.7% -5.7% 23.5 Misses consensus, up nearly 70%
GS 164.1 183.2 90% 47.4 346% 14.4% 22.3% 86.5% -7.7% 6.5% 174.8 Barely beats, takes 2x the risk, while on welfare, nobody notices?
FRO 24.1 61.0 40% 15.8 153% 3.3% -7.0% -13.8% -57.1% -28.6% 17.2 big miss
LRN 18.7 29.5 63% 12.0 156% -4.8% 12.0% 16.7% -25.8% 34.5% 25.1 Biggest beat here, best prospects, stock barely moves
BBV 16.8 18.2 92% 5.6 301% 37.7% 48.1% 81.6% -3.0% -12.1% 14.8 miss but almost doubles
CAT 45.1 72.1 63% 21.7 208% 42.2% 17.3% 47.5% -33.1% -13.4% 39.1 miss, up 50%

We target to complete the strategy analysis of these companies by the end of the week based upon the relevant free and proprietary BoomBustBlog Subscriber research below. The Goldman Sachs direction neutral strategy empirical analysist is now available to Pro subscribers. Click Goldman Sachs Option Strategy Pro Analysis 2009-08-05 09:52:44 1.02 Mb to access or proceed to the downloads section.

Below is a complete listing of the fundamental research that we are using to compile the direction neutral strategy analysis for the tickers listed above. Some of it is free for non-subscribers. I would recommend that pro subscribers reread the documents to brush up on my take on the companies listed herein.

GS

Free research and opinion

Premium Stuff!

Goldman Sachs - strategic investment and public offering 2008-09-26 02:29:15 895.36 Kb

Goldman Sachs Report June 21, 2008 2008-10-20 16:48:01 361.18 Kb

Goldman Sachs' Bank Holding Company Fundamental Valuation and Forensic Analysis - Professional 2008-12-18 10:12:37 267.49 Kb

Goldman Sachs' Bank Holding Company Fundamental Valuation and Forensic Analysis - Retail 2008-10-20 15:45:05 348.99 Kb

GS ABS Inventory 2008-02-25 06:48:56 1.22 Mb

MAC

Macerich Forensic Valuation - Retail 2009-02-23 15:15:38 192.71 Kb

Macerich Forensic Valuation - Professional 2009-02-23 12:00:00 344.92 Kb

Macerich Sensitivity Analyis - Pro 2008-11-29 13:34:42 344.92 Kb

Macerich Statistics Spreadsheet - Pro 2008-11-07 12:26:19 356.00 Kb

Macerich Summary 2008-10-09 09:27:51 910.94 Kb

STI

Sun Trust Bank Report 2008-08-30 06:39:22 391.89 Kb

SIVB Forensic Analysis Retail 2008-12-19 12:41:48 266.05 Kb

Sun Trust Bank Stress Test Scenario Analysis - Government Simulation 2009-04-30 03:43:18 665.82 Kb

Sun Trust Banks Simulated Government Stress Test 2009-05-05 11:37:13 1016.17 Kb

JPM

[Note: we have never performed a full forensic analysis of JPM, although there may be one coming]

JP Morgan Forensic Highlights 2009-01-06 19:18:08 133.34 Kb

JP Morgan Q408 Quarterly opinion with sample trades - Professional & Institutional 2009-01-22 08:48:02 211.69 Kb

JP Morgan Q408 quarterly valuation opinion - Retail 2009-01-22 08:49:26 79.24 Kb

USG

USG Intelligence Note 2008-12-15 07:27:40 141.07 Kb

USG Financial Model Pro 2008-10-05 09:06:12 908.78 Kb

SFD

SFD_Retail Report_Final_240908 2008-09-25 01:38:21 185.94 Kb

SFD_Pro Report_Final_240908 2008-10-07 01:39:23 286.98 Kb

AXP

AXP Consolidated final 2008-08-30 06:28:15 437.96 Kb

HOT

Starwood Hotels (HOT) Intelligence Note_072009 - 2009-07-22 03:45:18 927.84 Kb

HOT Report 290709 Retail 2009-08-03 01:52:38 420.81 Kb

HOT Report_290709 Pro 2009-08-03 01:53:54 635.54 Kb

FRO

Frontline Investment Summary - Retail 2008-12-18 14:13:16 363.84 Kb

Frontline investment highlights - Pro 2008-12-18 14:16:07 473.47 Kb

FRO Oil Price Arbitrage Addendum 2009-01-07 09:55:07 1.31 Mb

LRN

K12 Forensic Analysis (ticker:LRN) 2009-07-20 07:54:32 619.70 Kb

BBV

Banco Bilbao Vizcaya Argentaria SA (BBVA) Professional Forensic Analysis 2009-02-23 09:05:09 439.80 Kb

 


 

Reggie Middleton

Author: Reggie Middleton

Reggie Middleton
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Reggie Middleton

Who am I?

Well, I fancy myself the personification of the free thinking maverick, the ultimate non-conformist as it applies to investment and analysis. I am definitively outside the box - not your typical or stereotypical Wall Street investor. I work out of my home, not a Manhattan office. I build my own technology and perform my own research - in lieu of buying it or following the crowd. I create and follow my own macro strategies and am by definition, a contrarian to the nth degree.

Since I use my research as a tool for my own investing to actually put food on my table, I can stand behind it as doing what it is supposed too - educate, illustrate and elucidate. I do not sell advice, I am not a reporter hence do not sell stories, and I do not sell research. I am an entrepreneur who exists just outside of mainstream corporate America and Wall Street. This allows me freedom to do things that many can not. For instance, I pride myself on developing some of the highest quality research available, regardless of price. No conflicts of interest, no corporate politics, no special favors. Just the hard truth as I have found it - and believe me, my team and I do find it! I welcome any and all to peruse my blog, use my custom hacked collaborative social tools, read the articles, download the files, and make a critical comparison of the opinion referencing the situation at hand and the time stamp on the blog post to the reality both at the time of the post and the present. Hopefully, you will be as impressed with the Boom Bust as I am and our constituency.

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So here I am, creating my own research for my own investment activity. What really sets my actions apart is that I offer much of what I produce to the public without charge - free to distribute and redistribute, as long as it is left unaltered and full attribution is given to the author and owner. Why would I do such a thing when others easily charge 5 and 6 digits annually for what some may consider a lesser product? It is akin to open source analysis! My ideas and implementations are actually improved and fine tuned when bounced off of the collective intellect of the many, in lieu of that of the few - no matter how smart those few may believe themselves to be.

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