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
% of
% of
Mean Bullshit Factor
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.


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


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


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


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


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


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


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


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

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.

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