Portfolio Management Project
Strategy Analysis Report
ADM 3352 A - Fall 2013
Report to:
Professor Chen Guo
December 11th, ...
Personal Ethics Statement Concerning Telfer School Assignments
By signing this Statement, I am attesting to the fact that ...
Executive Summary
This report is to demonstrate the development and justification of a portfolio strategy that we
believe ...
Table of Content
Introduction................................................................................................
1
Introduction
It is a common practice amongst investor to develop their own personal investment strategy that
that achiev...
2
the theory behind managing a successful portfolio. After the portfolio strategy is finalized,
transaction costs can alwa...
3
As a sophisticated research and analytics tool, the Bloomberg Terminal contains historical data
of more than 600,000 act...
4
securities, the same strategy we have developed can be applied to international companies as
well.
Trading Status
The tr...
5
Quarterly Return on Asset Growth Greater than Industry Average
The return on asset ratio indicates how well a company ca...
6
Theoretically speaking, as the P/E ratio decrease, the return for the investor increases.
Generally, it is safe to say t...
7
Strategy Analysis
The strategy begins by evaluating different companies in an effort to seek those that
demonstrate a co...
8
portfolio returns is 61.6123% likely to be dependent on the market direction, and theoretically, a
unit’s change of mark...
9
the risk free rate? There are various options for investors to obtain risk free asset. Even strictly
speak only U.S gove...
10
horizon by achieving a total return of 968.91%, an average annual return of 30.24%, and with a
risk-adjusted standard d...
11
growth was growth in annual net income. Some argue that earnings data should be not given
considerable attention becaus...
12
resources it poses. Also, the ROIC measure was used as a tertiary measure simply because of
the incompleteness of the R...
13
variables, and the importance of analyzing other ratios before making a judgment on the ROE
performance of the company....
14
Conclusion
In the investment industry, a topic that has been heavily debated has been whether the
historical performanc...
15
References
Brown K. (Sept. 2013). Invesment Course IV. Fidelity Investments Institutional Services
Company, Inc. Retrie...
16
Appendices
Appendix A: Ratios Involved in Calculation of Altman Z-score
Variable A (Working Capital/ Total Assets) is a...
17
Appendix B: Regression Analysis
SUMMARY OUTPUT
Regression Statistics
Multiple R 0.784938079
R Square 0.616127788
Adjust...
18
Appendix C: Rebalancing Report of June 30, 2008
Previous Next 30/06/2008 30/09/2008
Short Name Market Cap Weight Return...
19
Appendix D: Rebalancing Report of September 30, 2004
Previous Next 30/09/2004 30/12/2004
Short Name Market Cap Weight R...
20
Appendix E: ROIC Comparison
Ticker Name ROIC:2004 ROIC:2005 ROIC:2006 ROIC:2007 ROIC:2008 ROIC:2009 ROIC:2010 ROIC:2011...
21
Appendix F: ROIC Rank
2004 2005 2006 2007 2008 2009 2010 2011 2012
BSET US Equity BSET US Equity BSET US Equity BSET US...
22
Appendix G: ROE and ROA Rank Comparison
2004 2005 2006 2007 2008 2009 2010 2011 2012
GNI US Equity GNI US Equity GNI US...
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Previous Portfolio Strategy Management Project

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Transcripts - Previous Portfolio Strategy Management Project

  • 1. Portfolio Management Project Strategy Analysis Report ADM 3352 A - Fall 2013 Report to: Professor Chen Guo December 11th, 2013 Telfer School of Management University of Ottawa
  • 2. Personal Ethics Statement Concerning Telfer School Assignments By signing this Statement, I am attesting to the fact that I have reviewed not only my own work, but the work of my colleagues, in its entirety.I attest to the fact that my own work in this project meets all of the rules of quotation and referencing in use at the Telfer School of Management at the University of Ottawa, as well as adheres to the fraud policies as outlined in the Academic Regulations in the University’s Undergraduate Studies Calendar. I further attest that I have knowledge of and have respected the “Beware of Plagiarism” brochure found on the Telfer School of Management’s doc-depot site. To the best of my knowledge, I also believe that each of my group colleagues has also met the rules of quotation and referencing aforementioned in this Statement. I understand that if my group assignment is submitted without a signed copy of this Personal Ethics Statement from each group member, it will be interpreted by the Telfer School that the missing student(s) signature is confirmation of non-participation of the aforementioned student(s) in the required work.
  • 3. Executive Summary This report is to demonstrate the development and justification of a portfolio strategy that we believe to outperform the market portfolio, as represented by the S&P 500 index, in terms of return while also maintain low exposure to risks. The strategy development process starts with different assumptions that simplify problem solving and reasoning. The essence of the strategy is to make wise stock selection by conducting analysis of companies’ fundamentals, which include growth potential, risk exposure, management quality, and market expectation. Fundamental analysis is difficult to carry out given the available time in conducting research, large portfolio size, and 10 year investment horizon. Thus, I applied various quantitative indicators in an effort to assess the fundamentals, and these indicators include: annual net income growth, Altman z-score, return on asset growth, and P/E ratio. The Bloomberg terminal is the primary tool used in this report to compile historical information and support our investment decisions. Using the backtesting ability of the terminal, we were able to create a portfolio fluctuating between 25 and 50 stocks, by applying carefully chosen criteria and analytical measures. This range of stocks provides the diversification needed to mitigate risk while achieving high returns. Through backtesting and applying our investment criteria over the past ten years, our portfolio yielded a total return of 968.91% with a standard deviation of 23.46% compared to the S&P 500 Index, the benchmark of this report, that yielded a total return of 176.83% and a standard deviation of 22.86%. Besides the numerical advantage in the return-risk tradeoff, our strategy is sought to be a reliable decision making guide in making positions, which is elaborated in detail in the strategy analysis section. The strategy has support our portfolio in making several remarkable decisions such as taking good advantage of market uptrends and hedging losses in times of market downturn. Although it is always a debatable topic about whether historical information is evident enough to predict the future, or in the portfolio management field, that whether favorable past performance will guarantee as-favorable performance in the future. But to the extent of availability of academic resources and research channels, it is of our best effort in analyzing the past pattern of our portfolio strategy and make reasonable implications about the future performance trends.
  • 4. Table of Content Introduction.............................................................................................................................. 1 Assumptions ............................................................................................................................ 1 1) The S&P 500 Index is a Good Representation of the Market Portfolio ............................ 1 2) Transaction Costs are Ignored........................................................................................ 1 3) Historical Data Is Reliable in Predicting Future Returns.................................................. 2 4) Weak Market Efficiency................................................................................................... 2 5) All Information Is Available to All Investors ...................................................................... 2 Methodology............................................................................................................................. 2 1) Screening Criteria ........................................................................................................... 2 Stock Universe............................................................................................................. 2 Country of Domicile...................................................................................................... 3 Trading Status.............................................................................................................. 4 Annual Net Income Growth Greater than Industry Average.......................................... 4 Quarterly Return on Asset Growth Greater than Industry Average ............................... 5 Altman Z-Score Greater than 3 .................................................................................... 5 Price to Earnings Ratio Greater than 2 and Less Than 22 ........................................... 5 2) Jensen’s Measure........................................................................................................... 6 3) Sharpe Ratio................................................................................................................... 6 Strategy Analysis..................................................................................................................... 7 1) Time Period Bias............................................................................................................. 7 2) Regression Analysis and S&P Comparison..................................................................... 7 3) High Return vs. Low Risk................................................................................................ 8 4) Low Risk of Bankruptcy .................................................................................................10 5) Company Growth...........................................................................................................10 6) Effective Management Team..........................................................................................11 Return on Assets (ROA) .............................................................................................12 Return on Equity (ROE) ..............................................................................................12 Return on Investment Capital (ROIC)..........................................................................13 Conclusion ..............................................................................................................................14 References ..............................................................................................................................15 Appendices .............................................................................................................................16 Appendix A: Ratios Involved in Calculation of Altman Z-score............................................16 Appendix B: Regression Analysis.......................................................................................17 Appendix C: Rebalancing Report of June 30, 2008............................................................18 Appendix D: Rebalancing Report of September 30, 2004 ..................................................19 Appendix E: ROIC Comparison..........................................................................................20 Appendix F: ROIC Rank.....................................................................................................21 Appendix G: ROE and ROA Rank Comparison..................................................................22
  • 5. 1 Introduction It is a common practice amongst investor to develop their own personal investment strategy that that achieves their goals and maximizes their returns. There are plenty of investment strategies available, but with no exception, a portfolio strategy consists of at least three things: a stocking picking strategy, a reasonable profit plan, and most importantly, a loss plan. For the partial fulfillment of the Portfolio Management course, this report will introduce an investment strategy built upon a set of fundamental analyses, together with reasonable screening criteria, that will support effective investment decisions and portfolio management practices. The goal of this portfolio management strategy is to ensure high returns for the selected equities. In addition, realizing the varying levels of risk aversion amongst common investors, more focus will be placed on a high Sharpe and Jensen ratios, low standard deviation and minimum returns. The rationale behind having these sets of ratios and performance criteria to evaluate the portfolio performance is discussed in detail in the later sections of this report. In an attempt to have the best and most active returns at a lower risk, emphasis will be given to stocks with a high growth potential, with a stable business model that mitigates risk of bankruptcy, under the guidance of an effective management team. In order to interpret market activity and facilitate decision making, every investment strategy has to be grounded on a simplified market, which is achieved by making assumptions. The following section describes the assumptions we made regarding the stock market, which will then be followed by a discussion of our methodology and finally an analysis of the components involved in the strategy. Assumptions 1) The S&P 500 Index is a Good Representation of the Market Portfolio The S&P 500 Index is an index of 500 weighted stocks from the major industries that constitute the domestic US economy. The S&P 500 Index is considered to be an accurate reflection of the health and performance of the US economy as a whole. Since our goal is to try to create a portfolio that can outperform the market portfolio, we have chosen the S&P 500 Index to be its most accurate, realistic representation. For this reason, the results of our portfolio strategy will be compared against the performance of the S&P 500 Index. 2) Transaction Costs are Ignored For the purposes of this project, we have decided to ignore all transaction costs associated with trading securities. In reality, transaction costs have a significant bearing on the rate of holding period return (HPR) of any portfolio of securities and must be taken into account by investors, especially those investors that prefer managing an active rather than passive portfolio. Although we acknowledge transaction costs are a real world phenomena, we are more concerned with
  • 6. 2 the theory behind managing a successful portfolio. After the portfolio strategy is finalized, transaction costs can always be applied to reflect more realistic returns. 3) Historical Data Is Reliable in Predicting Future Returns Historical data has been widely collected and is heavily utilized in the financial industry. The study of finance is based on the assumption that historical data is a useful in assessing the value of a security or asset. However, in recent years and especially after the 2008 financial crisis, some financial professionals and economists have argued against the reliability of past financial data in its ability to help in the evaluation of an asset’s future performance because of all the uncertainties and unknowns in the real world. However, at same time, there are no efficient alternatives available to investors that are better than using historical data for trying to predict future returns. Therefore, we must make the assumption that historical data is helpful in evaluating the future performance of an asset. 4) Weak Market Efficiency The basis of this project lies in accordance with the theory of weak market efficiency which states that investors can earn greater returns than that of the market portfolio (S&P 500 Index) by conducting careful research and analysis of available financial information. If this assumption is not true, then an investor would be wise to buy securities tracking market performance instead of formulating a strategy for assembling a portfolio of stocks since the portfolio’s return will be less than that of the market by default. 5) All Information Is Available to All Investors Corporations must make available all financial information in regards to their operations in accordance with the Government and market regulators such as the Security Exchange Commission (SEC). However, the assumption that all market information is available to all investors is tarnished by the frequent reports of insider trading seen in the news. Despite this information we must assume that all company information is available to all investors in order to have the basis of constructing the strategy for picking the stocks in our portfolio. Methodology Applying the common investment adage of not having all the eggs in one basket, the number of securities held in our portfolio will fluctuate between 25 and 50 over the entire investment horizon. The following section gives a detailed explanation of the criteria we applied in the development of our strategy as shown in Figure 1, as well as two critical indicators concerned with the reliability and performance of our strategy. 1) Screening Criteria Stock Universe
  • 7. 3 As a sophisticated research and analytics tool, the Bloomberg Terminal contains historical data of more than 600,000 active stocks that are traded around the globe. This pool of stocks will serve as the original universe upon which we will apply our investment strategy and screen out profitable stocks in order to assemble our competitive portfolio. An effort to reduce the effects of unavailable data has been put forth by using the Bloomberg terminal, but it cannot be completely avoided. Although Bloomberg is the most inclusive and extensive research tool available for the project, there will still be unavailable data and inefficient flow of information that prevents the project from being perfect from an academic standpoint. However, all the data available should provide enough reliable and accurate information to support our investment decisions. Figure 1: Screening Criteria in Bloomberg Backtesting. Country of Domicile For the purposes of this portfolio research, the pool of securities has been limited to those based and traded in the United States. Analyzing securities found only in the US will exhibit home country bias because valuable securities traded in international markets are disregarded. Home country bias entails Investors' natural tendency to be most attracted to investments in domestic markets. (Investopedia, 2013) However, the decision to screen out international securities was made for many reasons. One, the S&P 500 Index, which is the benchmark index we are trying to outperform, is comprised solely of US stocks. Two, students are more familiar with North American companies and may lack the experience necessary to trade international securities. We must also note however that although our strategy is limited solely to US based
  • 8. 4 securities, the same strategy we have developed can be applied to international companies as well. Trading Status The trading status of each individual stocks to be assessed should be active at the time of investment decision. Backtesting criteria will have to automatically include stocks that were active at the time of the backtest thus avoid any look-ahead or survivorship bias. The look-ahead bias is created by the use of information or data in a study or simulation that would not have been known or available during the period being analyzed. This will usually lead to inaccurate results in the study or simulation. For example, if a trade is simulated based on information that was not available at the time of the trade - such as a quarterly earnings number that was released three months later - it will diminish the accuracy of the trade's true performance. (Investopedia, 2013) To put it another way, we should not take advantage of information that we were not supposed to have access to at the time of making an investment decision. The survivorship bias is the tendency for failed companies to be excluded from performance studies because they no longer exist or performed very poorly. It often causes the results to be skewed because only companies which were successful enough to survive until the end of the period are included. That being said, for the purpose of backtesting, the rebalancing reports should consider all traded stocks at the time of rebalancing period instead of using the current existing stocks in the stock universe. By making an effort to consider active, delisted, halted, inactive, and ticker-changed stocks, it can minimize the survivorship bias when evaluating the portfolio strategy. Annual Net Income Growth Greater than Industry Average One of the primary components of our strategy is to analyze a company’s growth potential. From an investor’s point of view, one of the main purposes of investing is to benefit from growth of the companies as reflected by an increase in share price. For this reason, it is key to evaluate a company’s potential for growth before making any investment decision. There are many tools that can be considered to determine a company’s growth potential. However, the indicator that we deemed most effective to accomplish this task was a company’s net annual income growth. Net income in this case is defined as: Net Income = Revenue - Cost of Goods Sold - Expenses - Interest - Tax Net income, like other accounting measures, is susceptible to manipulation through such things as aggressive revenue recognition or by hiding expenses. When basing an investment decision on net income numbers, it is important to review the quality of the numbers that were used to arrive at this value. (Investopedia, 2013) So in order to make the right investment decision, we take the growth of net income instead of its absolute value.
  • 9. 5 Quarterly Return on Asset Growth Greater than Industry Average The return on asset ratio indicates how well a company capitalizes on its existing assets to generate growth and earnings for its shareholders. In addition, it also reveals how much income a company profits in comparison to the company’s total inputs, as an indicator of the company’s overall financial performance. ROA is a strong measure since it features net income, taking into account a company’s expenses rather than just revenues and thereby gives a more clear representation of the management’s performance. A firm and its management should be trying their best to earn more return using whatever assets they have on hand, thus it is likely that the improvement will be reflected, to a certain extent, on its ROA ratio. Altman Z-Score Greater than 3 We believe the Altman Z-score is capable of effectively predicting a company’s declaration of bankruptcy two years prior to financial distress. It has been seen over the years, through studies by professor Altman himself, that Z-scores below 1.8 indicate that a company will go bankrupt in less than two year with an impressive 84% accuracy rate. It has also been noted that companies with a Z-score above 3 are at virtually no risk of going bankrupt within the two year time frame. Since our portfolio of stocks are rebalanced every quarter, and the lead time for using the Altman Z-score is two years prior to financial distress, this indicator is very effective in avoiding stocks that have a high probability of becoming insolvent. A z-score higher than 3 shows that the company will be safe given that their strategy is applied in right way in order to minimize risk and maximize returns. The Altman Z-score is calculated by applying the following formula, and detailed explanation of the ratios in the calculation can be found in Appendix A: Z-score = 1.2 A + 1.4 B + 3.3 C + 0.6 D + 1.0 E where, A = Working Capital / Total Assets; B = Retained Earnings / Total Assets; C = Earnings Before Interest and Tax / Total Assets; D = Market Value of Equity / Total Liabilities; E = Revenue / Total Assets. Price to Earnings Ratio Greater than 2 and Less Than 22 The Price to Earnings Ratio (P/E ratio) indicates how much investors are willing to pay for one dollar of a company’s earnings. Therefore, a company with a P/E ratio of 10 means that investors are willing to pay ten dollars for every dollar of that company’s earnings. The P/E ratio is calculated as the following: P/E = Share Price / Earnings per Share
  • 10. 6 Theoretically speaking, as the P/E ratio decrease, the return for the investor increases. Generally, it is safe to say that investors will expect higher earnings growth in the future compared to companies with a lower P/E. (Investopedia, 2013) But in practice, it is not always a good sign to see a company with an extremely low P/E ratio. The P/E ratio can stay low if a company is thought to be declining. Alternatively, current earnings may be substantially higher than historic trends or the company may have profited from selling assets. Thus, we focused on stocks traded at the P/E range of 2 to 22 to take market expectations into account while at the meantime to eliminate highly over- or undervalued stocks. 2) Jensen’s Measure Jensen’s measure or Jensen’s alpha is a risk-adjusted performance measure that represents the average return on a portfolio over and above what is predicted by the capital asset pricing model (CAPM), given the portfolio's beta and the average market return. (Investopedia, 2013) The Jensen’s measure is calculated as follows: ap = rp – [ rf + ßp (rm – rf) ] where, ap = the alpha for the portfolio, or the return over and above your benchmark; rp = the average return on the portfolio; ßp = the weighted average beta of the portfolio; rf = the average risk-free rate; rm = the average return on the market index. 3) Sharpe Ratio The Sharpe ratio, developed by William F. Sharpe, is a measure that ranks investment performance on the basis of the portfolio's risk premium earned per unit of risk, where risk is measured by the standard deviation of the set of historical returns (i.e., σp). (Brown K., Sept. 2009) The ratio is a very useful tool to evaluate or compare the returns of a portfolio or security relative to its risk. Sharpe ratio in this case is calculated as: Sp = (Rp - Rf)/σp where, Rp = Expected portfolio return; Rf = Risk free rate; σp = Portfolio standard deviation; The numerator is the difference between the historical average periodic returns to the portfolio and the risk-free rate, respectively.
  • 11. 7 Strategy Analysis The strategy begins by evaluating different companies in an effort to seek those that demonstrate a considerable amount potential of long-term growth potential while minimizing risk over the investment horizon. The derived portfolio strategy is expected to generate a plan for investors with a fixed investment capital to achieve the highest-possible return with the lowest- possible risk, or, in other words, to reach the optimal balance between return and risk. This balance can be measured to a certain extent by the Jensen Alpha and Sharpe Ratio. As a matter of fact, for practical backtesting purposes, the 10 year investment horizon is considered to be long-term. The common belief is that as inefficient as stock market is, by concentrating on fundamental analyses of a company and setting up screening criteria accordingly, it will enable us to discover stocks with strong growth potential with low risk of loss. So, rather than following technical analyses as most analysts tend to do, our portfolio strategy will focus on the growth potential of a business, which we believe is the best indicator of significant, long-term returns that will outperform the S&P 500 index. 1) Time Period Bias Besides the above mentioned biases, the time period bias is the one upon which we base most of our analysis. Time period bias means that a strategy, applied in a specific testing time period, may not hold the same result if the testing period changes to a different range of time. For example, when the project is based on a 10-year time frame from November 1st, 2001 to November 1st, 2013, the same backtesting result might not be the same if we backtest for the period between November 1st, 1993 and November 1st, 2003. The results of the two different periods differ because various factors, or coincidental events, in the 10 year periods exhibit totally different impact to the results. These factors include financial crisis, and change of policies or economic conditions. Therefore, in order to test the validity of our portfolio strategy, we have separated the consideration of by-chance volatility and focused our analyses on the fundamental of portfolio companies. 2) Regression Analysis and S&P Comparison In order to analyze the relationship between our portfolio and broader market performance, we conducted regression analysis to further compare our model against S&P 500 Index. However, because it is difficult to backtest the performance of the index directly, we used the SPY exchange traded fund (ETF) as a near accurate representation. Regression analysis is a statistical approach to illustrate the correlation among variables, or how the changes in independent variables will impact the dependent variables. In this case, we are interested in knowing how market performance is related to our portfolio, and how our expected return are in any way related to changes in the index. By referring to Figure 2 and Appendix B, the derived portfolio has an R square of 61.6123%. This indicates that our portfolio correlated to the market 61.6123% of the time, which means our
  • 12. 8 portfolio returns is 61.6123% likely to be dependent on the market direction, and theoretically, a unit’s change of market performance will result in 61.6123% of a unit’s change to our portfolio. In addition, from the scatter plot graph of Portfolio vs. SPY, we can see the regression line is showing an upward slope. Again, this indicates a positive correlation of our portfolio with the market performance. More importantly, because the S&P is highly diversified, a larger value of R square for our portfolio could potentially help us to reduce the risks posed by the signal market sector or from an individual company’s abnormal performance. Figure 2: Our Portfolio vs. SPY The output shows that our model has an intercept value of 4.6609%, indicating that when the return of the S&P 500 Index is zero our portfolio will still hold a 4.6609% return. In addition, our model has a large slope of 1.274, showing a steep uptrend in our security characteristic line (SCL). A simple implication is that our model yields higher returns than benchmark at any given point on the SCL line. Overall, to summarize the key regression analysis results together, we found that our portfolio provides better returns than the benchmark. This is proven by the large slope of the SCL and the higher intercept with modest diversity to control the risk, which corresponds with our goals for this portfolio by balancing risk and return. 3) High Return vs. Low Risk Whenever an investor want to purchase a stock or build a portfolio, one should always considers two factors instead just simply target highest expect returns on assets. First, what is
  • 13. 9 the risk free rate? There are various options for investors to obtain risk free asset. Even strictly speak only U.S government bond could be consider the only risk free asset, but, the bonds issued by governments or regimes with strong financial standing and stability can also be consider as risk free. Second, what is the risk of the portfolio? The risk and returns are always positively correlated, so if an asset has high returns, it usually attach with high risk. Figure 3: Model Overview as of 2013/09/30. Both the Sharpe ratio and Jensen’s Alpha measure risk. Firstly, the Sharpe ratio is a measure of risk with respect to standard deviation; it conveys the worthiness of the return when compared to the risk the portfolio was exposed to while attaining that return. Secondly, Jensen Alpha is a measure of abnormal return when compared to the risk adjusted return. Here, the marginal return is assessed in comparison to the exposure of the portfolio which might not be explained by other variables. The indication is that a portfolio with higher Sharpe and Jensen ratios achieved the same return with less risk. This is an important fact especially when considering a portfolio because most investors are risk averse and would like to achieve a good return with less risk. It is important to understand what the indicators reveal to us in terms of portfolio performance. As shown in Figure 3, the portfolio outperforms the S&P 500 Index in the 10 year investment
  • 14. 10 horizon by achieving a total return of 968.91%, an average annual return of 30.24%, and with a risk-adjusted standard deviation of 23.46%. As a matter of fact, our portfolio is not just targeting the highest returns in the market, but also aims to concentrate on limiting the risk for the portfolio. This is achieved by using Altman-z score criteria larger than 3, which essentially limits the chances of a company being bankrupt in the near term. Comparing the expected returns of 968.91% over 10 years with the Sharpe ratio of 1.20, it is clear that even after deducting risk free returns, our portfolio still acquired 20% extra returns. This was calculated by deducting the one unit risk from the Sharpe ratio (1.20 - 1 = 0.20). The portfolio generated by our investment strategy yielded a Jensen measure of 21.31, implying that our actual return exceeded the return we would expect to attain if we applied the CAPM model to our portfolio, by 21.31%. This means that the other criteria we applied in making our investment strategy had a huge influence in targeting successful securities. For example, during the financial crisis in the last quarter of 2008, our portfolio bought in 25 stocks on the market and sold out another 25 stocks from the portfolio, which represent half of the portfolio size. By making this set of positions, our portfolio had successfully hedged the loss and only lost less than 8% at an annual rate, representing a net loss of lower than 2% in the quarter. Remarkably, at the same time, the S&P 500 Index had reached a more than 35% annual loss in its value, incurring a net loss of at least 10% in the same quarter. The quarterly rebalancing report will be available in Appendix C. 4) Low Risk of Bankruptcy The worst case scenario for an investment is that a company would go bankrupt and its shareholders get to claim their stake after the company’s assets are liquidated and creditors are paid off. It is key to mitigate the risk of losing the entire stake in an investment before we make any investment decision. For this reason, the Z-score criteria we chose for our model is equal to or greater than 3 to ensure that none of our company’s posed the risk of going bankrupt and subtracting from our returns. Indeed, a business taking on too much debt upon their liquidable assets will have big troubles in paying off their creditors if the market strikes the company, such as in time of financial crisis or economic recession. Only companies in good financial standing, having a favorable current ratio, taking good control of their Debt-to-Equity balance, and generating considerable cash flows from its business model will be considered in our portfolio. And most conveniently, Altman Z- score takes all these into account and gives us a straightforward assessment of a company’s risk level. 5) Company Growth In developing the strategy, the core of our research focused on analyzing the growth potential of the companies held in our portfolio. We determined that the best indicator of future company
  • 15. 11 growth was growth in annual net income. Some argue that earnings data should be not given considerable attention because it is an unreliable criterion that can be manipulated by accounting tricks. In consideration of this point of view, we decided to use net income growth instead of its absolute value. A company can report unrealistic earnings for a fiscal year, but it is not likely to happen consistently for a decade. So considering a company’s net income growth can demonstrate us whether the company’s business model is taking more market share, making increasing revenue, or cutting back its costs. It is of no big problem if a company has a low or even negative earnings report at a given year, because we believe unsatisfying earnings do not indicate a company is not on the right track or is performing badly. This point holds true especially for start-up companies and companies making big investment for business expansion. For example, a company at the beginning of its life may not necessarily report positive earnings because it may be investing in infrastructure improvements, technologies, and human capital or even financing and paying off debts that increase expenditures which yield a low or even negative result in earnings. When Amazon was created in 1995, the company experienced net losses for the first eight year of its life. However, during that time the company reported significant increases in its income growth every year. The company was also busy buying assets and acquiring businesses that would help it survive the crash of the dot com bubble in the early millenium and emerge as one of the major players in online shopping. (Damodaran A., 2009) All the companies in our portfolio not only exhibit a positive growth pattern in their net income, but also outperform its competitors in the same industry. Once a company’s growth rate falls behind the industry average, it is believed that the company will drag down the overall performance of our portfolio, thus will be excluded. Take the last quarter of 2004 as an example, two companies’ shares were bought into the portfolio - Phazar Corp. (ANTP) and Pyramid Oil Co. (PDO). The two companies are traded at a price less than 5 dollars with a market cap of more than 3 million dollars. They came to fit our appetite because the two companies had shown a remarkable growth in their earnings, as well as strong figures in other financial reporting. The two companies’ share price shedded 1,100% and 188% respectively, leading the portfolio to generate a return of 57.72% at an annual basis. Comparing to S&P 500 Index’s (use SPY instead) performance at the same period, our portfolio outperformed the benchmark by 16.48%. The quarterly rebalancing report can be found in Appendix D. 6) Effective Management Team Since the primary purpose of this report is to provide the readers with a clear understanding of investment principles without discussing the complex financial jargon, it was decided to evaluate the effectiveness of the management team and its impact thereof on the equities before making an investment decision. For this purpose, three measures were analyzed in detail - return on assets, return on equity, and return on investment capital. However, more focus was given to ROA measure since it effectively portrays a company’s financial performance based on every
  • 16. 12 resources it poses. Also, the ROIC measure was used as a tertiary measure simply because of the incompleteness of the ROIC data during the research. The average calculations from year 2004 through 2012 for the equities in the portfolio for the three measurements is summarized in Figure 4. For a more detailed information please see Appendix E, F, and G. Return on Assets (ROA) Return on Assets is a strong indicator of management’s effectiveness since it looks at the ability of the company to utilize its asset to gain a net profit. (Finance formulas, 2012) Generally, a higher return on assets is preferred. This means that the net income should be comparatively bigger than the average total assets. For example, if an individual has to choose between a company with a ROA of 1.2 and 2.2; they must select the latter, everything else being equal. After undergoing the backtesting process, 50 equities matched the criterion. These select equities were then sorted out on the basis of their return on assets from their fiscal year starting 2004 to 2012. Furthermore, the average for each year was taken to see the average return on assets for the portfolio during a given year. Looking at the average of ROA from Figure 4, it is clear that the results were stable since the average for the majority of the years was above 2, except in the 2008 and 2009. This abnormal average return on assets less than 1 can be attributed to the sub-prime mortgage crisis that occurred began in 2008. Figure 4: Return on Equity (ROE) Return on Equity is the measure of how profitably a company employs its equity. Everything else being equal, a higher ROE indicates that the company is more efficient about using its equity. It is best used by the investors or the company for its internal purpose to evaluate the profitability by investing in equity. However, it is not an apt measure to evaluate the company like ROA. This is because of the fact that ROE ignores debt which can have a significant impact on the failure of the company. For the sake of measuring the portfolio’s ROE; the average was computed and is summarized in Figure 4. It was found that the portfolio enjoyed healthy ROE average throughout the years except the 2008-2009 sub-prime mortgage crisis. This is important because the final portfolio would only have about 30 equities; even then the pool of 50 equities was able to generate stable returns on average. More importantly, it was found that a company enjoying a healthy ROA does not necessarily have a high ROE. This can be attributed to the fact of other external Year/Name of the Ratio 2004 2005 2006 2007 2008 2009 2010 2011 2012 ROA Average 2.694 5.693 6.476 6.641 3.697 3.058 8.882 14.206 16.505 ROE Average 10.502 14.985 13.174 14.145 4.056 -1.561 13.045 19.41 24.103 ROIC Average 14.199 16.019 19.955 19.162 22.395 29.202 24.762 26.272 28.979
  • 17. 13 variables, and the importance of analyzing other ratios before making a judgment on the ROE performance of the company. Return on Investment Capital (ROIC) ROIC is a measure of the company’s efficiency at allocating the capital resources. The higher the ROIC measure, the more profitable a given company is at allocating its capital resources and profiting from such investments. This measure was included to plug in the gaps from previous measures which did not consider the long term debt and dividends. Since ROIC is calculated by subtracting dividends from net income and further dividing the result by the total capital; it includes long-term debt, common and preferred shares in its calculation. After further analysis of the equities in the portfolio, it was found that ROIC cannot be used as a reliable measure simply because of the lack of data for ROIC measure for most of the equities. For this reason, ROIC was used as a tertiary measure for analyzing the effectiveness of the management. However, average of equities for all relevant years was calculated and summarized in Figure 4. The result was astounding since it was found that the lowest average measurement for ROIC incurred in 2004 which was 14.19; while the highest incurred in 2009, which was 29.20. Such high average again shows the effectiveness of the management for the equities represented in the portfolio. After paying a close attention to the results found in the ROA, ROE, and ROIC tables in the appendices; it was found that it is not necessary to have a high ROA and ROE for the same period. For instance; only Terra Nitrogen Company LP (NYSE: TNH) and Southern Copper Corp (NYSE: SCCO) are the high ranked equities from 2008-2012 for ROA, ROE, and ROE; but not the highest. Again, it was for this reason, more emphasis was given to the ROA calculations for the equities followed by ROE and then ROIC. These fluctuations over the three measurements become more apparent in the case of Goldfield Corp (NYSE: GV). Here, GV ranks high on the ROA but this is not reflected on its ROE and ROIC calculations. At the same time, GV fares much better in terms of its ROE calculation for the subsequent years - 2005 and 2006 in particular before it drops to the negative levels in 2007, 2008, 2009 and 2010. One reason that might explain such fluctuation might be the fact that investors decided the company was doing much better after seeing the ROA in the annual report of 2004. Another reason for the poor ROE performance starting 2008 can be attributed to the sub-prime mortgage crisis. In conclusion, it is clear that in the investing realm, one cannot just rely on one measurement, or a ratio to achieve better results. This is aptly demonstrated by fluctuating returns shown by the equities in its ROE, ROA, and ROIC calculations. In addition, even if you employ these calculations, it is best to know the external environment, like whether there is a market crisis and to employ more criteria to screen out unprofitable investments. Also, it is clear that the equities in our portfolio are fairly balanced in terms of their returns as demonstrated by the average returns for the ROA, ROE, and ROIC.
  • 18. 14 Conclusion In the investment industry, a topic that has been heavily debated has been whether the historical performance of a stock can be useful in forecasting its future performance. On one hand, pundits from one side say that these historical values are unnecessary because they cannot account for future conditions such as market conditions, interest rates, political decisions, and social trends. All these factors have the ability to skew market earnings. On the other hand, the other side says that there are no other means available to investors to attempt to even try to predict the future performance of companies. For the purposes of this project we have sided with the latter party, as we attempted to construct a strategy that can outperform the chosen benchmark, the S&P 500 index, by conducting a series of analyses, to assemble a portfolio of stocks that can beat said benchmark. The portfolio strategy we have constructed placed its main focus on the growth potential of companies. This growth potential was determined by analyzing a company’s net annual income growth. In addition to seeking companies with a high potential for growth, we wanted to minimize the risks that investors using our strategy would be subject to. By applying both the sharpe ratio and Jensen’s Measure as screening criteria we believe our strategy accomplished this task. A further criteria we added was the Altman Z-score which signals companies that will face financial distress and potential bankruptcy which can decrease our returns. Finally, we observed management practices, by looking at ratios like ROA, ROE and ROIC, because a company with competent management is likely to steer their companies toward high profits. However, based on all this analysis, we found that the Bloomberg terminal, as useful a tool as it is, presented a considerable amount of unavailable company information. We tried to fill in the blanks as best we could but our results are not perfect, however, they are still useful for the purposes of this report. Despite this issue, we believe that our strategy is a strong tool in achieving our goal of maximizing returns and reducing risk for investors. All the criteria we use to select stocks are ratios that are easily calculated from published company information. Therefore, based on the results of this report, the investment strategy that we have proposed, is an excellent tool for investors that wish to maximize their returns while minimizing their risk now and in the future.
  • 19. 15 References Brown K. (Sept. 2013). Invesment Course IV. Fidelity Investments Institutional Services Company, Inc. Retrieved November 18, 2013 from http://www.econsult.cl/econsult/pdf/Fide lity/InvestmentCourseIV/9%20Evaluation%20of%20Portfolio%20Performance.pdf Damodaran A. (2009). Valuing young, start-up and growth companies: Estimation issues and valuation challenges. Stern School of Business, New York University. Retrieved November 18, 2013 from http://people.stern.nyu.edu/adamodar/pdfiles/papers/younggrowth.pdf Finance Formulas. (2012). Return of Assets. Retrieved November 18, 2013 from http://www.fina nceformulas.net/Return_on_Assets.html Investopedia. (2013). Look-Ahead Bias. Retrieved November 18, 2013 from http://www.investop edia.com/terms/l/lookaheadbias.asp Investopedia. (2013). Net Income - NI. Retrived November 18, 2013 from http://www.investopedi a.com/terms/n/netincome.asp Investopedia. (2013). Jensen’s Measure. Retrived November 18, 2013 from http://www.investop edia.com/terms/j/jensensmeasure.asp Investopedia. (2013). Home Country Bias. Retrived November 18, 2013 from http://www.investo pedia.com/terms/h/home-country-bias.asp Investopedia. (2013). Price-Earnings Ratio - P/E Ratio. Retrived November 18, 2013 from http:// www.investopedia.com/terms/p/price-earningsratio.asp
  • 20. 16 Appendices Appendix A: Ratios Involved in Calculation of Altman Z-score Variable A (Working Capital/ Total Assets) is a financial ratio that determines the liquidity of a company. Working Capital is determined by subtracting current liabilities from current assets (CA - CL). A company close to bankruptcy usually begins suffering losses to its current assets, meaning it cannot fulfill its current liabilities. Therefore, a low Working Capital/Total Assets ratio has a higher risk of going bankrupt. Variable B (Retained Earnings / Total Assets) measure the financial leverage of a firm. Retained earnings is the income that a company retains after paying dividends. It can be used to finance projects or pay off debt. Therefore, a low Retained Earnings / Total Assets ratio can mean the company is unable to finance its operations and pay off creditors, ultimately leading to bankruptcy. Variable C (Earnings Before Interest and Tax / Total Assets) evaluates the productivity of a firm. It shows how much revenue a company generates before facing interest and taxes. A company with a low Earnings Before Interest and Tax / Total Assets ratio is not a profitable company and may lead to bankruptcy. Variable D (Market Value of Equity / Total Liabilities) measures how far the company’s market value can decline before liabilities become greater than assets. Variable E (Sales / Total Assets) is simply a ratio to determine the amount of sales generated from every dollar value in assets.
  • 21. 17 Appendix B: Regression Analysis SUMMARY OUTPUT Regression Statistics Multiple R 0.784938079 R Square 0.616127788 Adjusted R Square 0.605752864 Standard Error 0.082934286 Observations 39 ANOVA df SS MS F Significance F Regression 1 0.408464259 0.408464259 59.38624228 3.31764E-09 Residual 37 0.254489541 0.006878096 Total 38 0.6629538 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0% Intercept 0.046609072 0.013449381 3.465518081 0.001356146 0.019358038 0.073860107 0.019358038 0.073860107 0.109250399 1.267396541 0.164463525 7.706246964 3.31764E-09 0.934161786 1.600631296 0.934161786 1.600631296 RESIDUAL OUTPUT Observation Predicted 0.185954481835564 Residuals 1 0.061452966 0.059994131 2 0.065248908 0.042413161 3 0.018987038 0.003536333 4 0.14369298 0.111013505 5 0.009075118 0.010823609 6 0.052485057 0.020402943 7 0.084699935 0.162861654 8 0.062585525 -0.036663297 9 0.094529022 0.02080291 10 0.018936233 0.016024714 11 0.107775899 -0.159683899 12 0.123294441 0.0045714 13 0.044381662 0.001268338 14 0.120338458 0.043061542 15 0.060974076 -0.175722076 16 -0.00646212 -0.04121788 17 -0.080018139 -0.010657861 18 -0.007135138 0.253781138 19 -0.058873741 -0.014318259 20 -0.228596405 -0.031717595 21 -0.103950446 0.060464446 22 0.263194601 0.171054584 23 0.228469633 -0.021553633 24 0.120001126 -0.078351126 25 0.109842425 0.00264223 26 -0.110255457 0.052580821 27 0.181519533 -0.095996769 28 0.165203618 -0.017007371 29 0.105422833 -0.026310833 30 0.032929056 0.047133884 31 -0.135119223 -0.073180746 32 0.193189471 -0.066323471 33 0.176066844 0.031079156 34 0.005696243 -0.080503822 35 0.116163587 -0.062617587 36 0.028105013 0.001250987 37 0.191599237 -0.033766713 38 0.084504229 -0.066230229 39 0.11707632 -0.02493832
  • 22. 18 Appendix C: Rebalancing Report of June 30, 2008 Previous Next 30/06/2008 30/09/2008 Short Name Market Cap Weight Return In/Out In/Out Px_last Px_last HPR% TNH TNH US EquityUS TERRA NITROGEN C2.40B 2.00% -12.54% In Out 129.84 109.85 -0.1539587 APA APA US EquityUS APACHE CORP46.37B 2.00% -24.88% Out In 139 104.28 -0.2497842 ADM ADM US EquityUS ARCHER-DANIELS21.73B 2.00% -34.75% Out Out 33.75 21.91 -0.3508148 CSH CSH US EquityUS CASH AMER INTL902.97M 2.00% 16.36% In Out 31 36.04 0.1625806 CBE CBE US EquityUS COOPER INDUSTRIE6.87B 2.00% 1.68% Out Out 39.5 39.95 0.0113924 HUM HUM US EquityUS HUMANA INC6.73B 2.00% 3.60% In In 39.77 41.2 0.0359568 AXE AXE US EquityUS ANIXTER INTL INC2.12B 2.00% 0.03% Out Out 59.49 59.51 0.0003362 LLY LLY US EquityUS ELI LILLY & CO52.48B 2.00% -3.69% Out Out 46.16 44.03 -0.0461438 HSH HSH US EquityUS HILLSHIRE BRANDS8.65B 2.00% 3.90% In Out 28.179 29.0531 0.0310196 SODI SODI US EquityUS SOLITRON DEVICES7.87M 2.00% -20.69% Out Out 3.48 2.76 -0.2068966 RSH RSH US EquityUS RADIOSHACK CORP1.61B 2.00% 40.83% In Out 12.27 17.28 0.408313 WDC WDC US EquityUS WESTERN DIGITAL7.64B 2.00% -38.26% In In 34.53 21.32 -0.3825659 AIRM AIRM US EquityUS AIR METHODS CORP305.07M 2.00% 13.24% Out Out 8.3333 9.4367 0.1324085 BKR BKR US EquityUS MICHAEL BAKER CO193.27M 2.00% 59.05% Out In 21.88 34.8 0.5904936 HNR HNR US EquityUS HARVEST NATURAL390.06M 2.00% -8.50% Out In 11.06 10.12 -0.084991 CSPI CSPI US EquityUS CSP INC 22.56M 2.00% -11.43% Out Out 5.95 5.27 -0.1142857 DGII DGII US EquityUS DIGI INTL INC202.33M 2.00% 29.94% In Out 7.85 10.2 0.2993631 DYII DYII US EquityUS DYNACQ HEALTHCAR100.24M 2.00% -39.24% In In 6.336 3.85 -0.3923611 ELSE ELSE US EquityUS ELECTRO-SENSORS15.32M 2.00% -12.23% Out Out 4.55 3.96 -0.1296703 ELX ELX US EquityUS EMULEX CORP983.14M 2.00% -8.41% Out Out 11.65 10.67 -0.0841202 FRX FRX US EquityUS FOREST LABS INC10.59B 2.00% -18.60% Out In 34.74 28.28 -0.1859528 NGAC NGAC US EquityUS NORTH AMERICAN G107.03M 2.00% -22.64% Out In 6.5925 5.1 -0.2263936 MCRAA MCRAA US EquityUS MCRAE INDS -CL A38.50M 2.00% -2.55% In In 18 17.45 -0.0305556 NAFC NAFC US EquityUS NASH FINCH CO436.43M 2.00% 26.37% In Out 34.27 43.12 0.2582434 BVII BVII US EquityUS BROADVIEW INSTIT17.62M 2.00% -44.44% In In 2.16 1.2 -0.4444444 TPC TPC US EquityUS TUTOR PERINI COR897.73M 2.00% -21.97% In Out 33.05 25.79 -0.2196672 PDEX PDEX US EquityUS PRO-DEX INC10.39M 2.00% -10.37% In Out 3.1796 2.85 -0.1036608 RGEN RGEN US EquityUS REPLIGEN CORP147.13M 2.00% -0.21% In In 4.72 4.71 -0.0021186 SAFM SAFM US EquityUS SANDERSON FARMS699.91M 2.00% 6.80% In Out 34.52 36.74 0.0643105 SIGM SIGM US EquityUS SIGMA DESIGNS369.15M 2.00% 2.38% In In 13.89 14.22 0.0237581 CRMT CRMT US EquityUS AMERICA'S CAR-MA210.61M 2.00% 3.74% In Out 17.92 18.59 0.0373884 SPAR SPAR US EquityUS SPARTAN MOTORS242.09M 2.00% -57.43% In In 7.47 3.18 -0.5742972 TCCO TCCO US EquityUS TECHNICAL COMM8.74M 2.00% -10.66% In In 6.1 5.45 -0.1065574 TRCR TRCR US EquityUS TRANSCEND SVCS76.07M 2.00% 16.56% In Out 8.9999 10.49 0.1655685 IBAL IBAL US EquityUS INTERNATIONAL BA10.85M 2.00% -30.91% In In 2.2 1.52 -0.3090909 AHCI AHCI US EquityUS ALLIED HEALTHCAR89.52M 2.00% -4.52% Out Out 1.99 1.9 -0.0452261 QCOR QCOR US EquityUS QUESTCOR PHARM322.10M 2.00% 58.41% In Out 4.64 7.35 0.5840517 0882697D 0882697D US EquityUS ALDILA INC 29.69M 2.00% -30.38% Out Out 5.76 4.01 -0.3038194 INOD INOD US EquityUS INNODATA INC69.23M 2.00% -7.14% Out Out 2.8 2.6 -0.0714286 ATRM ATRM US EquityUS AETRIUM INC31.55M 2.00% -0.33% Out In 29.8 29.7013 -0.0033121 PZZI PZZI US EquityUS PIZZA INN HOLDIN23.56M 2.00% -1.20% Out In 2.4799 2.45 -0.0120569 SPDC SPDC US EquityUS SPEED COMMERCE I59.41M 2.00% -12.19% Out Out 1.64 1.4401 -0.1218902 TSSW TSSW US EquityUS TOUCHSTONE SFTWR17.84M 2.00% 0.00% Out Out 1.47 1.47 0 CALM CALM US EquityUS CAL-MAINE FOODS782.27M 2.00% -15.68% In In 32.99 27.44 -0.1682328 PES PES US EquityUS PIONEER ENERGY S936.00M 2.00% -29.29% In Out 18.81 13.3 -0.2929293 PCMI PCMI US EquityUS PCM INC 181.13M 2.00% -49.63% Out In 13.56 6.83 -0.4963127 AFFX AFFX US EquityUS AFFYMETRIX INC714.29M 2.00% -24.78% Out Out 10.29 7.74 -0.2478134 SGU SGU US EquityUS STAR GAS PARTNER212.32M 2.00% -20.43% In Out 2.79 2.22 -0.2043011 VSNT VSNT US EquityUS VERSANT CORP97.57M 2.00% -24.78% Out Out 26.19 19.7 -0.2478045 RAI RAI US EquityUS REYNOLDS AMERICA13.78B 2.00% 5.90% Out In 23.335 24.31 0.0417827 HPR = -0.07533 Point In Time Results for 'In' as of 06/30/2008 (latest test 41.) Rebalance Period: 06/30/2008 Ticker
  • 23. 19 Appendix D: Rebalancing Report of September 30, 2004 Previous Next 30/09/2004 30/12/2004 Short Name Market Cap Weight Return In/Out In/Out Px_last Px_last HPR% IWKS IWKS US EquityUS AFP IMAGING CORP13.16M 2.94% -12.86% In In 700 610 -0.128571429 GI GI US EquityUS GIANT INDS296.04M 2.94% 9.26% Out Out 24.3 26.55 0.092592593 GOTTQ GOTTQ US EquityUS GOTTSCHALKS INC80.71M 2.94% 36.80% In Out 6.25 8.55 0.368 KMT KMT US EquityUS KENNAMETAL INC1.67B 2.94% 11.84% Out Out 22.575 25.16 0.114507198 NMG/A NMG/A US EquityUS NEIMAN MARCUS GR2.75B 2.94% 25.09% Out Out 57.5 71.77 0.248173913 3026360Q 3026360Q US EquityUS SCIENTIFIC ATLAN3.98B 2.94% 59.84% Out Out 25.92 41.43 0.59837963 SWK SWK US EquityUS STANLEY BLACK &3.48B 2.94% 15.78% Out In 42.53 48.95 0.150952269 ALCO ALCO US EquityUS ALICO INC 310.33M 2.94% 36.41% Out Out 42.6 58.11 0.364084507 ALOT ALOT US EquityUS ASTRO-MED INC56.87M 2.94% -19.70% In Out 8.568 6.848 -0.200746965 ASGR ASGR US EquityUS AMER SERVICE GRP294.17M 2.94% 46.89% Out Out 27.36 40.19 0.468932749 ATNI ATNI US EquityUS ATLANTIC TELE-NE144.42M 2.94% 13.04% In Out 11.52 12.912 0.120833333 ANTP ANTP US EquityUS PHAZAR CORP8.55M 2.94% 1.10% Out Out 3.89 46.75 11.01799486 CCBL CCBL US EquityUS C-COR INC 363.64M 2.94% 10.89% Out Out 8.45 9.37 0.10887574 CNMD CNMD US EquityUS CONMED CORP784.51M 2.94% 9.47% Out In 26.3 28.79 0.094676806 PXFG PXFG US EquityUS PHOENIX FOOTWEAR55.04M 2.94% 12.41% Out In 7.01 7.88 0.124108417 ECOL ECOL US EquityUS US ECOLOGY INC167.13M 2.94% 22.68% Out In 9.7 11.9 0.226804124 0129289Q 0129289Q US EquityUS FOODARAMA SUPERM37.04M 2.94% 90.64% In In 37.5 71.49 0.9064 GEHL GEHL US EquityUS GEHL COMPANY108.54M 2.94% 19.65% In Out 13.2 15.7933 0.196462121 HURC HURC US EquityUS HURCO COMPANIES80.01M 2.94% 23.23% Out Out 13.39 16.5 0.232262883 9477411Q 9477411Q US EquityUS MACDERMID INC877.42M 2.94% 23.69% Out Out 28.96 35.78 0.235497238 MVK MVK US EquityUS MAVERICK TUBE1.31B 2.94% -1.53% Out In 30.81 30.34 -0.015254787 MIDD MIDD US EquityUS MIDDLEBY CORP486.53M 2.94% -5.11% Out In 26.325 24.98 -0.051092118 NVI NVI US EquityUS NATL VISION INC27.41M 2.94% 48.54% Out In 5.13 7.62 0.485380117 PMFG PMFG US EquityUS PMFG INC 43.22M 2.94% 4.97% In Out 3.5725 3.75 0.049685094 PDO PDO US EquityUS PYRAMID OIL CO3.77M 2.94% 188.08% Out In 0.8053 2.32 1.880913945 SAFM SAFM US EquityUS SANDERSON FARMS666.91M 2.94% 43.70% In In 33.45 59.41 0.436963474 TWMC TWMC US EquityUS TRANS WORLD ENTM332.92M 2.94% 27.12% Out In 9.77 12.42 0.271238485 UAHC UAHC US EquityUS UNITED AMER HLTH38.25M 2.94% 23.54% Out In 5.14 6.35 0.23540856 BYI BYI US EquityUS BALLY TECHNOLOGI768.60M 2.94% 28.88% Out In 15.06 19.41 0.288844622 UTMD UTMD US EquityUS UTAH MEDICAL PRO81.37M 2.94% 24.73% In In 18 22.3 0.238888889 AXYS AXYS US EquityUS AXSYS TECHNOLOGI97.56M 2.94% 27.14% In Out 13.89 17.66 0.271418287 ZRBA ZRBA US EquityUS ZAREBA SYSTEMS I20.56M 2.94% -5.83% Out Out 8.58 8.04 -0.062937063 SPGZ SPGZ US EquityUS SPECTRUM GROUP306.17M 2.94% 10.81% Out In 10.8948 12.0729 0.108134156 IPII IPII US EquityUS IMPERIAL INDS12.59M 2.94% 14.81% Out In 5.4 6.2 0.148148148 25.47% HPR = 0.577234112 Point In Time Results for 'In' as of 09/30/2004 (final quaterly test 41.) Rebalance Period: 09/30/2004 Ticker
  • 24. 20 Appendix E: ROIC Comparison Ticker Name ROIC:2004 ROIC:2005 ROIC:2006 ROIC:2007 ROIC:2008 ROIC:2009 ROIC:2010 ROIC:2011 ROIC:2012 BSETUS Equity BASSETTFURNITURE INDS 80.536606 105.040436 107.131943 115.875061 147.400055 103.778786 164.276001 226.527924 206.17308 TNH US Equity TERRA NITROGEN COMPANY LP 31.479589 39.578503 31.671114 113.708138 191.737717 77.928001 114.692123 211.934067 207.281464 PDLI US Equity PDL BIOPHARMA INC 16.681908 39.46558 92.808807 84.745941 134.217575 107.59005 SCCO US Equity SOUTHERN COPPER CORP 31.660412 30.002363 39.039692 40.484535 28.533747 19.584623 26.914095 35.465145 27.839895 RGR US Equity STURM RUGER & CO INC 3.815055 1.483775 0.47759 8.467987 12.498234 40.662479 29.691032 33.034866 63.82872 REPR US Equity REPRO MEDSYSTEMS INC 29.09173 22.674704 EMN US Equity EASTMAN CHEMICAL CO 100.221596 7.584977 31.723621 207.45369 113.108398 28.537786 53.226768 ENSV US Equity ENSERVCO CORP 19.533155 34.385571 61.046757 63.049343 12.930263 4.211158 9.773742 23.73395 22.479113 CSPI US Equity CSP INC 22.343983 20.719225 25.97049 13.159202 21.538506 6.155801 7.867991 20.947479 14.719422 CSC US Equity COMPUTER SCIENCES CORP 16.748888 19.324875 13.974179 12.339897 10.415603 17.946548 20.204565 11.071451 CMCO US Equity COLUMBUS MCKINNON CORP/NY 14.351564 22.726494 12.105264 8.941951 4.878962 9.42667 19.812819 19.105978 SPAN US Equity SPAN-AMERICA MEDICAL SYS INC 7.126412 10.260437 11.871411 24.971966 27.517101 23.935543 21.336346 16.339565 19.408257 KEQU US Equity KEWAUNEE SCIENTIFIC CP 10.236556 9.684476 12.488109 16.271683 10.996357 15.238142 13.91869 15.735456 11.753673 NTWK US Equity NETSOL TECHNOLOGIES INC 8.0333 14.649 17.150801 13.055392 8.828943 TSO US Equity TESORO CORP 15.871206 21.082577 23.46106 13.781882 6.602854 12.71881 16.125824 TSN US Equity TYSON FOODS INC-CL A 7.71646 6.717447 4.807521 2.583527 12.864822 11.189426 9.361561 CMTUS Equity CORE MOLDING TECHNOLOGIES IN 7.994411 9.49354 12.614261 18.912487 16.396357 10.088925 9.287581 10.750013 12.551099 HFC US Equity HOLLYFRONTIER CORP 14.384381 7.259621 10.738868 7.500347 HP US Equity HELMERICH & PAYNE 1.649701 7.860749 15.751309 16.615799 15.139959 10.76621 7.633526 10.361881 11.555564 IDTUS Equity IDTCORP-CLASS B 6.010591 8.192869 7.372207 7.223148 6.977611 10.30627 9.691348 WGO US Equity WINNEBAGO INDUSTRIES 39.837914 31.407667 20.780088 20.415089 10.266421 SGU US Equity STAR GAS PARTNERS L.P. 10.340381 10.174568 10.242938 7.888622 USTR US Equity UNITED STATIONERS INC 12.852124 13.534699 17.044596 12.426175 10.390214 10.268057 10.762905 10.11511 10.304429 WNC US Equity WABASH NATIONAL CORP 25.106735 3.283895 4.431269 9.9087 SHLO US Equity SHILOH INDUSTRIES INC 10.053174 13.180908 6.833001 6.519206 5.603668 9.79805 9.109715 12.08609 VLO US Equity VALERO ENERGY CORP 15.838167 25.752781 23.742775 16.053984 -31.096853 4.302288 8.271358 9.606246 GV US Equity GOLDFIELD CORP 8.02153 7.383661 6.715446 8.206293 7.548355 9.753754 7.896961 CRUS US Equity CIRRUS LOGIC INC 13.029301 7.158434 17.690207 8.784342 6.935594 AGXUS Equity ARGAN INC 5.486424 1.508722 5.795181 10.838197 13.42228 13.286395 6.90751 5.481496 NOV US Equity NATIONAL OILWELL VARCO INC 9.418747 8.111178 5.367044 33.186527 IDCC US Equity INTERDIGITAL INC -0.177897 0.011763 2.871109 7.723 4.907019 3.005595 4.848341 4.790859 4.51855 SWHC US Equity SMITH & WESSON HOLDING CORP 15.696952 16.639841 12.004185 7.048139 14.781276 4.72945 16.346811 SCND US Equity SCIENTIFIC INDUSTRIES INC 11.625972 12.440494 11.313637 8.969358 9.69302 8.174359 12.715617 4.612013 RFIL US Equity RF INDUSTRIES LTD 13.02259 3.596812 6.357686 8.912255 4.179425 7.591883 4.032142 12.281857 ALJJ US Equity ALJ REGIONAL HOLDINGS INC 2.494729 0.599755 -4.862086 HUM US Equity HUMANA INC 2.9951 11.5906 11.5245 14.353573 -47.237831 12.11902 PLUS US Equity EPLUS INC 15.815743 19.244389 PHMD US Equity PHOTOMEDEXINC 18.256245 PKOH US Equity PARK-OHIO HOLDINGS CORP 8.959034 9.369424 6.509945 9.235742 11.624965 URS US Equity URS CORP 5.673366 5.793107 6.895915 4.024143 4.611266 4.910287 6.727541 7.698879 CUO US Equity CONTINENTAL MATERIALS CORP 4.194299 17.067965 22.017218 3.24373 4.132872 LF US Equity LEAPFROG ENTERPRISES INC 3.355144 3.625813 3.319653 1.186192 -4.286409 MYGN US Equity MYRIAD GENETICS INC 45.719398 5.3459 35.247601 AE US Equity ADAMS RESOURCES & ENERGY INC 2.03417 RTEC US Equity RUDOLPH TECHNOLOGIES INC 22.176081 ELSE US Equity ELECTRO-SENSORS INC 8.401216 GNI US Equity GREATNORTHERN IRON ORE PPTY 3.461894 3.224359 TFCO US Equity TUFCO TECHNOLOGIES INC 4.388958 1.177409 1.841436 2.96249 1.681128 QEPC US Equity Q.E.P. COMPANY INC 9.773639 2.502358 RAD US Equity RITE AID CORP AVERAGE 14.19878984 16.018552 19.95517244 19.16223743 22.39488425 29.20226383 24.76238566 26.27193014 28.97938472 SPXIndex 5.0244 5.6108 5.9298 4.8251 2.1471 5.1426 6.697 7.4453 7.1627
  • 25. 21 Appendix F: ROIC Rank 2004 2005 2006 2007 2008 2009 2010 2011 2012 BSET US Equity BSET US Equity BSET US Equity BSET US Equity TNH US Equity EMN US Equity BSET US Equity BSET US Equity TNH US Equity WGO US Equity TNH US Equity EMN US Equity TNH US Equity BSET US Equity BSET US Equity TNH US Equity TNH US Equity BSET US Equity SCCO US Equity ENSV US Equity ENSV US Equity ENSV US Equity MYGN US Equity PDLI US Equity EMN US Equity PDLI US Equity PDLI US Equity TNH US Equity WGO US Equity SCCO US Equity SCCO US Equity PDLI US Equity TNH US Equity PDLI US Equity SCCO US Equity RGR US Equity WNC US Equity SCCO US Equity TNH US Equity SPAN US Equity EMN US Equity RGR US Equity MYGN US Equity RGR US Equity EMN US Equity CSPI US Equity VLO US Equity CSPI US Equity WGO US Equity SCCO US Equity SPAN US Equity RGR US Equity REPR US Equity NOV US Equity ENSV US Equity CMCO US Equity VLO US Equity CMT US Equity SPAN US Equity SCCO US Equity SCCO US Equity EMN US Equity SCCO US Equity TSO US Equity TSO US Equity TSO US Equity CRUS US Equity CSPI US Equity KEQU US Equity RTEC US Equity ENSV US Equity REPR US Equity VLO US Equity CSPI US Equity CUO US Equity PDLI US Equity CMT US Equity HFC US Equity SPAN US Equity CSPI US Equity ENSV US Equity CMCO US Equity CUO US Equity WGO US Equity HP US Equity PLUS US Equity AGXUS Equity CSC US Equity CSC US Equity SPAN US Equity CRUS US Equity CSC US Equity CSC US Equity KEQU US Equity HP US Equity HP US Equity NTWK US Equity CMCO US Equity PLUS US Equity RFIL US Equity SWHC US Equity USTR US Equity VLO US Equity NTWK US Equity CSC US Equity SWHC US Equity SPAN US Equity CMCO US Equity USTR US Equity USTR US Equity SWHC US Equity CSC US Equity HUM US Equity USTR US Equity KEQU US Equity KEQU US Equity PHMD US Equity SCND US Equity SHLO US Equity HP US Equity TSO US Equity ENSV US Equity CMT US Equity AGXUS Equity NTWK US Equity SWHC US Equity KEQU US Equity SCND US Equity CMT US Equity CSPI US Equity RGR US Equity SCND US Equity TSN US Equity TSO US Equity TSO US Equity SHLO US Equity HUM US Equity KEQU US Equity USTR US Equity CSC US Equity IDT US Equity SCND US Equity TSN US Equity CSPI US Equity QEPC US Equity SPAN US Equity CMCO US Equity SWHC US Equity KEQU US Equity CSPI US Equity USTR US Equity CMT US Equity CMT US Equity PKOH US Equity KEQU US Equity SPAN US Equity HUM US Equity AGXUS Equity MYGN US Equity SGU US Equity HFC US Equity RFIL US Equity GV US Equity CMT US Equity SCND US Equity SGU US Equity USTR US Equity URS US Equity SHLO US Equity HP US Equity HUM US Equity CMT US Equity NOV US Equity PKOH US Equity SCND US Equity SCND US Equity CMCO US Equity ENSV US Equity IDT US Equity SHLO US Equity TSN US Equity NTWK US Equity NOV US Equity CMCO US Equity RFIL US Equity ENSV US Equity GV US Equity WGO US Equity KEQU US Equity SPAN US Equity HP US Equity URS US Equity RGR US Equity GV US Equity RFIL US Equity CMCO US Equity SGU US Equity PKOH US Equity IDT US Equity GV US Equity SHLO US Equity GV US Equity IDT US Equity IDCC US Equity CMT US Equity USTR US Equity HP US Equity URS US Equity CRUS US Equity GV US Equity IDT US Equity SWHC US Equity AE US Equity PKOH US Equity WNC US Equity CSC US Equity AGXUS Equity TSN US Equity LF US Equity IDCC US Equity TSO US Equity PLUS US Equity CRUS US Equity SHLO US Equity USTR US Equity TFCO US Equity URS US Equity WNC US Equity EMN US Equity SHLO US Equity NTWK US Equity ELSE US Equity VLO US Equity IDT US Equity CUO US Equity LF US Equity IDCC US Equity SHLO US Equity IDCC US Equity HUM US Equity CSPI US Equity GV US Equity VLO US Equity RGR US Equity RFIL US Equity QEPC US Equity PKOH US Equity URS US Equity GV US Equity HP US Equity CRUS US Equity TSN US Equity LF US Equity GNI US Equity TFCO US Equity RFIL US Equity TSN US Equity SWHC US Equity RFIL US Equity AGXUS Equity NTWK US Equity HUM US Equity ALJJ US Equity AGXUS Equity AGXUS Equity TFCO US Equity TSO US Equity HFC US Equity NOV US Equity SGU US Equity HP US Equity RGR US Equity ALJJ US Equity TSN US Equity LF US Equity SHLO US Equity IDT US Equity IDCC US Equity URS US Equity IDCC US Equity TFCO US Equity RGR US Equity WNC US Equity VLO US Equity TSN US Equity URS US Equity SWHC US Equity HFC US Equity MYGN US Equity IDCC US Equity HUM US Equity URS US Equity WGO US Equity TFCO US Equity IDCC US Equity SCND US Equity AGXUS Equity PDLI US Equity WNC US Equity NTWK US Equity CUO US Equity CRUS US Equity LF US Equity VLO US Equity RFIL US Equity IDCC US Equity EMN US Equity QEPC US Equity CRUS US Equity TFCO US Equity SGU US Equity VLO US Equity GNI US Equity ALJJ US Equity CUO US Equity PLUS US Equity PKOH US Equity TSN US Equity NOV US Equity CMCO US Equity WGO US Equity AE US Equity HUM US Equity LF US Equity NTWK US Equity IDT US Equity RFIL US Equity LF US Equity PKOH US Equity CRUS US Equity PLUS US Equity MYGN US Equity WGO US Equity CSC US Equity AGXUS Equity GNI US Equity QEPC US Equity WNC US Equity SGU US Equity HUM US Equity RTEC US Equity WNC US Equity SWHC US Equity MYGN US Equity IDT US Equity ALJJ US Equity CUO US Equity PKOH US Equity TSO US Equity PKOH US Equity GV US Equity NOV US Equity PDLI US Equity MYGN US Equity NTWK US Equity NOV US Equity WNC US Equity TFCO US Equity ELSE US Equity CRUS US Equity GNI US Equity EMN US Equity PDLI US Equity GNI US Equity QEPC US Equity CUO US Equity LF US Equity URS US Equity SCND US Equity ALJJ US Equity PLUS US Equity PLUS US Equity MYGN US Equity ALJJ US Equity NOV US Equity WGO US Equity GNI US Equity ALJJ US Equity REPR US Equity REPR US Equity REPR US Equity PLUS US Equity GNI US Equity QEPC US Equity WNC US Equity AE US Equity MYGN US Equity PHMD US Equity PHMD US Equity PHMD US Equity REPR US Equity REPR US Equity ALJJ US Equity CUO US Equity PLUS US Equity RTEC US Equity SGU US Equity SGU US Equity SGU US Equity PHMD US Equity PHMD US Equity GNI US Equity NOV US Equity TFCO US Equity ELSE US Equity HFC US Equity HFC US Equity HFC US Equity HFC US Equity HFC US Equity REPR US Equity QEPC US Equity LF US Equity GNI US Equity RTEC US Equity RTEC US Equity RTEC US Equity RTEC US Equity RTEC US Equity PHMD US Equity ALJJ US Equity CUO US Equity AE US Equity ELSE US Equity ELSE US Equity ELSE US Equity ELSE US Equity ELSE US Equity RTEC US Equity REPR US Equity QEPC US Equity TFCO US Equity AE US Equity AE US Equity AE US Equity AE US Equity AE US Equity ELSE US Equity PHMD US Equity PHMD US Equity QEPC US Equity RAD US Equity RAD US Equity RAD US Equity RAD US Equity RAD US Equity RAD US Equity RAD US Equity RAD US Equity RAD US Equity
  • 26. 22 Appendix G: ROE and ROA Rank Comparison 2004 2005 2006 2007 2008 2009 2010 2011 2012 GNI US Equity GNI US Equity GNI US Equity GNI US Equity TNH US Equity GNI US Equity GNI US Equity GNI US Equity GNI US Equity WNC US Equity WNC US Equity IDCC US Equity TNH US Equity GNI US Equity IDCC US Equity TNH US Equity TNH US Equity TNH US Equity SCCO US Equity HFC US Equity HFC US Equity HFC US Equity SCCO US Equity TNH US Equity REPR US Equity CRUS US Equity RGR US Equity WGO US Equity SCCO US Equity SCCO US Equity SCCO US Equity SPAN US Equity SGU US Equity IDCC US Equity SCCO US Equity GV US Equity TNH US Equity TNH US Equity CMCO US Equity VLO US Equity IDCC US Equity RGR US Equity PKOH US Equity PKOH US Equity IDCC US Equity TSO US Equity EMN US Equity TSO US Equity HP US Equity HP US Equity SCCO US Equity SCCO US Equity BSET US Equity WNC US Equity HFC US Equity IDCC US Equity ENSV US Equity SWHC US Equity CMT US Equity SPAN US Equity SWHC US Equity EMN US Equity SCCO US Equity VLO US Equity PKOH US Equity TNH US Equity HUM US Equity HFC US Equity CSC US Equity MYGN US Equity HFC US Equity PKOH US Equity CRUS US Equity VLO US Equity VLO US Equity NOV US Equity NOV US Equity HUM US Equity EMN US Equity REPR US Equity WGO US Equity PKOH US Equity TSO US Equity CMT US Equity AE US Equity EMN US Equity MYGN US Equity RGR US Equity RGR US Equity CSPI US Equity CMT US Equity AE US Equity SWHC US Equity TSO US Equity USTR US Equity AGXUS Equity SPAN US Equity CMT US Equity LF US Equity AE US Equity WGO US Equity HP US Equity SGU US Equity HUM US Equity USTR US Equity CRUS US Equity AE US Equity HFC US Equity SHLO US Equity ENSV US Equity EMN US Equity WGO US Equity CMCO US Equity KEQU US Equity HUM US Equity IDCC US Equity REPR US Equity EMN US Equity CMCO US Equity CRUS US Equity CSPI US Equity NTWK US Equity HP US Equity TSN US Equity HUM US Equity IDT US Equity QEPC US Equity SWHC US Equity PKOH US Equity USTR US Equity SWHC US Equity NOV US Equity RTEC US Equity MYGN US Equity AE US Equity HUM US Equity PLUS US Equity WGO US Equity CMCO US Equity MYGN US Equity EMN US Equity HFC US Equity SPAN US Equity CRUS US Equity RFIL US Equity CMT US Equity HUM US Equity SPAN US Equity KEQU US Equity SCND US Equity USTR US Equity TSO US Equity SPAN US Equity USTR US Equity SHLO US Equity USTR US Equity EMN US Equity RGR US Equity PLUS US Equity CSC US Equity USTR US Equity TSO US Equity SCND US Equity QEPC US Equity AE US Equity PKOH US Equity SCND US Equity URS US Equity SCND US Equity HP US Equity MYGN US Equity CSC US Equity SCND US Equity NOV US Equity PLUS US Equity PLUS US Equity AE US Equity KEQU US Equity TSN US Equity EMN US Equity SPAN US Equity USTR US Equity ELSE US Equity RGR US Equity RFIL US Equity RFIL US Equity IDT US Equity IDT US Equity RTEC US Equity TSN US Equity HUM US Equity SPAN US Equity CMT US Equity CSC US Equity CMT US Equity NOV US Equity VLO US Equity BSET US Equity CSPI US Equity CSC US Equity GV US Equity ELSE US Equity QEPC US Equity ELSE US Equity WGO US Equity NTWK US Equity CMCO US Equity NOV US Equity HP US Equity SCND US Equity SCND US Equity TSO US Equity HFC US Equity AE US Equity RTEC US Equity HP US Equity PLUS US Equity SPAN US Equity RFIL US Equity CRUS US Equity ENSV US Equity CRUS US Equity SGU US Equity NOV US Equity PHMD US Equity URS US Equity GV US Equity CSPI US Equity IDCC US Equity URS US Equity LF US Equity AGXUS Equity PLUS US Equity SWHC US Equity TFCO US Equity NOV US Equity CSC US Equity ENSV US Equity ELSE US Equity TFCO US Equity RFIL US Equity WGO US Equity USTR US Equity KEQU US Equity TSN US Equity URS US Equity IDT US Equity SHLO US Equity CUO US Equity URS US Equity WNC US Equity CMT US Equity SWHC US Equity URS US Equity RTEC US Equity RFIL US Equity TSN US Equity TSO US Equity CMT US Equity CSC US Equity HUM US Equity CUO US Equity NTWK US Equity SHLO US Equity CSC US Equity TFCO US Equity TSN US Equity PLUS US Equity LF US Equity NOV US Equity ENSV US Equity ELSE US Equity CUO US Equity SHLO US Equity WGO US Equity GV US Equity HP US Equity SGU US Equity RFIL US Equity RTEC US Equity CUO US Equity QEPC US Equity KEQU US Equity CUO US Equity VLO US Equity ELSE US Equity AGXUS Equity SHLO US Equity RGR US Equity CSPI US Equity WNC US Equity TSN US Equity CSPI US Equity SHLO US Equity CSPI US Equity SHLO US Equity VLO US Equity BSET US Equity BSET US Equity BSET US Equity WNC US Equity CRUS US Equity CSPI US Equity NTWK US Equity KEQU US Equity PLUS US Equity CMCO US Equity RFIL US Equity TFCO US Equity URS US Equity SGU US Equity RTEC US Equity SHLO US Equity GV US Equity ELSE US Equity ELSE US Equity LF US Equity RGR US Equity RTEC US Equity AE US Equity BSET US Equity LF US Equity ELSE US Equity TSN US Equity HP US Equity RTEC US Equity KEQU US Equity TFCO US Equity VLO US Equity ENSV US Equity VLO US Equity SCND US Equity SGU US Equity IDCC US Equity TFCO US Equity PLUS US Equity AGXUS Equity AGXUS Equity NTWK US Equity CUO US Equity RFIL US Equity AGXUS Equity LF US Equity RGR US Equity TSN US Equity RAD US Equity BSET US Equity PKOH US Equity TSO US Equity CSPI US Equity URS US Equity GV US Equity KEQU US Equity NTWK US Equity CUO US Equity GV US Equity CMCO US Equity TFCO US Equity PHMD US Equity CUO US Equity SGU US Equity IDT US Equity PHMD US Equity PDLI US Equity LF US Equity QEPC US Equity GV US Equity TFCO US Equity NTWK US Equity AGXUS Equity CRUS US Equity IDT US Equity BSET US Equity PHMD US Equity PHMD US Equity BSET US Equity CUO US Equity KEQU US Equity IDT US Equity SGU US Equity MYGN US Equity GV US Equity IDT US Equity WGO US Equity CMCO US Equity URS US Equity SCND US Equity PDLI US Equity PHMD US Equity PDLI US Equity MYGN US Equity WNC US Equity IDT US Equity ENSV US Equity CMCO US Equity TFCO US Equity MYGN US Equity AGXUS Equity SGU US Equity PHMD US Equity RTEC US Equity SWHC US Equity PHMD US Equity ENSV US Equity ENSV US Equity PHMD US Equity MYGN US Equity LF US Equity NTWK US Equity RAD US Equity WNC US Equity WNC US Equity SWHC US Equity CSC US Equity NTWK US Equity PDLI US Equity AGXUS Equity QEPC US Equity PKOH US Equity RAD US Equity QEPC US Equity QEPC US Equity QEPC US Equity REPR US Equity REPR US Equity REPR US Equity LF US Equity PDLI US Equity PDLI US Equity RAD US Equity RAD US Equity RAD US Equity RAD US Equity RAD US Equity RAD US Equity REPR US Equity REPR US Equity REPR US Equity PDLI US Equity PDLI US Equity PDLI US Equity ALJJ US Equity ALJJ US Equity ALJJ US Equity ALJJ US Equity ALJJ US Equity ALJJ US Equity ALJJ US Equity ALJJ US Equity ALJJ US Equity

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