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Strategy Update Q3 2006

1/16/07

 

The fourth quarter of 2006 saw strong returns across most equity markets. The S&P 500 returned about 6% while the Russell 2000 gained 8%. Some sectors and industry groups showed strong recoveries. Examples include real estate-related companies and the Basic Materials Sector. Some of the worst performers could be found in the Industrial Sector.

 

2006 was characterized by strong, but short-lived trends. Generally it is difficult to generate significantly above market returns in such an environment. However, our Income Strategy beat the S&P 500 by about one percent based on preliminary calculations. Unlike the other strategies, it does not use a trend-following component. This makes it less sensitive to choppy markets like we experienced in 2006.

 

All our programs continue to perform in line with expectations and we expect this to continue in 2007.

Dynamic Value

The Dynamic Value Portfolio tracked the Russell 2000 fairly closely. For the quarter it returned 8.5% in line with the Russell 2000 (based on preliminary estimates). This reflects our continued exposure to Basic Materials, which offset declines in the Industrial Sector.

Performance

To view detailed performance information, please click here (Requires free registration to access).

Current Holdings

Ticker Name Shares Price Value Sector Exposure
BKI Buckeye Technologies Inc 18874  $     11.98  $      226,111 BM  
MERC Mercer International Inc 26337  $     11.87  $      312,620 BM  
PKX POSCO 6177  $     82.67  $      510,653 BM  
SCHN Schnitzer Steel Industrie 9290  $     39.70  $      368,813 BM  
USU USEC Inc 13349  $     12.72  $      169,799 BM 13.1%
EMT Embratel Participacoes SA 1366  $     16.45  $        22,476 C  
KTC KT Corp 22124  $     25.35  $      560,843 C  
UTSI Utstarcom Inc 13197  $       8.75  $      115,474 C 5.8%
CVGI Commercial Vehicle Group  5877  $     21.80  $      128,119 CC  
DCX DaimlerChrysler AG 10254  $     61.41  $      629,698 CC  
DDS Dillard's Inc 14072  $     34.97  $      492,098 CC  
GOT Gottschalks Inc 20014  $     11.48  $      229,761 CC  
PCCC PC Connection Inc 3928  $     14.83  $        58,252 CC  
PERY Perry Ellis International 6202  $     27.33  $      169,521 CC  
SCVL Shoe Carnival Inc 790  $     31.60  $        24,964 CC  
SMP Standard Motor Products I 44571  $     14.98  $      667,674 CC  
TECD Tech Data Corp 556  $     37.87  $        21,056 CC 19.9%
ADSO Adsero Corp 8000  $       0.25  $          2,000 CS  
CPC Central Parking Corp 21804  $     18.00  $      392,472 CS  
CRN Cornell Cos Inc 21377  $     18.33  $      391,840 CS 6.5%
AEG Aegon NV 8555  $     18.95  $      162,117 F  
AFG American Financial Group  8393  $     35.91  $      301,393 F  
AZ Allianz SE 32104  $     20.42  $      655,564 F  
MET Metlife Inc 8388  $     59.01  $      494,976 F  
ORH Odyssey Re Holdings Corp 16377  $     37.30  $      610,862 F  
PNX Phoenix Cos Inc/The 25771  $     15.89  $      409,501 F  
RGA Reinsurance Group of Ame 8952  $     55.70  $      498,626 F  
THG Hanover Insurance Group 1660  $     48.80  $        81,008 F 26.5%
AVT Avnet Inc 3649  $     25.53  $        93,159 I  
CNH CNH Global NV 17286  $     27.30  $      471,908 I  
METH Methode Electronics Inc 34667  $     10.83  $      375,444 I  
NUHC NU Horizons Electronics C 23307  $     10.29  $      239,829 I  
TG Tredegar Corp 27914  $     22.61  $      631,136 I 14.9%
IKN IKON Office Solutions Inc 30515  $     16.37  $      499,531 T  
SNX SYNNEX Corp 23411  $     21.94  $      513,637 T 8.3%
UNS Unisource Energy Corp 16853  $     36.53  $      615,640 U 5.1%
       $  12,148,573    

 

Diversified Income

The Diversified Income portfolio performed well in the fourth quarter, returning 7.1% compared to 6.5% for the S&P 500 (based on preliminary estimates). For the year it outperformed the S&P 500 by about 2%.

Performance

To view detailed performance information, please click here (Requires free registration to access).

Current Holdings

Ticker Name Shares Price Value Sector Exposure
APD Air Products & Chemicals Inc 164  $   70.28  $      11,526 BM 11.9%
DOW Dow Chemical Co/The 291  $   39.90  $      11,611 BM  
PCU Southern Copper Corp 248  $   53.89  $      13,365 BM  
ROH Rohm & Haas Co 239  $   51.12  $      12,218 BM  
AT Alltel Corp 187  $   60.48  $      11,310 C 11.3%
SSP EW Scripps Co 245  $   49.94  $      12,235 C  
TRB Tribune Co 358