We add 3 longs and 2 shorts today while exiting 6 longs and 2 shorts. Details below the fold.


All our exits were only held for one day. Heading in to tomorrow’s open, 5 (GLW, DTE, PBI, PPG, MOS) proved profitable while 3 (AXL, CAT, MDC) were disappointing.

As always, please read our Disclaimer. We also urge investors to do independent research. A quantitative model is not a magic bullet.

Portfolio Exits

Portfolio Entries

Portfolio Holds

A word about weights and the SPY hedge. The weight represents a dollar-weight for the portfolio member. It is always positive. For longs, we buy that amount. For shorts, we sell that amount. The SPY hedge represents the dollar-weight and buy/sell in a single number. For example, assume the weight for a long portfolio member is 6 and the SPY hedge is -10. If we bought $600 dollars worth of the equity, we’d hedge by selling $1000 worth of SPY. If the weight for a short were 6 and the SPY hedge 10, we’d sell $600 worth of the security and buy $1000 worth of SPY.




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