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Stephen Castellano
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J. Stephen Castellano founded the investment research and strategy consulting firm Ascendere Associates in 2009, building upon a diversified 15-year career in sell side and buy side equity research. His roles included coverage of the steel industry at PaineWebber and telecom services at Warburg... More
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Ascendere Associates LLC
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Ascendere Associates LLC
  • Model Portfolio Remains Net Long Heading into April 0 comments
    Apr 1, 2010 6:43 AM | about stocks: ROST, BIG, GCI, AZO, TJX, DLTR, M, FDO, DV, CMG, BBY, LB, SBUX, THI, TSN, FMX, NTY, KOF, UGP, PGR, BSAC, CM, BAP, TRV, BNS, PCL, BMO, GILD, WCRX, OSK, TW, STX, SNDK, FLEX, JBL, V, UFS, LZ, FCX, KGC, AMX

    For March 2010, "high-quality" stocks in the long portfolio ended up 7.52%, offset by low "low-quality" stocks in the short portfolio which was down -5.34%. Given the 120/80 long/short weighting since February 26, the Ascendere Long/Short Model Portfolio ended the month up 1.90% versus a 5.88% move for the S&P 500 (excluding dividends). A market neutral version of the portfolio was down -0.70% MTD. 

    Model Portfolio Update for April
    The portfolio has been rebalanced as of the close of March 31, 2010. Below are a new list of stocks in the model portfolio. A detailed report will follow. 

    About the Model Portfolio
    The Ascendere Long/Short Model Portfolio is a "tactical tilt" portfolio that buys the highest quality stocks and sells the lowest quality stocks while maintaining a net long or net short position at all times. It is composed about 80-100 stocks and rebalanced monthly.

    LONG MODEL PORTFOLIO
    There are 41 stocks in the long portfolio this month, as of the close of March 31, 2010. They include ROST, BIG, GCI, AZO, TJX, DLTR, M, FDO, DV, CMG, BBY, LTD, SBUX, THI, TSN, FMX, NTY, KOF, UGP, PGR, SAN, CM, BAP, TRV, BNS, PCL, BMO, GILD, WCRX, OSK, TW, STX, SNDK, FLEX, JBL, V, UFS, LZ, FCX, KGC and AMX.

    New to the Long Portfolio
    The 20 stocks new to the list include AZO, TJX, FDO, CMG, BBY, LTD, THI, FMX, UGP, PGR, CM, BNS, BMO, WCRX, TW, SNDK, FLEX, UFS, KGC and AMX.

    Leaving the Long Portfolio
    The 16 stocks leaving the list include: ESI, MAT, HAS, SNI, WYN, TGT, NLY, FITB, AMP, NYB, ABC, NVO, LLL, IBM, SMG and BVN.

    Focus List Long Ideas
    11 of these stocks go on the Focus Portfolio List, which we think have a particularly good chance of outperforming this month: LTD, THI, FMX, UGP, CM, BMO, WCRX, TW, SNDK, FLEX and UFS. In March, long focus portfolio stocks averaged a return of 8.33% versus 5.88% in the S&P 500.

    SHORT MODEL PORTFOLIO
    There are 52 stocks in the short portfolio this month. HBI, TRI, FO, MGM, HOG, PC, DAI, TM, FMCN, TOL, AVP, BRFS, BG, ACI, NBR, PDE, HK, WFT, EOG, PXP, RRC, SUN, VLO, SU, BJS, NDAQ, BK, STI, DRE, LAZ, JOE, GENZ, OSIP, MDRX, TXT, TRMB, ATVI, ERTS, MLM, MT, NUE, SMS, CHA, NIHD, CHU, FPL, SCG, SO, POM, FE, GXP and EQT.

    New to the Short Portfolio
    The 24 stocks new to the short portfolio include: HBI, TRI, FO, PC, DAI, TM, FMCN, HK, EOG, PXP, RRC, NDAQ, STI, DRE, OSIP, MDRX, ATVI, MLM, SMS, CHA, NIHD, CHU, GXP and EQT.

    Leaving the Short Portfolio
    The 22 stocks leaving the short portfolio include : LINT.A, IGT, CCL, ANF, WYNN, PHM, ETFC, HBC, AV, REG, PUK, PWR, AGU, RS, GGB, STLD, POT, MOS, X, USM, TAC and SRE.

    Focus List Short Ideas
    Only six of these stocks go on the Focus Short List, which we think should have a particularly good chance of underperforming the market over the next month. These include FO, DRE, MLM, SMS, NIHD and CHU. In March, short focus portfolio stocks appreciated on average 3.08%, below the 5.88% return for the S&P 500.

    While shorting stocks has been the wrong strategy for much of 2009 and most of this year as well, it is interesting that the focus list of short ideas drastically underperformed in this latest month. The factors behind this "focus" portfolio have not been backtested yet but if last month was any indication they hold some promise.

    A PDF of this report is also available.   

     

    Disclosure: none
    Themes: Equity Strategy, Long/Short Stocks: ROST, BIG, GCI, AZO, TJX, DLTR, M, FDO, DV, CMG, BBY, LB, SBUX, THI, TSN, FMX, NTY, KOF, UGP, PGR, BSAC, CM, BAP, TRV, BNS, PCL, BMO, GILD, WCRX, OSK, TW, STX, SNDK, FLEX, JBL, V, UFS, LZ, FCX, KGC, AMX
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