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J. Stephen Castellano founded the investment research and strategy consulting firm Ascendere Associates in 2009, building upon a diversified 20-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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  • Model Market Neutral Portfolio Continues to Shine Amidst Volatility 0 comments
    May 24, 2010 11:33 PM | about stocks: CMG, DLTR, HUN, MGM, MLM, NIHD, PDE, RGC, RHI, WDC, TROW, SPY
    Daily updates like this on our model portfolio strategies are available on our website.  We are currently experimenting with various teaser formats that will convey some insight without giving the store away, as we have been doing for the last several months.  

    Ascendere Long/Short Strategy Daily Update for Monday, May 24, 2010 'High-quality' stock positions in the unleveraged long model portfolio were closed at the open on May 7 and reopened at the open on May 18.  However, we have continued to track the basket's daily performance for the month.

    High-quality' stocks in an unleveraged model long portfolio would have declined -0.83%, and 'low-quality' stocks in the unleveraged short portfolio declined -1.85% for Monday, May 24, 2010. This compares to a decline of -1.29% in the S&P 500.

    For the MTD, 'high-quality' stocks in an unleveraged long portfolio would have been down -8.22%, ahead of the S&P 500 (ex dividends) at -9.53%.  'Low-quality' stocks in the unlevered short portfolio are down even more for the MTD at -12.19%.

    Market Neutral
    As a result, an accompanying unmodified Market Neutral Model Portfolio would have increased 1.02% today and is now up 4.43% MTD.

    Moderate Long/Short Portfolio
    Given the now 80% long/120% short weighting in the Moderate Long/Short Model Portfolio, it appreciated 1.56% overall for the day. The Moderate portfolio performance is now up 4.39% MTD versus -9.53% for the S&P 500, excluding dividends.

    Aggressive Long/Short Portfolio
    Given the 50% long/150% short weighting in the Aggressive Long/Short Model Portfolio, it appreciated 2.36% overall for the day. The Aggressive portfolio performance is now up 5.20% MTD versus -9.53% for the S&P 500, excluding dividends.

    'High-Quality' Long Stocks Performance
    The best daily performers in a 'high-quality' model long portfolio included Dollar Tree Inc. (DLTR) up 2.60%, Chipotle Mexican Grill, Inc. (CMG) up 1.26%, and SanDisk Corp. (SNDK) up 0.80%.

    The worst daily performers in a 'high-quality' model portfolio included Regal Entertainment Group (RGC) down -5.53%, T. Rowe Price Group, Inc. (TROW) down -4.16%, and Ares Capital Corporation (ARCC) down -3.68%.

    'Low-Quality' Short Stocks Performance
    The best daily performers in the 'low-quality' short portfolio included MGM Mirage (MGM) down -5.07%, Huntsman Corp. (HUN) down -5.00%, and Pride International Inc. (PDE) down -4.97%.

    The worst daily performers in the 'low-quality' short portfolio included Martin Marietta Materials Inc. (MLM) up 0.82%, Robert Half International Inc. (RHI) up 0.79%, and NII Holdings Inc. (NIHD) up 0.23%.

    Our Long/Short indicator is solidly in the net short position, and suggests no long hedges.

    About the Model Portfolio 
    The Ascendere Long/Short Model Portfolio Strategies are "tactical tilt" portfolios that buy the highest quality stocks and sell the lowest quality stocks while maintaining a net long or net short position at all times.  They are composed about 100 stocks and rebalanced monthly. 

    Investors focusing on daily performance could find monitoring our model portfolio useful as a proxy for what is working in the market in general as viewed through the lens of "high-quality" versus "low-quality" stocks. 

    In addition, daily readers can be apprised to changes in our proprietary long/short indicator, which has been successful at capturing general trends in the market.

    A an real-money IRA strategy based largely in part on these model portfolio strategies will be available for auto trading soon.  In addition, newsletter based on our factors and a partnering quantitative firm will be available to institutional investors and retail investors in varying formats soon.  



    Weekly Rebalancing, Including Results from Refined Factors



    Disclosure: None
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