Commentary and Stocks for Friday

bxiicort.gif After publishing the first installment of Build Your Own Investment Portfolio, Mebane Faber from World Beta sent me a link, reminding me to bring up risk parity portfolios.

I first saw the concept a few years ago when The Quant pointed me to Ray Dalio’s Engineering Targeted Returns and Risk (more at Bridgewater).

At the bottom of Mebane’s post were some links to PanAgora’s risk parity portfolio performance. I was shocked. For one, the dates of inception were 2006 and 2007. For two, commodities are now firmly entrenched as an asset class.

Five years ago, clients would have FIRED a manager for dabbling in commodities, but with the benefit of hindsight and a bull market, it appears as if fund managers have engaged in back-dating and market-timing the addition of and/or overweighting of an entire asset class to beef up performance …and sales!

That brings us to another point. Why is it that quants get to foist backtested stuff upon the investing public so easily, albeit cleverly disguised as an “index”? They’re going down a very slippery slope. Should we expect late-night infomercials from commodity-related or “active” exchange traded funds to knock the likes of Michael Parness and WizeTrade off the air? Who needs them when a team of CFAs and PhDs can do a better job?

Perhaps we can coin a new word today. Bubble + Bull = Bubbull, defined as price increases supported by fundamentals, wildly exaggerated by insane performance-chasing investor demand. Don’t get me wrong. I am not about to stand in the way of the oncoming train because, as Mullainathan & Thaler wrote in their classic paper, “…it may often pay ’smart money’ to follow ‘dumb money’ rather than to lean against it.”

Video of the day

Calpers is increasing their allocation to commodities from $450 million last year to $7.2 billion through 2010. Sentiment cycle fans will love watching commodity bull Rob Lutts utter the words “new era”:

And the Winners Are…

The stock scan conducted after the close on Thursday found 64 winners and 37 losers.

The top 50 winners are listed in alphabetical order below. Click on the column headers to sort the list. Our scan criteria incorporates price movement, range and liquidity (500,000 shares on the day, 20-day average of 1.5 million).

Get your All Access Pass to our research and find out which ones to buy, sell or hold.

Ticker Close Change Sell Buy ToSignal
AA 39.12 0.26% 33.52   -14.31
AAUK 33.13 -0.41% 28.89   -12.8
ACH 50.9 -2.24% 44.04   -13.47
ACN 36.8 -1.31% 34.23   -6.99
ADM 46.47 1.81% 41.56   -10.56
AEM 70.16 1.08% 62.81   -10.48
AGU 76.32 3.28% 64.68   -15.26
ANR 43.05 5.52% 31.84   -26.04
APA 119.4 5.33% 102   -14.57
AUY 18.63 2.36% 16.1   -13.57
AZ 18.47 0.93% 16.49   -10.7
BBD 32.41 0.47% 28.12   -13.25
BHP 75.75 0.28% 65.77   -13.17
BID 35.19 1.04% 29.11   -17.27
CAT 74.39 -0.41% 66.23   -10.97
CCJ 40.17 3.78% 35.03   -12.8
CLF 126.93 2.15% 104.6   -17.59
CLS 6.86 1.43% 5.96   -13.08
CNQ 77.34 4.08% 65.46   -15.36
CVS 40.93 0.50% 37.67   -7.96
CX 28.85 1.64% 24.14   -16.34
DELL 20.87 -3.51%   21.11 1.17
ECA 78.12 3.34% 68.85   -11.86
EOG 124.73 17.16% 96.95   -22.27
EWZ 88.17 -0.49% 77.84   -11.72
FCX 106.57 2.54% 84.39   -20.81
FLR 142.48 7.67% 114.19   -19.86
FMCN 53.5 2.70% 41.16   -23.07
FTI 59.88 2.70% 50.59   -15.51
GDX 54.38 1.58% 48.29   -11.2
GG 44.71 3.02% 39.51   -11.62
GGB 33.81 -1.04% 29.07   -14.01
GYI 32.19 0.59% 25.43   -20.99
HAL 39.06 3.86% 33.53   -14.15
HL 11.77 4.54% 9.45   -19.68
HMY 12.64 -2.86% 11.29   -10.7
IR 43.04 1.37% 38.63   -10.24
ITU 26.44 -2.11% 23.7   -10.37
JNPR 28.59 -1.40% 26.63   -6.85
KGC 25.29 2.12% 21.74   -14.05
KWK 35.22 2.73% 30.83   -12.47
LFC 60.39 -1.74% 52.56   -12.96
LINE 23.44 0.86% 20.54   -12.39
LRCX(E) 42.38 -1.53% 38.28   -9.66
MUR 83.31 2.32% 73.21   -12.12
NE 51.43 2.23% 43.79   -14.85
NFLX 31.54 -3.36% 26.67   -15.44
NFX 56.7 6.33% 48.14   -15.09
OXY 80.41 0.91% 71.22   -11.43
PAAS 41 0.31% 35.25   -14.03

Media Digest

Mad Money Stocks for Friday

The Booyah list is comprised of featured and game plan stocks mentioned by Jim Cramer on Mad Money. The stocks are listed in alphabetical order below. Click on the headers to sort by column.

Want more ideas? Get your All Access Pass to our research.

Ticker Close Change Sell Buy ToSignal
AAPL 129.91 5.28%   138.41 6.55
ADCT 13.81 -2.57% 13.08   -5.28
AGN 60.91 -2.26%   68.13 11.86
AGU 76.32 3.28% 64.68   -15.26
AMX 62.97 -1.89% 56.78   -9.82
BDK 70.61 -0.94% 66.52   -5.79
BMRN 39.16 -1.27% 35.78   -8.63
BMY 22.91 -1.09%   24.29 6.04
BSC 84.22 -3.31% 78.38   -6.93
CHTT 79.82 -1.84% 69.81   -12.54
CRM 61.66 16.16% 47.97   -22.2
CSCO 24.66 -1.24%   25.16 2.04
CVD 86.59 -1.00% 80.13   -7.46
DD 47.24 -1.32% 44.59   -5.6
DE 86.97 0.06% 77.78   -10.57
DIS 32.54 -0.70% 29.71   -8.69
DOW 38.7 -1.57% 36.51   -5.66
DRI 31.14 -3.11% 28.15   -9.6
EMC 15.73 -2.30%   16.7 6.15
ENOC 13.76 -13.55%   18.87 37.15
EPIQ 13.33 1.41%   13.93 4.54
FMC 59.41 -0.12% 53.07   -10.67
FTI 59.88 2.70% 50.59   -15.51
GFA 40.58 3.20% 33.08   -18.49
GS 176.7 -2.37%   192.76 9.09
GU 10.35 1.97% 8.29   -19.95
HAL 39.06 3.86% 33.53   -14.15
IBM 115.24 -1.18% 107.71   -6.53
IDXX 57.21 0.96%   58.83 2.84
IGT 46.52 -0.74% 43   -7.57
ISRG 289.91 -1.68% 247.09   -14.77
JCP 47.72 -2.66% 42.23   -11.51
KKD 2.8 -3.11% 2.36   -15.69
LM 68.75 -2.34% 66.23   -3.66
LVLT 2.38 -1.26%   2.53 6.32
MICC(F) 112.55 -0.68% 98.82   -12.2
MO 73.78 -0.93%   76.5 3.68
MON 118.52 -0.87% 100.68   -15.05
MOS 113.08 -0.17% 92.65   -18.06
MSFT 27.93 -1.38%   29.68 6.26
NOK 37.9 -1.07% 33.89   -10.59
NYX 67.36 -0.92%   73.18 8.65
PBR 124.86 -0.25% 107.66   -13.77
PEP 71.06 -0.53% 67.23   -5.39
POT 162.29 1.44% 129.81   -20.01
QDEL 16.51 -5.56% 16.33   -1.1
RAD 2.77 -0.02% 2.37   -14.31
RIO 37.22 1.69% 30.23   -18.78
RL 65.6 -3.16% 60.14   -8.32
RVBD 20.83 2.04% 18.84   -9.56
S 8.1 -10.06%   9.6 18.56
SBUX 18.57 -1.90%   20.25 9.04
SIRI 2.93 -0.34% 2.85   -2.75
SLM 21.47 -1.14% 17.95   -16.41
SXE 27.9 -0.60% 21.89   -21.55
T 35.93 1.95% 34.18   -4.86
T 35.93 1.95% 34.18   -4.86
TEX 69.98 -1.33% 58.03   -17.08
TJX 32.62 -0.24% 29.76   -8.76
TLK 44.98 -1.14% 42.07   -6.46
UPL 80.43 2.94% 72.35   -10.05
VZ 37.18 2.23%   37.68 1.35
WG 34.78 -4.91% 32.23   -7.33
WIND 7.34 -1.93%   8.28 12.78
XMSR 12.11 -2.33% 11.39   -5.96
XOM 89.38 -0.01% 82.44   -7.76

The Index of Steel is Back

28-steel.gifOur research shows that steel has been quietly moving up the ranks in terms of performance. The major steel indexes — SIG Steel Producers Index, AMEX Steel Index, and DJ Wilshire U.S. Steel Index — are all up nearly ten percent since January 2008.

So of course, it was interesting to read an article on February 25 with the title “Will Steel Futures Catch On?”. WSJ reported that “The London Metal Exchange is launching a steel-futures contract today, aimed at giving producers, suppliers and consumers a means to hedge costs amid a shift toward more-volatile steel prices.”

A market sentiment check of recent news reveals some newfound love for the steel sector:

Let’s take a close look at some of the big market cap steel companies that are part of the Market Vectors Steel ETF (AMEX:SLX). We applied InVivo.Stops for TradeStation 8.x to the daily chart along with the widely-watched 50-day and 200-day moving averages. Our InVivo.RMI paintbar study quickly identifies performance.

26-slx.gif
Market Vectors - Steel ETF (AMEX:SLX)

CLICK HERE for more The Index of Steel is Back