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jeudi 29 mars 2012

Euronext Formule Magique & Piotroski

Sélection d'actions avec un P/B < 1.6, un Cash Flow positif, trié sur base de la Formule Magique et filtrée par Piotroski.

Symb  Piotroski F-Score Return on Average Assets PBV PCF MF Earnings Yield MF Return on Capital Raison Sociale
PIC:BRU 7.5 23.98% 1.14 2.66 88.40% 108.30% Picanol NV, PIC
UNITB:BRU 8 8.40% 1.31 3.87 71.61% 50.00% Unitronics 1989 RG Ltd, UNITB
MPNG:PAR 8 4.32% 0.43 1.55 39.78% 50.00% Maurel & Prom Nigeria SA, MPNG
OSA:PAR 8 5.65% 1.31 7.75 18.88% 154.64% Osiatis SA, OSA
ALNEX:PAR 8 4.47% 0.51 4.19 29.69% 41.62% Nexeya SA, ALNEX
HCO:PAR 8 3.91% 0.81 7.78 17.10% 151.32% High Co SA, HCO
CCA:PAR 8 3.57% 0.82 4.86 29.94% 32.59% CCA International SA, CCA
IEC:PAR 9 3.91% 1.38 5.44 13.91% 60.88% IEC Professionnel Media SA, IEC
MGIC:PAR 8.5 9.15% 0.89 3.16 29.37% 25.45% MGI Coutier SA, MGIC
SCDV:PAR 7.5 6.38% 1.03 5.73 24.10% 28.20% Securidev SA, SCDV
MUN:PAR 9 4.29% 0.57 6.13 19.09% 31.90% Micropole SA, MUN
RCF:PAR 9 5.11% 0.94 6.34 13.70% 37.22% Teleperformance SA, RCF
KEY:PAR 8.5 2.78% 0.69 4.97 11.90% 44.46% Keyrus SA, KEY
TRI:PAR 8.5 4.90% 0.9 7.92 18.44% 15.87% Trigano SA, TRI
DIE:BRU 7.5 5.63% 1.27 4.95 11.79% 31.23% D'Ieteren SA, DIE
ALBRI:PAR 8 3.83% 0.89 6.32 13.73% 21.57% Bricorama SA, ALBRI
VIRP:PAR 7.5 7.57% 1.32 7.89 8.57% 54.63% Virbac SA, VIRP
ALADV:PAR 8 6.14% 1.57 8.67 6.53% 224.00% Adverline SA, ALADV
FBEL:PAR 8.5 3.75% 1.21 7.05 12.15% 22.94% Fromageries Bel SA, FBEL
TRAN:BRU 8.5 3.11% 1.1 4.01 6.27% 54.91% Transics International NV, TRAN
FED:PAR 8 3.25% 0.64 2.4 22.58% 8.65% Giorgio Fedon & Figli SpA, FED
NERG:PAR 8 5.49% 1.21 5.15 13.69% 14.67% Nergeco SA, NERG
RIN:PAR 7.5 3.94% 1.57 6.61 8.87% 29.82% Vilmorin & Cie SA, RIN
ALPGG:PAR 7.5 3.00% 0.9 5.63 13.44% 12.92% Piscines Groupe Ga SA, ALPGG
BAR:BRU 7.5 9.72% 1.4 5.39 10.10% 22.56% Barco NV, BAR
ALDBL:PAR 8 3.41% 0.55 5.31 14.92% 8.69% Bernard Loiseau SA, ALDBL
UMI:BRU 8 6.20% 0.83 4.5 8.08% 20.28% Umicore NV/SA, UMI
AURE:PAR 7.5 6.03% 0.9 8.11 11.43% 12.75% Aurea SA, AURE
RI:PAR 8.5 4.71% 0.62 3 4.70% 24.70% Pernod Ricard SA, RI
ALSIC:PAR 7.5 3.13% 0.5 3.71 13.21% 4.83% Sical SA, ALSIC
PRS:PAR 7.5 2.03% 0.4 2.99 9.57% 10.79% Prismaflex International SA, PRS
RGR:PAR 8 4.71% 0.62 3 8.07% 5.24% Rougier SA, RGR
MERY:PAR 7.5 8.45% 1.5 14.67 6.07% 8.72% Mercialys SA, MERY
SAP:BRU 7.5 4.61% 0.9 4.13 1.63% 1.51% Sapec SA, SAP
TVLY:PAR 8.5 1.84% 0.47 2.19 0.86% 0.47% Tivoly SA, TVLY
OVG:PAR 8 2.32% 0.43 3.19 -8.04% -4.52% Overlap Groupe SA, OVG

vendredi 23 mars 2012

Euronext Piotroski

Critère de sélection: Piotroski F-Score >=7.5 , C/Val Cptbl < 1.6, résultat d'exploitation positif, génère du cash flow
Symb  Piotroski F-Score PBV PCF Return on Average Assets Raison Sociale
NEU:BRU 7.5 0.17 1.03 11.19% Compagnie Financiere du Neufcour SA, NEU
PRS:PAR 7.5 0.4 2.99 2.03% Prismaflex International SA, PRS
OVG:PAR 8 0.43 3.19 2.32% Overlap Groupe SA, OVG
TVLY:PAR 8.5 0.47 2.19 1.84% Tivoly SA, TVLY
ALSIC:PAR 7.5 0.5 3.71 3.13% Sical SA, ALSIC
ALNEX:PAR 8 0.51 4.19 4.47% Nexeya SA, ALNEX
ALDBL:PAR 8 0.55 5.31 3.41% Bernard Loiseau SA, ALDBL
MUN:PAR 9 0.57 6.13 4.29% Micropole SA, MUN
MLDIG:PAR 7.5 0.6 1.08 1.90% Digitech SA, MLDIG
RGR:PAR 8 0.62 3 4.71% Rougier SA, RGR
FED:PAR 8 0.64 2.4 3.25% Giorgio Fedon & Figli SpA, FED
KEY:PAR 8.5 0.69 4.97 2.78% Keyrus SA, KEY
HCO:PAR 8 0.81 7.78 3.91% High Co SA, HCO
CCA:PAR 8 0.82 4.86 3.57% CCA International SA, CCA
GFI:PAR 7.5 0.82 10.82 1.15% GFI Informatique, GFI
SIOE:BRU 8.5 0.83 3.74 3.92% Sioen Industries NV, SIOE
MGIC:PAR 8.5 0.89 3.16 9.15% MGI Coutier SA, MGIC
ALBRI:PAR 8 0.89 6.32 3.83% Bricorama SA, ALBRI
TRI:PAR 8.5 0.9 7.92 4.90% Trigano SA, TRI
ALPGG:PAR 7.5 0.9 5.63 3.00% Piscines Groupe Ga SA, ALPGG
RCF:PAR 9 0.94 6.34 5.11% Teleperformance SA, RCF
SCDV:PAR 7.5 1.03 5.73 6.38% Securidev SA, SCDV
MRN:PAR 7.5 1.04 7.31 6.08% Mersen SA, MRN
TRAN:BRU 8.5 1.1 4.01 3.11% Transics International NV, TRAN
PIC:BRU 7.5 1.14 2.66 23.98% Picanol NV, PIC
FBEL:PAR 8.5 1.21 7.05 3.75% Fromageries Bel SA, FBEL
NERG:PAR 8 1.21 5.15 5.49% Nergeco SA, NERG
DIE:BRU 7.5 1.27 4.95 5.63% D'Ieteren SA, DIE
UNITB:BRU 8 1.31 3.87 8.40% Unitronics 1989 RG Ltd, UNITB
OSA:PAR 8 1.31 7.75 5.65% Osiatis SA, OSA
IEC:PAR 9 1.38 5.44 3.91% IEC Professionnel Media SA, IEC
BAR:BRU 7.5 1.4 5.39 9.72% Barco NV, BAR
MERY:PAR 7.5 1.5 14.67 8.45% Mercialys SA, MERY
ALADV:PAR 8 1.57 8.67 6.14% Adverline SA, ALADV
RIN:PAR 7.5 1.57 6.61 3.94% Vilmorin & Cie SA, RIN

dimanche 18 mars 2012

Euronext Formule Magique et Profit & Valeur

La stratégie Profit and Value est proche de la Formule Magique. l'étude de Empirical Finance et de Greenbackd démontre que Profit & Value superforme la Formule Magique.
Dans la liste sont repris les 30 1er du classements sur base de la moyenne de la formule Magique et de Profit & Valeur
Symbol Earnings Yield MFI Return on Capital P/E Price to Cash Flow Current Ratio GROSS PROFIT/Total Assets Ratio Cours/Valeur comptable Company Name

Magic Formula


Profit & Value
STAL 48.45% 33.64% 6.44 4.93 2.33 70.41% 0.79 INSTALLUX
DVT 16.25% 32.75% 7.02 6.51 1.26 56.57% 0.97 DEVOTEAM
SCDV 24.78% 25.58% 7.8 5.74 2.14 70.00% 1.03 SECURIDEV
MIKO 15.16% 16.30% 7.69 3.78 2.13 65.71% 0.47 MIKO
UDIS 21.56% 22.56% 6.15 4.31 1.68 41.04% 0.8 U10
SIMAC 18.70% 47.69% 9.85 5.83 1.22 115.07% 1.73 SIMAC
MGIC 25.82% 22.68% 4.92 3.16 1.59 34.56% 0.89 MGI COUTIER
COM 22.20% 14.37% 7.84 4.88 1.15 61.60% 1.08 CNIM
CAFO 12.76% 12.42% 8.51 7.16 1.51 59.09% 0.58 CAFOM
ZTS 13.68% 31.44% 9.82 5.26 1.3 55.59% 1.15 ZETES INDUSTRIES
MAN 16.02% 19.83% 10.3 7.48 2.3 53.72% 1.02 MANUTAN INTL
DELB 782.23% 8.93% 8.38 3.77 1.12 43.81% 0.73 DELHAIZE GROUP
CEN 15.74% 30.30% 13 7.27 1.2 29.97% 0.94 GPE CRIT
VMMA 11.81% 9.59% 7.73 2.51 1.23 55.24% 0.57 VM MATERIAUX
LACR 11.06% 7.19% 7.15 4.14 1.78 75.94% 0.66 LACROIX INDUST.
SIPH 34.02% 67.82% 6.11 3.67 1.68 36.62% 2.13 S.I.P.H.
EHO 16.67% 6.25% 14.1 5.83 1.88 39.39% 0.61 ESPACE PROD INTL
LOUP 11.38% 15.42% 12 5.4 1.15 60.95% 1.13 LAMBERT DUR CHAN
NK 113.20% 19.08% 12.5 27 1.58 48.02% 1.62 IMERYS EX IMETAL
RCF 11.05% 28.33% 13.1 6.32 1.46 34.18% 0.93 TELEPERFORMANCE
SAMS 13.10% 10.86% 8.89 3.75 1.34 38.89% 0.81 S.A.M.S.E.
RBT 13.49% 16.74% 11.2 7.24 2.44 60.87% 1.5 ROBERTET S.A.
SDG 17.94% 37.40% 14.1 9.49 1.38 7.76% 1.23 SYNERGIE
TES 15.20% 44.36% 10.1 6.28 1.25 38.51% 2.3 TESSI
VETO 10.88% 30.03% 12.8 7.96 2.09 44.80% 1.33 VETOQUINOL S.A.
GIMB 14.05% 10.86% 5.74 17 2.75 32.67% 0.97 GIMV
DOCD 11.20% 49.73% 12.6 7.89 1.46 53.69% 2.66 DOCDATA
NEWAY 9.38% 10.89% 13 6.88 1.57 100.79% 1.21 NEWAYS
AFO 10.88% 41.03% 12.9 5.63 1.18 20.21% 1.17 AFONE
BDAL 11.80% 15.67% 11.8 7.9 2.31 51.70% 1.5 BRICODEALGreenbackd

mercredi 14 mars 2012

Portefeuille US MF & Piotroski

Portefeuille équi-pondéré de valeurs US, constitué depuis le 29/12/11.  Sélection sur base de la Formule Magique de Greenblatt et du F-score de Piotroski. Ensuite choix des actions en fonction de divers critères tel que: perspectives future, achat d'actions par le management ou  par des fonds, diversification...
Ajout au portefeuille d'une ou deux actions par mois avec un maximum total de 30 actions. 

samedi 10 mars 2012

Bourse US: Piotroski et Formule Magique


  1. Actions ayant un F-score Piotroski de 8 ou 9
  2. Ces actions sont ensuite classées avec la Formule Magique de Greenblatt


Ticker Name Market Cap Earnings Yield ROIC Yahoo Yield Piotroski F-score
HUM Humana Inc. 14577.3 21.1% 257.0% 0.87% 8
WDR Waddell & Reed Financial, Inc. 2620.0 12.3% 399.8% 2.81% 8
KLAC KLA-Tencor Corporation 8115.8 16.2% 105.3% 2.73% 8
CSGS CSG Systems International, Inc. 515.5 15.6% 83.8% 0.00% 9
TW Towers Watson & Co 4487.8 11.8% 117.1% 0.55% 8
MCK McKesson Corporation 21450.0 10.8% 211.3% 0.96% 8
CA CA, Inc. 12961.5 10.5% 374.9% 1.50% 8
DAR Darling International Inc. 1995.8 14.1% 69.1% 0.00% 8
WCRX Warner Chilcott Plc 4341.5 9.9% 360.9% 0.00% 9
NYX NYSE Euronext 7598.0 10.8% 106.1% 4.20% 8
PFE Pfizer Inc. 165232.1 11.1% 79.3% 3.84% 8
ITRN Ituran Location and Control Ltd. (U 309.9 12.1% 57.2% 6.81% 9
LXU LSB Industries, Inc. 918.4 14.7% 47.0% 0.00% 8
MMS MAXIMUS, Inc. 1417.2 9.9% 116.2% 0.85% 8
FICO Fair Isaac Corporation 1518.3 9.0% 461.1% 0.20% 8
SPLS Staples, Inc. 10629.0 14.3% 43.0% 2.60% 9
DHX DICE HOLDINGS, INC. 651.0 8.8% 665.5% 0.00% 8
CAH Cardinal Health, Inc. 14538.0 11.2% 54.9% 2.05% 8
BMY Bristol Myers Squibb Co. 56202.4 9.7% 115.1% 4.09% 8
SEM Select Medical Holdings Corporation 1232.9 11.7% 50.3% 0.00% 9
MLHR Herman Miller, Inc. 1243.1 10.7% 61.4% 0.42% 8
MTSC MTS Systems Corporation 778.0 11.0% 53.8% 1.43% 8
CBS CBS Corporation 20411.2 10.0% 73.9% 1.01% 9
PH Parker-Hannifin Corporation 13586.5 10.8% 47.9% 1.74% 8
UTX United Technologies Corporation 75354.2 9.3% 85.8% 2.33% 9
CVX Chevron Corporation 218834.5 18.3% 30.1% 2.91% 8
PACR Pacer International, Inc. 201.5 13.5% 36.1% 0.00% 8
FL Foot Locker, Inc. 4614.4 11.4% 40.0% 2.21% 8
SGA Saga Communications, Inc. 153.6 12.4% 36.6% 0.00% 8
HURN Huron Consulting Group 819.2 8.6% 127.8% 0.00% 8
CRDN Ceradyne, Inc. 706.8 23.2% 27.4% 0.52% 8
YDNT Young Innovations, Inc. 229.0 10.7% 42.7% 3.92% 8
CVI CVR Energy, Inc. 2281.4 19.6% 26.1% 0.00% 8
V Visa Inc. 81413.1 7.6% 371.0% 0.64% 8
NCI Navigant Consulting, Inc. 707.4 9.1% 71.7% 0.00% 8

jeudi 8 mars 2012

Grant Henning: Modèle Hybride, fondamental et technique


Grant Henning considère qu'une bonne stratégie doit offrir un rendement mensuel moyen de 10% sur le capital investi. A Hybrid Technical-Fundamental Stock Trading System.

Alors que les stratégies de stock-picking sont souvent basée soit sur la valeur et les fondamentaux soit sur le momentum et l’analyse techniques, Grant Henning tentes de mélanger les deux.
Son raisonnement est que croissance et momentum est l’approche qui fonctionne habituellement le mieux durant les marchés haussiers, tandis que les méthodes valeur et fondamentales sont les stratégies qui donnent les meilleurs résultats lors de marchés baissiers. 
Au lieu d'essayer d'anticiper le marché et d’arbitré entre différentes stratégiesHenning combine des critères fondamentaux et techniques dans un modèle  singulier. 
Son objectif est d'identifier les actions qui sont susceptibles de croître à court terme avec une bonne performance historique ainsi que de bonnes prévisions de croissance.


F_point = nombre de points de la stratégie fondamentale. Privilégié en période "Bear"
T_point = nombre de points de la stratégie 'momemtum'. Privilégié en période "Bull"
TotPoint = Total des 2 stratégies traduite par une recomandation.
P_cshF = moyenne du Price/Cash Flow et du Price/Free Cash Flow.

Tot_HENNING
Ticker
Company
F_Point
T_point
TotPoint
Rec.
P_E
Frwrd_P_E
EPS_ttm
P_B
EPS_grwth1Y
EPS_grwth_qoq
LT_Dbt_Eq
P_cshF
NSIT
Insight Enterprises Inc.
6.00
1.00
7.00
Strong Buy
9.35
8.15
2.18
1.50
0.35
0.38
0.00
8.54
AMOT
Allied Motion Technologies Inc.
6.00
1.00
7.00
Strong Buy
8.72

0.82
1.67
0.82
1.76
0.00
7.61
DDS
Dillard's Inc.
5.00
2.00
7.00
Strong Buy
7.12
11.81
8.71
1.52
2.17
0.56
0.40
11.08
AE
Adams Resources & Energy Inc.
6.00
1.00
7.00
Strong Buy
9.10
11.97
4.88
1.73
1.08
2.26
0.00
7.17
TESS
TESSCO Technologies Inc.
5.00
2.00
7.00
Strong Buy
11.44
9.67
1.80
1.76
0.06
0.56
0.03
16.18
ISSI
Integrated Silicon Solution Inc.
6.00
1.00
7.00
Strong Buy
5.65
7.81
1.85
1.18
0.26
-0.48
0.00
5.47
HOLI
Hollysys Automation Technologies, Ltd
6.00
1.00
7.00
Strong Buy
10.54
8.77
0.89
1.67
0.52
0.34
0.09
6.83
SIM
Grupo Simec S.A.B. de C.V.
5.00
1.00
6.00
Buy
19.93
1.97
0.42
0.81
3.98
0.21
0.00
8.85
SWC
Stillwater Mining Co.
5.00
1.00
6.00
Buy
9.74
11.60
1.31
1.75
1.55
0.35
0.23
10.91
LZB
La-Z-Boy Inc.
5.00
1.00
6.00
Buy
9.35
14.62
1.47
1.66
-0.27
0.49
0.07
8.41
BPI
Bridgepoint Education, Inc.
5.00
1.00
6.00
Buy
7.88
8.46
3.05
3.81
1.89
0.27
0.00
5.73
TSO
Tesoro Corporation
5.00
1.00
6.00
Buy
7.27
7.60
3.75
1.04
19.47
-43.55
0.35
7.04
AGCO
AGCO Corporation
5.00
1.00
6.00
Buy
8.19
9.50
5.95
1.58
1.59
2.32
0.47
8.83
KBR
KBR, Inc.
5.00
1.00
6.00
Buy
11.16
11.27
3.16
2.09
0.52
0.18
0.04
7.56
GPK
Graphic Packaging Holding Company
5.00
1.00
6.00
Buy
7.45
11.50
0.71
1.77
22.55
10.92
2.00
8.31
AGO
Assured Guaranty Ltd.
5.00
1.00
6.00
Buy
3.97
6.15
4.20
0.64
0.60
0.53
0.22
9.46
TCCO
Technical Communications Corp.
5.00
1.00
6.00
Buy
7.50

1.45
1.40
-0.72
0.87
0.00
3.84
HFC
HollyFrontier Corporation
5.00
1.00
6.00
Buy
5.45
9.17
6.13
1.34
5.62
6.74
0.23
6.82
CEO
CNOOC Ltd.
5.00
1.00
6.00
Buy
8.91
8.74
23.98
2.45
0.84
0.51
0.08
6.52
DRD
DRDGOLD Ltd.
5.00
1.00
6.00
Buy
6.96

1.08
1.55
-2.36
1.77
0.00
5.24
BRP
Brookfield Residential Properties Inc.
5.00
1.00
6.00
Buy
1.32

7.70
1.04
0.08
0.74
0.66
1.11
EGY
Vaalco Energy Inc.
5.00
1.00
6.00
Buy
12.88
9.16
0.59
1.97
5.76
-0.80
0.00
11.84
MET
MetLife, Inc.
5.00
1.00
6.00
Buy
6.04
6.79
6.27
0.67
1.12
31.71
0.45
4.48
MPC
Marathon Petroleum Corporation
5.00
1.00
6.00
Buy
6.35
7.57
6.70
1.60
2.81
-1.27
0.35
6.03
BRKS
Brooks Automation Inc.
5.00
1.00
6.00
Buy
7.02
11.42
1.66
1.50
1.14
-0.87
0.00
9.12
BTN
Ballantyne Strong, Inc
5.00
1.00
6.00
Buy
6.67
6.34
0.76
1.20
3.01
1.03
0.00
15.62
VOXX
VOXX International Corporation
5.00
1.00
6.00
Buy
9.10
10.47
1.38
0.71
0.01
1.29
0.18
10.02
MGM
MGM Resorts International
5.00
1.00
6.00
Buy
2.42

5.53
1.08
2.74
0.20
2.21
10.52
ACAT
Arctic Cat Inc.
3.00
3.00
6.00
Buy
27.10
16.00
1.44
3.40
5.84
0.85
0.00
9.26

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