Founder Evidente. Top rated quantitative analyst, Evidente

Sam Ferraro

Founder Evidente. Top rated quantitative analyst

Evidente

Evidente is an independent financial education firm that delivers innovative financial advice to wholesale investors, including active long only funds, hedge funds, pension funds, and sovereign wealth funds, in Australia and globally.  Drawing on academic research in asset pricing, behavioural finance and portfolio construction, Evidente provides wholesale investors with commercial solutions to stock selection and asset allocation decisions across equities and other asset classes.

Equity Bottom-Up

iShares MSCI Australia / Equity Bottom-Up

<ul><li>In May, I published a report citing recent journal literature that sought to decompose Buffett&rsquo;s Alpha.&nbsp; The authors attribute Warren Buffett&rsquo;s long track record of strong returns not to luck but to reward for leveraged exposure to safe or low beta, quality stocks that are cheap.&nbsp; I applied these principles to the ASX200 stocks and constructed long and short portfolios of around ten stocks each.</li><li>Given the passage of over six months since the initial&nbsp;report was published, this note is designed to report on the performance of the two portfolios as well as expand and update Mr Buffett&rsquo;s investment methodology as applied to the ASX200 stocks.&nbsp;&nbsp;The strategy has been impressive,&nbsp;with the long portfolio yielding an equal weighted return of around 3%, well above the ASX200 (-10%) and short portfolio (-20%).&nbsp; Thus the strategy has produced a long-short return of +23%.</li><li>Evidente has made a number of enhancements to the methodology, including the addition of a market sentiment measure to assist with market timing.&nbsp; The updated&nbsp;long portfolio represents a diverse mix of sectors while energy stocks&nbsp;are still&nbsp;dominate&nbsp;the short portfolio.&nbsp; Thus the key macro risk for the shorts&nbsp;is&nbsp;the prospect of renewed strength in&nbsp;global oil prices in 2016.&nbsp;&nbsp;</li></ul>

In May, I published a report citing recent journal literature that sought to decompose Buffett&rsquo;s Alpha.&nbsp; The authors attribute Warren Buffett&rsquo;s long track record of strong returns not to luck but to reward for leveraged exposure to safe or low beta, quality stocks that are cheap.&nbsp; I applied these principles to the ASX200 stocks and constructed long and short portfolios of around ten stocks each.Given the passage of over six months since the initial&nbsp;report was published, this note is designed to report on the performance of the two portfolios as well as expand and update Mr Buffett&rsquo;s investment methodology as applied to the ASX200 stocks.&nbsp;&nbsp;The strategy has been impressive,&nbsp;with the long portfolio yielding an equal weighted return of around 3%, well above the ASX200 (-10%) and short portfolio (-20%).&nbsp; Thus the strategy has produced a long-short return of +23%.Evidente has made a number of enhancements to the methodology, including the addition of a market sentiment measure to assist with market timing.&nbsp; The updated&nbsp;long portfolio represents a diverse mix of sectors while energy stocks&nbsp;are still&nbsp;dominate&nbsp;the short portfolio.&nbsp; Thus the key macro risk for the shorts&nbsp;is&nbsp;the prospect of renewed strength in&nbsp;global oil prices in 2016.&nbsp;&nbsp;

Lifting The Lid On Warren Buffett's Investment Secrets (Update)

FX Strategist

Greg Gibbs

Fundamental analysis of topical themes in FX

Amplifying Global FX Capital

Amplifying Global FX Capital was founded in 2015 and is fully owned by Greg Gibbs. It is a registered company both in Australia and Colorado, USA and is a licensed in Australia to provide financial services.

We are producing a regular trading view orientated macroeconomic analysis of topical themes in global financial markets, with a particular focus on foreign exchange. We invite you to view an “executive summary” of these reports in “AmpGFX Reports” under our “Research” menu.

These reports are drawn from the analysis of Greg Gibbs and inform the capital management he undertakes on behalf of the company. The trading performance is posted periodically on our website. We aim to build our company into both a research and capital management business. We are currently in the planning phase for managing capital for wholesale customers.

Greg Gibbs has spent his working life of more than 26 years in financial markets, beginning in 1989 at the Reserve Bank of Australia, after completing a Bachelor of Economics Degree (Honours) at the Australian National University. He has been a CFA Charterholder since 2005. He has worked in Sydney, Singapore, New York and London for major global banks and presented on foreign exchange markets to major financial institutions and companies around the world, and maintained a high profile in the financial media.

Before Amplifying Global FX Capital, Greg was the Head of Asia Pacific Market Strategy at the Royal Bank of Scotland based Singapore. He now resides in Breckenridge Colorado.

Macroeconomics

Little changed to support the rebound in EUR and weakness in the USD on Thursday.&nbsp; In fact dovish ECB comments and on-message statements from senior Fed members suggest the policy divergence is likely to intensify next month.&nbsp; Eurozone industrial production showed a flat trend in recent quarters and US labour data were firm.&nbsp; Eurozone GDP and US retail sales today in focus. A comparison of CAD and AUD reveal much in common, we see downside pressure persisting for both.&nbsp; Weaker oil prices an immediate threat for CAD.&nbsp; Bank of Canada speech tonight in focus.&nbsp; Australian RBA minutes and wage data next week pose downside risk for the AUD.

Little changed to support the rebound in EUR and weakness in the USD on Thursday.&nbsp; In fact dovish ECB comments and on-message statements from senior Fed members suggest the policy divergence is likely to intensify next month.&nbsp; Eurozone industrial production showed a flat trend in recent quarters and US labour data were firm.&nbsp; Eurozone GDP and US retail sales today in focus. A comparison of CAD and AUD reveal much in common, we see downside pressure persisting for both.&nbsp; Weaker oil prices an immediate threat for CAD.&nbsp; Bank of Canada speech tonight in focus.&nbsp; Australian RBA minutes and wage data next week pose downside risk for the AUD.

The AUD is being pulled harder in opposite directions with the labour data suggesting the non-mining sector is coming to life, but weaker commodity demand in China and weak energy prices are dragging harder from below; best to stay on the side-lines for now.&nbsp; Oil prices appear to be responding to concerns over too much supply.&nbsp; The ECB has said low oil prices are a contributing factor to its assessment that more policy easing may be required. We stick to our weaker EUR view, as other major CBs are more prepared to look through the dis-inflation risk.

The AUD is being pulled harder in opposite directions with the labour data suggesting the non-mining sector is coming to life, but weaker commodity demand in China and weak energy prices are dragging harder from below; best to stay on the side-lines for now.&nbsp; Oil prices appear to be responding to concerns over too much supply.&nbsp; The ECB has said low oil prices are a contributing factor to its assessment that more policy easing may be required. We stick to our weaker EUR view, as other major CBs are more prepared to look through the dis-inflation risk.

AmpGFX - AUD pulled harder in opposite directions

Head of Research, IPOs & Placements, Aequitas Research

Sumeet Singh

Head of Research, IPOs & Placements

Smartkarma

Smartkarma unites the fragmented investment industry, connecting institutional investors, independent research providers, and corporates within a single network.

Research Reinvented

Equity Capital Markets

Santos plans to raise A$2.5bn through a 1 for 1.7 rights issues, at a 25% discount to TERP, as a part of its broader A$3.5bn capital raise. The institutional entitlement offer is expected to be completed tomorrow, post which an institutional shortfall bookbuild is likely to be launched. While we await the details of the shortfall bookbuild, we take a look at the deal.&nbsp;We would bid at most at TERP given:<ul><li>The Hony deal&nbsp;is likely to lead to an end of the Scepter episode, as a full fledged takeover,&nbsp;near the previously offered price, looks&nbsp;nearly impossible</li><li>The A$3.5bn combined capital raise will decrease net gearing from 89% to 41%, thus, easing debt concerns in the near term.&nbsp;However, earnings at EBITDA level will not be impacted from the capital raise and the stock doesn't seem to be trading at a very large discount to its peer group on EV/EBITDA basis, thus, upside may not be very high</li><li>Recent lessons from the Origin Energy deal point to a good performance in the short-term, while Oil prices remain key drivers over the medium to long term and may continue to put pressure on the stock performance</li><li>Overall we would be comfortable bidding at most as TERP, since that would still offer some buffer in terms of valuations versus peers</li></ul>

Santos plans to raise A$2.5bn through a 1 for 1.7 rights issues, at a 25% discount to TERP, as a part of its broader A$3.5bn capital raise. The institutional entitlement offer is expected to be completed tomorrow, post which an institutional shortfall bookbuild is likely to be launched. While we await the details of the shortfall bookbuild, we take a look at the deal.&nbsp;We would bid at most at TERP given:The Hony deal&nbsp;is likely to lead to an end of the Scepter episode, as a full fledged takeover,&nbsp;near the previously offered price, looks&nbsp;nearly impossibleThe A$3.5bn combined capital raise will decrease net gearing from 89% to 41%, thus, easing debt concerns in the near term.&nbsp;However, earnings at EBITDA level will not be impacted from the capital raise and the stock doesn't seem to be trading at a very large discount to its peer group on EV/EBITDA basis, thus, upside may not be very highRecent lessons from the Origin Energy deal point to a good performance in the short-term, while Oil prices remain key drivers over the medium to long term and may continue to put pressure on the stock performanceOverall we would be comfortable bidding at most as TERP, since that would still offer some buffer in terms of valuations versus peers

Origin Energy plans to sell US$286m/A$400m worth of stock as part of its retail shortfall bookbuild, post completion of its retail entitlement offer.We had covered the institutional short fall <a href="http://www.smartkarma.com/insights/capital-raise-still-doesn-t-quell-the-uncertainty-but-stock-remains-cheap-towards-the-lower-end" target="_blank">here</a>, concluding that the deal remained cheap at the lower end. The stock has performed well since then and remained well above the shortfall bookbuild clearing price of A$5.20/share.We would expect the retail shortfall to clear at least at those levels, if not above, despite its larger size. We would be inclined to bid up to a suitable discount.

Origin Energy plans to sell US$286m/A$400m worth of stock as part of its retail shortfall bookbuild, post completion of its retail entitlement offer.We had covered the institutional short fall here, concluding that the deal remained cheap at the lower end. The stock has performed well since then and remained well above the shortfall bookbuild clearing price of A$5.20/share.We would expect the retail shortfall to clear at least at those levels, if not above, despite its larger size. We would be inclined to bid up to a suitable discount.

QUICK NOTE: Time to reload - but this time round limited risk will likely lead to limited returns

Australia

Woodside Petroleum Limited explores for and produces oil and gas from offshore and onshore facilities located in Western Australia and Northern Territory. The Company operates numerous oil and gas fields and pipelines throughout Australia, United States and Mauritania and its products include liquefied natural gas, domestic gas, condensate, crude oil and liquefied petroleum gas.

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Woodside Petroleum (WPL AU)

Lifting The Lid On Warren Buffett's Investment Secrets (Update)

In May, I published a report citing recent journal literature that sought to decompose Buffett’s Alpha. The authors attribute Warren Buffett’s...

Sam Ferraro

AmpGFX - CAD and AUD in the hot-seat

Little changed to support the rebound in EUR and weakness in the USD on Thursday. In fact dovish ECB comments and on-message statements from...

Greg Gibbs

AmpGFX - AUD pulled harder in opposite directions

The AUD is being pulled harder in opposite directions with the labour data suggesting the non-mining sector is coming to life, but weaker commodity...

Greg Gibbs

Ridding itself of the Spectre of Scepter

Santos plans to raise A$2.5bn through a 1 for 1.7 rights issues, at a 25% discount to TERP, as a part of its broader A$3.5bn capital raise. The...

Sumeet Singh

QUICK NOTE: Time to reload - but this time round limited risk will likely lead to limited returns

Origin Energy plans to sell US$286m/A$400m worth of stock as part of its retail shortfall bookbuild, post completion of its retail entitlement...

Sumeet Singh

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