Friday, May 28, 2010

Hedge Fund Favs - Part 3

This is a sort of the GS hedge funds' favorite 50 stocks lists profiling the repeaters. Above, I've culled out the SER A and B rated stocks while below is the complete list. As far as dividend plays go JNJ, PFE and MRK are the most attractive, with WMT providing a somewhat lesser return. Only four of the group garner A ratings: APC, JPM, TMO, and WFC, but keep in mind these are fundamentally based ratings, not linear correlation ratings, which is what I'm concerned about.
The AB sort of 18 stocks reflects a wide spectrum of sectors: financial, health, tech, oil, manufacturing and retail.
My next project (as times allows) is to compare both the short and long term returns of a pairs model that plays HFT(hedge fund top)18 against the Dow30.
The other intriguing possibility is to trade the group as a basket using the Project Z algorithm. The problem with both of these situations is that they would be very capital intensive and incur a boatload of commission costs using my old reliable Schwab platform and commission schedule. The solution is easy: I just need to convince I-Shares or Schwab or ? to create a new ETF using these 18 stocks and then to periodically adjust the ETF components to reflect the latest GS report.

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