Comments on: Using Altman’s Z-Score to Create a Short-Only Portfolio http://valuehuntr.com/2010/01/08/using-altmans-z-score-to-create-a-short-only-portfolio/ A Value Investing Website Sun, 25 Jul 2010 19:04:30 +0000 hourly 1 http://wordpress.com/ By: Ankit Gupta http://valuehuntr.com/2010/01/08/using-altmans-z-score-to-create-a-short-only-portfolio/#comment-737 Ankit Gupta Sun, 13 Jun 2010 01:03:09 +0000 http://valuehuntr.com/?p=1681#comment-737 Have you looked into actually being able to get the shares so you can short these? Some of these are amazing shorts, but they're hard to get a hold of and subject to manipulation. (Put out a press release and see it sky rocket type of deal) Have you looked into actually being able to get the shares so you can short these? Some of these are amazing shorts, but they’re hard to get a hold of and subject to manipulation. (Put out a press release and see it sky rocket type of deal)

]]> By: Weekly Wisdom Roundup #60 (Weekly Readings For Smarter Types) | Real-Time Finance http://valuehuntr.com/2010/01/08/using-altmans-z-score-to-create-a-short-only-portfolio/#comment-459 Weekly Wisdom Roundup #60 (Weekly Readings For Smarter Types) | Real-Time Finance Tue, 12 Jan 2010 21:07:42 +0000 http://valuehuntr.com/?p=1681#comment-459 [...] Using Altman’s Z-Score to Create a Short-Only Portfolio - via Value Huntr – we aim to use Altman’s Z-Score model to create the Valuehuntr Short-Only Portfolio and track the effectiveness of Altman’s regression. [...] [...] Using Altman’s Z-Score to Create a Short-Only Portfolio – via Value Huntr – we aim to use Altman’s Z-Score model to create the Valuehuntr Short-Only Portfolio and track the effectiveness of Altman’s regression. [...]

]]> By: Weekly Wisdom Roundup #60 (Weekly Readings For Smarter Types) | Economic models | Alphaverse.com http://valuehuntr.com/2010/01/08/using-altmans-z-score-to-create-a-short-only-portfolio/#comment-456 Weekly Wisdom Roundup #60 (Weekly Readings For Smarter Types) | Economic models | Alphaverse.com Tue, 12 Jan 2010 01:02:27 +0000 http://valuehuntr.com/?p=1681#comment-456 [...] Using Altman’s Z-Score to Create a Short-Only Portfolio - Via Value Huntr – We aim to use Altman’s Z-Score model to create the Valuehuntr Short-Only Portfolio and track the effectiveness of Altman’s regression. Private Equity and Industry Performance - Via HBS – The growth of the private equity industry has spurred concerns about its potential impact on the economy more generally. This analysis looks across nations and industries to assess the impact of private equity on industry performance. Industries where PE funds have invested in the past five years have grown more quickly in terms of productivity and employment. There are few significant differences between industries with limited and high private equity activity. It is hard to find support for claims that economic activity in industries with private equity backing is more exposed to aggregate shocks. The results using lagged private equity investments suggest that the results are not driven by reverse causality. These patterns are not driven solely by common law nations such as the United Kingdom and United States, but also hold in Continental Europe. James Chanos: Contrarian Investor Sees Economic Crash in China - Via NYT – Now Mr. Chanos, a wealthy hedge fund investor, is working to bust the myth of the biggest conglomerate of all: China Inc. As most of the world bets on China to help lift the global economy out of recession, Mr. Chanos is warning that China’s hyperstimulated economy is headed for a crash, rather than the sustained boom that most economists predict. Its surging real estate sector, buoyed by a flood of speculative capital, looks like “Dubai times 1,000 — or worse,” he frets. He even suspects that Beijing is cooking its books, faking, among other things, its eye-popping growth rates of more than 8 percent. [...] [...] Using Altman’s Z-Score to Create a Short-Only Portfolio – Via Value Huntr – We aim to use Altman’s Z-Score model to create the Valuehuntr Short-Only Portfolio and track the effectiveness of Altman’s regression. Private Equity and Industry Performance – Via HBS – The growth of the private equity industry has spurred concerns about its potential impact on the economy more generally. This analysis looks across nations and industries to assess the impact of private equity on industry performance. Industries where PE funds have invested in the past five years have grown more quickly in terms of productivity and employment. There are few significant differences between industries with limited and high private equity activity. It is hard to find support for claims that economic activity in industries with private equity backing is more exposed to aggregate shocks. The results using lagged private equity investments suggest that the results are not driven by reverse causality. These patterns are not driven solely by common law nations such as the United Kingdom and United States, but also hold in Continental Europe. James Chanos: Contrarian Investor Sees Economic Crash in China – Via NYT – Now Mr. Chanos, a wealthy hedge fund investor, is working to bust the myth of the biggest conglomerate of all: China Inc. As most of the world bets on China to help lift the global economy out of recession, Mr. Chanos is warning that China’s hyperstimulated economy is headed for a crash, rather than the sustained boom that most economists predict. Its surging real estate sector, buoyed by a flood of speculative capital, looks like “Dubai times 1,000 — or worse,” he frets. He even suspects that Beijing is cooking its books, faking, among other things, its eye-popping growth rates of more than 8 percent. [...]

]]> By: Simoleon Sense » Blog Archive » Weekly Wisdom Roundup #60 (Weekly Readings For Smarter Types) http://valuehuntr.com/2010/01/08/using-altmans-z-score-to-create-a-short-only-portfolio/#comment-455 Simoleon Sense » Blog Archive » Weekly Wisdom Roundup #60 (Weekly Readings For Smarter Types) Sun, 10 Jan 2010 21:20:27 +0000 http://valuehuntr.com/?p=1681#comment-455 [...] Using Altman’s Z-Score to Create a Short-Only Portfolio - Via Value Huntr – We aim to use Altman’s Z-Score model to create the Valuehuntr Short-Only Portfolio and track the effectiveness of Altman’s regression. Private Equity and Industry Performance - Via HBS – The growth of the private equity industry has spurred concerns about its potential impact on the economy more generally. This analysis looks across nations and industries to assess the impact of private equity on industry performance. Industries where PE funds have invested in the past five years have grown more quickly in terms of productivity and employment. There are few significant differences between industries with limited and high private equity activity. It is hard to find support for claims that economic activity in industries with private equity backing is more exposed to aggregate shocks. The results using lagged private equity investments suggest that the results are not driven by reverse causality. These patterns are not driven solely by common law nations such as the United Kingdom and United States, but also hold in Continental Europe. James Chanos: Contrarian Investor Sees Economic Crash in China - Via NYT – Now Mr. Chanos, a wealthy hedge fund investor, is working to bust the myth of the biggest conglomerate of all: China Inc. As most of the world bets on China to help lift the global economy out of recession, Mr. Chanos is warning that China’s hyperstimulated economy is headed for a crash, rather than the sustained boom that most economists predict. Its surging real estate sector, buoyed by a flood of speculative capital, looks like “Dubai times 1,000 — or worse,” he frets. He even suspects that Beijing is cooking its books, faking, among other things, its eye-popping growth rates of more than 8 percent. [...] [...] Using Altman’s Z-Score to Create a Short-Only Portfolio – Via Value Huntr – We aim to use Altman’s Z-Score model to create the Valuehuntr Short-Only Portfolio and track the effectiveness of Altman’s regression. Private Equity and Industry Performance – Via HBS – The growth of the private equity industry has spurred concerns about its potential impact on the economy more generally. This analysis looks across nations and industries to assess the impact of private equity on industry performance. Industries where PE funds have invested in the past five years have grown more quickly in terms of productivity and employment. There are few significant differences between industries with limited and high private equity activity. It is hard to find support for claims that economic activity in industries with private equity backing is more exposed to aggregate shocks. The results using lagged private equity investments suggest that the results are not driven by reverse causality. These patterns are not driven solely by common law nations such as the United Kingdom and United States, but also hold in Continental Europe. James Chanos: Contrarian Investor Sees Economic Crash in China – Via NYT – Now Mr. Chanos, a wealthy hedge fund investor, is working to bust the myth of the biggest conglomerate of all: China Inc. As most of the world bets on China to help lift the global economy out of recession, Mr. Chanos is warning that China’s hyperstimulated economy is headed for a crash, rather than the sustained boom that most economists predict. Its surging real estate sector, buoyed by a flood of speculative capital, looks like “Dubai times 1,000 — or worse,” he frets. He even suspects that Beijing is cooking its books, faking, among other things, its eye-popping growth rates of more than 8 percent. [...]

]]> By: Chroma http://valuehuntr.com/2010/01/08/using-altmans-z-score-to-create-a-short-only-portfolio/#comment-445 Chroma Sat, 09 Jan 2010 02:25:44 +0000 http://valuehuntr.com/?p=1681#comment-445 I really like the idea of using an Altman Z failure list to buy long term Puts, but none of these stock have puts past August. Where did you develop this list. I would like to extend it to larger companies, say more than $250 Market cap to look for candidates. Thanks I really like the idea of using an Altman Z failure list to buy long term Puts, but none of these stock have puts past August. Where did you develop this list. I would like to extend it to larger companies, say more than $250 Market cap to look for candidates.

Thanks

]]> By: shaun noll http://valuehuntr.com/2010/01/08/using-altmans-z-score-to-create-a-short-only-portfolio/#comment-444 shaun noll Sat, 09 Jan 2010 00:57:54 +0000 http://valuehuntr.com/?p=1681#comment-444 note that I believe CPE is exchanging debt for equity so their balance sheet likely looks worse here than it really is. note that I believe CPE is exchanging debt for equity so their balance sheet likely looks worse here than it really is.

]]> By: ValueHuntr http://valuehuntr.com/2010/01/08/using-altmans-z-score-to-create-a-short-only-portfolio/#comment-443 ValueHuntr Sat, 09 Jan 2010 00:56:58 +0000 http://valuehuntr.com/?p=1681#comment-443 Not real money, we just want to track how effective our performance would be if we pick companies based only on Altman's regression. Not real money, we just want to track how effective our performance would be if we pick companies based only on Altman’s regression.

]]> By: Chroma http://valuehuntr.com/2010/01/08/using-altmans-z-score-to-create-a-short-only-portfolio/#comment-442 Chroma Sat, 09 Jan 2010 00:27:07 +0000 http://valuehuntr.com/?p=1681#comment-442 Is this a real money portfolio? Many of these are realatively low volume stocks. Are you actually shorting the stocks, buying put options? I use Altman Z scores to rule out the cigar butt stocks that I am looking at, but have not used it for shorting. Good idea! Is this a real money portfolio? Many of these are realatively low volume stocks. Are you actually shorting the stocks, buying put options?

I use Altman Z scores to rule out the cigar butt stocks that I am looking at, but have not used it for shorting. Good idea!

]]> By: sebastien http://valuehuntr.com/2010/01/08/using-altmans-z-score-to-create-a-short-only-portfolio/#comment-441 sebastien Fri, 08 Jan 2010 20:35:02 +0000 http://valuehuntr.com/?p=1681#comment-441 do you do that with bloomberg or do you have a screening service integrating Z score to recommend ? do you do that with bloomberg or do you have a screening service integrating Z score to recommend ?

]]> By: shaun noll http://valuehuntr.com/2010/01/08/using-altmans-z-score-to-create-a-short-only-portfolio/#comment-440 shaun noll Fri, 08 Jan 2010 15:36:40 +0000 http://valuehuntr.com/?p=1681#comment-440 awesome!! I've used a similar screen before. Altman's work is very good. I've found that including a screen on equity valuation and insider purchases/selling greatly improves this type of screen. awesome!! I’ve used a similar screen before. Altman’s work is very good. I’ve found that including a screen on equity valuation and insider purchases/selling greatly improves this type of screen.

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