숫자분석의 달인 quantifiedalpha.com

Seekingalpha에서 글을 보다가 GT(Goodyear tire)가 undervalue되었있다고 주장하는 글을 읽다가 상당히 재밌는 사이트를 알게됐습니다. 수치해석, 통계, 숫자표현 이런것에 능한사람이 만든것 같습니다. seekingalpha와 자매사이트 같기도 하고요. 다 맞다고 하는것은 아니고요, 계산 geeks들은 어떻게 계산하는지 같이 계산기 뚜드리는지 이해해 보고 싶습니다.

내용이 재밌어서 평소 관심있는 종목들을 넣어봤습니다.

https://quantifiedalpha.com/

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GT(Goodyear TIre)

Market Cap: $7.55B (Mid Cap)

Market Beta: 2.23 (Very High Market Risk)

Metric	GT	Percentile	Analysis
Value Alpha:	10.25%	98th	Strongly Undervalued
Growth Alpha:	4.50%	91st	Strong Growth
Quality Alpha:	-5.29%	14th	Bad Quality
Smart Alpha:	1.78%	67th	Slightly Bullish
Total Alpha:	11.24%	90th	Moderate Outperform

Days to Earnings Release	78 Days	Earnings Strength Rating
Wall St. Consensus EPS Estimate	$0.75	Wall St. Consensus Rev. Estimate	$4.10B

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AA(Alcoa)

Market Cap: $16.89B (Large Cap)

Market Beta: 1.64 (High Market Risk)

Metric	AA	Percentile	Analysis
Value Alpha:	4.21%	78th	Moderately Undervalued
Growth Alpha:	-0.61%	35th	Weak Growth
Quality Alpha:	-1.98%	28th	Mediocre Quality
Smart Alpha:	-2.47%	23rd	Moderately Bearish
Total Alpha:	-0.84%	40th	Slight Underperform

Days to Earnings Release	57 Days	Earnings Strength Rating
Wall St. Consensus EPS Estimate	$0.26	Wall St. Consensus Rev. Estimate	$5.91B

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DAL(Delta Airlines)

Market Cap: $35.84B (Large Cap)

Market Beta: 1.01 (Low Market Risk)

Metric	DAL	Percentile	Analysis
Value Alpha:	1.43%	59th	Slightly Undervalued
Growth Alpha:	-0.01%	43rd	Weak Growth
Quality Alpha:	3.87%	77th	Great Quality
Smart Alpha:	0.02%	45th	Slightly Bearish
Total Alpha:	5.31%	68th	Slight Outperform

Days to Earnings Release	71 Days	Earnings Strength Rating
Wall St. Consensus EPS Estimate	$1.32	Wall St. Consensus Rev. Estimate	$10.78B

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NUAN(Nuance)

Market Cap: $4.99B (Mid Cap)

Market Beta: 1.11 (Average Market Risk)

Metric	NUAN	Percentile	Analysis
Value Alpha:	-3.15%	27th	Slightly Overvalued
Growth Alpha:	-1.96%	21st	Negative Growth
Quality Alpha:	3.78%	75th	Good Quality
Smart Alpha:	-4.37%	12th	Moderately Bearish
Total Alpha:	-5.70%	23rd	Moderate Underperform

Days to Earnings Release	-5 Days	Earnings Strength Rating
Wall St. Consensus EPS Estimate	$0.10	Wall St. Consensus Rev. Estimate	$482.18M

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QCOM(Qualcomm)

Metric	QCOM	Percentile	Analysis
Value Alpha:	-0.97%	41st	Slightly Overvalued
Growth Alpha:	-0.50%	36th	Weak Growth
Quality Alpha:	-3.13%	22nd	Bad Quality
Smart Alpha:	1.26%	61st	Slightly Bullish
Total Alpha:	-3.34%	31st	Slight Underperform

Days to Earnings Release	71 Days	Earnings Strength Rating
Wall St. Consensus EPS Estimate	$0.82	Wall St. Consensus Rev. Estimate	$5.81B

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AAPL(Apple)

Market Cap: $724.74B (Mega Cap)

Market Beta: 0.85 (Low Market Risk)

Metric	AAPL	Percentile	Analysis
Value Alpha:	-0.99%	40th	Slightly Overvalued
Growth Alpha:	5.91%	96th	Strong Growth
Quality Alpha:	5.11%	89th	Great Quality
Smart Alpha:	1.82%	68th	Slightly Bullish
Total Alpha:	11.85%	92nd	Strong Outperform

Days to Earnings Release	77 Days	Earnings Strength Rating
Wall St. Consensus EPS Estimate	$1.74	Wall St. Consensus Rev. Estimate	$48.07B

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F(Ford)

Market Cap: $61.74B (Large Cap)

Market Beta: 1.57 (High Market Risk)

Metric	F	Percentile	Analysis
Value Alpha:	7.69%	93rd	Strongly Undervalued
Growth Alpha:	-0.23%	40th	Weak Growth
Quality Alpha:	1.00%	50th	Mediocre Quality
Smart Alpha:	0.68%	53rd	Slightly Bullish
Total Alpha:	9.14%	84th	Moderate Outperform

Days to Earnings Release	72 Days	Earnings Strength Rating
Wall St. Consensus EPS Estimate	$0.38	Wall St. Consensus Rev. Estimate	$35.65B

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NXP

Market Cap: $24.53B (Large Cap)

Market Beta: 2.65 (Very High Market Risk)

Metric	NXPI	Percentile	Analysis
Value Alpha:	-5.28%	18th	Moderately Overvalued
Growth Alpha:	6.37%	97th	Strong Growth
Quality Alpha:	6.55%	97th	Excellent Quality
Smart Alpha:	1.71%	66th	Slightly Bullish
Total Alpha:	9.35%	85th	Moderate Outperform

Days to Earnings Release	71 Days	Earnings Strength Rating
Wall St. Consensus EPS Estimate	$1.24	Wall St. Consensus Rev. Estimate	$1.51B

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Top 50 ; 자체 지표로 value가 상당히 높다고 나온 상위 50개 종목인것 같습니다. 유료로 하면 screener같은것을 쓰게 해줄것 같습니다. 저는 Market Cap이 너무 작은 기업들은 valuation을 계산할 가치가 떨어진다고 생각합니다.

Rank	Company	Ticker	Total	Value	Growth	Quality	Smart	Earnings
			Alpha	Alpha	Alpha	Alpha	Alpha	Strength
1	Net 1 Ueps Technologies Inc.	UEPS	21.09%	8.41%	5.14%	3.83%	3.70%
2	Bassett Furniture Industries Inc.	BSET	20.63%	4.29%	7.06%	5.05%	4.23%
3	Chipmos Technologies (BERMUDA) Ltd	IMOS	20.00%	8.81%	0.80%	5.58%	4.81%
4	Global Brass And Copper Holdings Inc	BRSS	19.23%	6.66%	2.93%	3.82%	5.83%
5	Shoe Carnival Inc.	SCVL	18.27%	3.35%	3.28%	6.36%	5.28%
6	Valero Energy Corp.	VLO	17.86%	10.25%	2.15%	4.15%	1.30%
7	Wal-Mart Stores Inc.	WMT	17.79%	6.28%	1.54%	5.91%	4.06%
8	Spartan Stores Inc.	SPTN	17.17%	5.47%	5.80%	4.12%	1.79%
9	Arch Capital Group Ltd	ACGL	17.12%	6.86%	2.13%	1.39%	6.74%
10	Voya Financial Inc	VOYA	17.00%	10.84%	1.95%	1.39%	2.83%
11	The Marcus Corporation	MCS	16.79%	4.13%	2.19%	6.27%	4.20%
12	United Continental Holdings, Inc.	UAL	16.79%	6.52%	4.75%	4.62%	0.89%
13	Lear Corp.	LEA	16.67%	5.91%	4.49%	4.88%	1.39%
14	Infinity Property and Casualty Corp.	IPCC	16.59%	8.53%	1.51%	1.83%	4.71%
15	Culp Inc.	CFI	16.51%	1.89%	4.79%	7.00%	2.83%
16	Sanmina-SCI Corp.	SANM	16.46%	9.38%	1.18%	1.67%	4.23%
17	Tsakos Energy Navigation Ltd	TNP	16.17%	6.57%	5.63%	-0.64%	4.61%
18	ZAGG Incorporated	ZAGG	16.10%	2.74%	5.59%	4.04%	3.73%
19	Jabil Circuit Inc.	JBL	16.02%	8.22%	3.11%	3.26%	1.43%
20	Midwestone Financial Group Inc	MOFG	15.94%	4.75%	1.14%	3.12%	6.93%
21	Mainsource Financial Group Inc	MSFG	15.92%	5.35%	1.62%	2.14%	6.80%
22	Big 5 Sporting Goods Corp	BGFV	15.92%	7.07%	1.39%	4.76%	2.70%
23	Nova Measuring Instruments Ltd	NVMI	15.69%	1.40%	1.97%	8.35%	3.96%
24	SkyWest Inc.	SKYW	15.54%	6.43%	3.02%	1.86%	4.23%
25	Aetna Inc.	AET	15.54%	4.61%	4.86%	2.98%	3.08%
26	Delphi Automotive Plc	DLPH	15.40%	1.26%	4.44%	6.37%	3.33%
27	EchoStar Corp.	SATS	15.28%	5.04%	1.75%	4.00%	4.48%
28	Ducommun Inc	DCO	15.20%	7.25%	3.28%	2.61%	2.06%
29	Perfect World Co., Ltd.	PWRD	15.12%	6.33%	0.09%	7.91%	0.79%
30	Enlink Midstream Llc	ENLC	15.06%	4.72%	0.57%	1.23%	8.54%
31	AerCap Holdings N.V.	AER	14.94%	5.22%	2.25%	4.62%	2.84%
32	Consolidated Edison Inc.	ED	14.84%	8.43%	0.81%	4.80%	0.80%
33	AutoNation Inc.	AN	14.67%	4.09%	2.62%	4.62%	3.34%
34	Flextronics International Ltd.	FLEX	14.49%	6.03%	4.37%	2.66%	1.42%
35	Bravo Brio Restaurant Group, Inc.	BBRG	14.31%	5.57%	0.86%	7.27%	0.61%
36	Endurance Specialty Holdings Ltd	ENH	14.20%	8.20%	1.94%	-0.23%	4.29%
37	Magna International Inc.	MGA	14.10%	7.97%	2.28%	2.84%	1.01%
38	Superior Energy Services, Inc.	SPN	14.05%	7.84%	0.20%	5.17%	0.84%
39	Huntington Ingalls Industries, Inc.	HII	14.02%	1.84%	4.70%	3.90%	3.58%
40	United Online, Inc.	UNTD	14.01%	0.02%	4.08%	5.47%	4.43%
41	Cai International Inc	CAP	13.84%	9.49%	0.62%	1.29%	2.44%
42	Encore Wire Corp.	WIRE	13.83%	2.55%	0.38%	5.07%	5.83%
43	Intel Corporation	INTC	13.82%	3.09%	2.86%	7.41%	0.46%
44	K12, Inc.	LRN	13.78%	7.65%	0.88%	3.22%	2.03%
45	Blount International Inc.	BLT	13.77%	3.98%	1.83%	4.32%	3.64%
46	Science Applications International Corporation	SAIC	13.73%	4.10%	3.81%	-2.62%	8.44%
47	Federal Signal Corp.	FSS	13.65%	5.00%	0.13%	4.56%	3.96%
48	Targa Resources Corp.	TRGP	13.61%	8.21%	0.44%	1.64%	3.32%
49	Health Net, Inc.	HNT	13.61%	3.36%	3.40%	5.85%	1.00%
50	Central Garden & Pet Co.	CENT	13.60%	5.36%	2.47%	2.69%	3.08%