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Markovitz, Complexity and Fundamental data

12/11/2009 SECTOR ANALYSIS BASED ON NAICS DATA (December 2009)

NAICS SECTORS
Yearly volatility and increase
As of November 2009
20.0%

15.0%
Increase of new orders

31A Iron and steel mills


10.0% and ferroalloy and steel
product manufacturing

34D Communications
31C Ferrous metal foundries equipment manufacturing,
5.0% nondefense 35A Electric light
equipment manufacturing
ANM Aluminum and
Nonferrous Metal Products 34K Electromedical

0.0%
0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0%

-5.0%

Standard Deviation
NAICS
North American Industry Classification System (NAICS) is the system
used by the Government to classify sector economic data.

DATA GOAL
Are highly reliable and classify a vast part of
The analysis goal is to determine MODEL
the US Economy by codes in sectors and sub-
the leading sectors and the sectors The model correlates the sectors growth
sectors. Data are used also to determine also
rotation normally occurring rates with volatility (standard deviation).
other imprtant macro data including PPI and the
during non descending periods of Sectors correlation is also a factor taken
GDP.
market action. into account.

RANGE OF ANALYSIS
38 Macro Sector and if necessary
other subsectors. From the
analysis of the leading sectors the
model selects of each the 2 most
dominant company stocks.

• In the the previous page is shown the chart for the month of October 09 released on Dec 4.. The model selected 6 sectors (classified by code) and their position in
terms of volatility and increase of new orders.
• - In the following pages are shown 12 open trades ( 2 dominant stock for each of the 6 selected sectors), and the trades closed in the previous two months ( of sectors
which were not selected in the next month).
ell
12/11/2009
Companies, Initiation Date and Price Percentage Change new portfolio mean 5.16%

Company Initiation date Initiation Price Date of Sale Sale Price Perc. Gain/Loss Actual Price Var. Perc.
COOPER INDUSTRIES PLC-CL A 9/3/2009 32.99 43 26.5%
ACUITY BRANDS INC 9/3/2009 31.61 33.92 7.1%
ALCOA INC 10/5/2009 12.82 13.08 2.0%
TITANIUM METALS CORP 10/5/2009 9.03 10.14 11.6%
PRECISION CASTPARTS CORP 10/5/2009 99.01 109.69 10.2%
SCHNITZER STEEL INDS INC-A 10/5/2009 51.92 47.34 -9.2%
LOCKHEED MARTIN CORP 11/13/2009 73.96 75.4 1.9%
RAYTHEON COMPANY 10/5/2009 46.01 51.8 11.9%
NUCOR CORP 12/10/2009 43.06 NEW 43.06 0.0%
UNITED STATES STEEL CORP 12/10/2009 46.74 NEW 46.74 0.0%
CISCO SYSTEMS INC 12/10/2009 23.86 NEW 23.86 0.0%
QUALCOMM INC 12/10/2009 44.77 NEW 44.77 0.0%
S&P 500 INDEX 1095.95 1095.95 0.0%

4new trades were opened on Dec10.


Cooper Industries and Acuity Brands have remained in the stocks portfolio since September 3, Alcoa, Titanium Metals,
Precision Castparts, Schnitzer Steel and Raytheon have remained in the stocks portfolio since October 5, Locked Martin has
remained in the stocks portfolio since November 13.
In the last column you can see the performances of each trade from when it has been opened, the performances of the S&P
and the mean performance of the open trades.

12/11/2009
New Sector Allocation

Consumer,
Consumer, Non- Cyclical
cyclical 8%
9%

Ind ustrial
Basic Materials 58%
25%

THIS MONTH CLOSED OPERATIONS -0.6%


FORTUNE BRANDS INC 11/13/2009 40.95 39.49 -3.6%
MASCO CORP 11/13/2009 13.39 13.47 0.6%
WW GRAINGER INC 11/13/2009 98.54 97.73 -0.8%
DONALDSON CO INC 11/13/2009 38.55 41.82 8.1%
MAGNA INTERNATIONAL INC-CL A 11/13/2009 49.9 48.65 -2.5%
BORGWARNER INC 11/13/2009 32.2001 30.53 -5.3%

On average with an equal weight for every stock, we obtained a performance of 34.7% for closed operations.

CLOSED OPERATIONS
Jul Aug Sep Oct Nov Dec TOT
S&P 500 INDEX 13.7% -1.6% 3.0% 6.3% 0.7% 22.1%
Portfolio shares 25.6% 8.1% 0.7% 0.9% -0.6% 34.7%
Difference between portfolio and S&P500 11.9% 9.7% -2.3% -5.4% -1.3% 12.6%
12/11/2009