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What are we looking for?

Top North American companies measured by qualitative, value and momentum characteristics captured by Thomson Reuters' Starmine Models.

The screen

It can often be difficult to decipher what causes the underlying change in the price of a security; has the move been caused by new information relating to the financial health of the company, has there been a change in analyst sentiment, or instead, has there been a shift in momentum relating to the trading activity of the underlying security?

Today's screen attempts to capture the aforementioned changes by using three of the Thomson Reuters Starmine Models across all North American securities with a market capitalization of at least $1-billion (Canadian).

The Starmine Models have been developed and tested by a team of quantitative analysts focusing on the fundamental economic drivers of a company that can be forecast to be predictive in nature. The models include the Analyst Revision Model, which ranks stocks according to changes in analyst sentiment; the Value-Momentum Model, which interprets and ranks recent valuation and momentum characteristics of the underlying stocks; and the Earnings Quality Model, which focuses on the sustainability of a company's earnings.

Each model is ranked on a scale of 1 to 100, with the minimum criteria being a score of greater than 85, and with the screen results ranked by an average score across the three indicators.

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What did we find?

The screen yielded 16 results spanning across a variety of sectors, with many companies receiving impressive results across all three models. Alliance Resource Partners scored the highest total average along with the highest Value-Momentum score, explained by strong valuation metrics such as price-to-earnings, price-to-cash flow and an impressive dividend yield. Hudbay Minerals was the lone Canadian company to make the screen, and also saw the top score among its peers in the Analysts Revisions Model, resulting from increases in key consensus mean estimate measures across both short- and long-term time horizons.

This commentary does not provide individualized advice or recommendations for any specific subscriber or portfolio. Investors should conduct further research before investing

Ryan Gottschalk works in the financial and risk unit of Thomson Reuters and specializes in asset management.

North American firms with qualitative, value, and momentum characteristics

CompanyTickerCountryGICS Sector NamePrice Close*Market Cap ($Bil)*Analyst Rev. RankValue-Momentum RankEarns. Quality RankAvg. Model ScoreDiv. Yield %YTD % Chg
Alliance Resource PartnersARLP-QUnited StatesEnergy24.301.89910093978.28.2
Crestwood Equity PartnersCEQP-NUnited StatesEnergy26.401.88999999620.83.3
Hudbay Minerals Inc.HBM-TCanadaMaterials10.712.51009989960.239.5
Applied Materials Inc.AMAT-QUnited StatesInfo Tech35.6738.5949498951.110.5
Alliance HoldingsAHGP-QUnited StatesEnergy30.641.8969991958.59.0
KLA-Tencor Corp.KLAC-QUnited StatesInfo Tech88.4613.9949497952.412.4
Cliffs Natural ResourcesCLF-NUnited StatesMaterials11.493.3979791950.036.6
Alaska Air Group Inc.ALK-NUnited StatesIndustrials96.6011.9949297941.18.9
Hawaiian Holdings Inc.HA-QUnited StatesIndustrials50.302.7919595940.0-11.8
Maxim Integrated PdtsMXIM-QUnited StatesInfo Tech45.1112.8959096942.717.0
Steel Dynamics Inc.STLD-QUnited StatesMaterials37.169.1869795931.54.4
Teradyne Inc.TER-NUnited StatesInfo Tech29.175.9968894930.814.8
Innoviva Inc.INVA-QUnited StatesHealth Care12.041.3918998930.012.5
Lam Research Corp.LRCX-QUnited StatesInfo Tech114.9018.7889593921.08.7
Texas Instruments Inc.TXN-QUnited StatesInfo Tech76.4476.4968891922.14.8
LCI IndustriesLCII-NUnited StatesCons. Disc.108.952.7898995910.01.1

Thomson Reuters Eikon 

*Figures shown in each company's native currency