Courting the Quant Signals For Bank of America Corporation (NYSE:BAC), SPDR S&P 500 ETF Trust (ARCA:SPY)

Bank of America Corporation (NYSE:BAC) has a MF Rank of 9846. Developed by Joel Greenblatt, the purpose of the formula is to locate high quality companies that are trading at a reduced price. The formula uses ROIC and earnings yield ratios to find quality, undervalued stocks. In general, companies with the lowest combined rank may be the higher quality selections.

Investors may be interested in viewing the Gross Margin score on shares of Bank of America Corporation (NYSE:BAC). The name currently has a score of 4.00000. This score is derived from the Gross Margin (Marx) stability and growth over the previous eight years. The Gross Margin score lands on a scale from 1 to 100 where a score of 1 would be considered positive, and a score of 100 would be seen as negative.

We can now take a quick look at some historical stock price index data. Bank of America Corporation (NYSE:BAC) presently has a 10 month price index of 0.79248. The price index is calculated by dividing the current share price by the share price ten months ago. A ratio over one indicates an increase in share price over the period. A ratio lower than one shows that the price has decreased over that time period. Looking at some alternate time periods, the 12 month price index is 0.86059, the 24 month is 1.17251, and the 36 month is 1.74331. Narrowing in a bit closer, the 5 month price index is 0.81677, the 3 month is 0.85590, and the 1 month is currently 1.03029.

We can now take a quick look at some historical stock price index data. Bank of America Corporation (NYSE:BAC) presently has a 10 month price index of 0.79248. The price index is calculated by dividing the current share price by the share price ten months ago. A ratio over one indicates an increase in share price over the period. A ratio lower than one shows that the price has decreased over that time period. Looking at some alternate time periods, the 12 month price index is 0.86059, the 24 month is 1.17251, and the 36 month is 1.74331. Narrowing in a bit closer, the 5 month price index is 0.81677, the 3 month is 0.85590, and the 1 month is currently 1.03029.

Watching some historical volatility numbers on shares of Bank of America Corporation (NYSE:BAC), we can see that the 12 month volatility is presently 26.733000. The 6 month volatility is 25.106900, and the 3 month is spotted at 31.183200. Following volatility data can help measure how much the stock price has fluctuated over the specified time period. Although past volatility action may help project future stock volatility, it may also be vastly different when taking into account other factors that may be driving price action during the measured time period.

Valuation Scores

Shifting gears, we can see that Bank of America Corporation (NYSE:BAC) has a Q.i. Value of 62.00000. The Q.i. Value ranks companies using four ratios. These ratios consist of EBITDA Yield, FCF Yield, Liquidity, and Earnings Yield. The purpose of the Q.i. Value is to help identify companies that are the most undervalued. Typically, the lower the value, the more undervalued the company tends to be.

At the time of writing, Bank of America Corporation (NYSE:BAC) has a Piotroski F-Score of 6. The F-Score may help discover companies with strengthening balance sheets. The score may also be used to spot the weak performers. Joseph Piotroski developed the F-Score which employs nine different variables based on the company financial statement. A single point is assigned to each test that a stock passes. Typically, a stock scoring an 8 or 9 would be seen as strong. On the other end, a stock with a score from 0-2 would be viewed as weak.

Bank of America Corporation has an M-score Beneish of -3.033243. This M-score model was developed by Messod Beneish in order to detect manipulation of financial statements. The score uses a combination of eight different variables. The specifics of the variables and formula can be found in the Beneish paper “The Detection of Earnings Manipulation”.

SPDR S&P 500 ETF Trust (ARCA:SPY) has a current Magic Formula rank of 10778. The formula which was created by hedge fund manager Joel Greenblatt, has the purpose of finding high quality companies that are trading at an attractive price and valuation. The formula uses ROIC and earnings yield ratios to find quality, undervalued stocks. In general, firms with the lowest combined rank may be the higher quality investments.

At the time of writing, SPDR S&P 500 ETF Trust (ARCA:SPY) has a Piotroski F-Score of 4. The F-Score may help discover companies with strengthening balance sheets. The score may also be used to spot the weak performers. Joseph Piotroski developed the F-Score which employs nine different variables based on the company financial statement. A single point is assigned to each test that a stock passes. Typically, a stock scoring an 8 or 9 would be seen as strong. On the other end, a stock with a score from 0-2 would be viewed as weak.

Watching some historical volatility numbers on shares of SPDR S&P 500 ETF Trust (ARCA:SPY), we can see that the 12 month volatility is presently 18.563500. The 6 month volatility is 18.591000, and the 3 month is spotted at 25.532200. Following volatility data can help measure how much the stock price has fluctuated over the specified time period. Although past volatility action may help project future stock volatility, it may also be vastly different when taking into account other factors that may be driving price action during the measured time period.

Shifting gears, we can see that SPDR S&P 500 ETF Trust (ARCA:SPY) has a Q.i. Value of 55.00000. The Q.i. Value ranks companies using four ratios. These ratios consist of EBITDA Yield, FCF Yield, Liquidity, and Earnings Yield. The purpose of the Q.i. Value is to help identify companies that are the most undervalued. Typically, the lower the value, the more undervalued the company tends to be.

SPDR S&P 500 ETF Trust has an M-score Beneish of -999.000000. This M-score model was developed by Messod Beneish in order to detect manipulation of financial statements. The score uses a combination of eight different variables. The specifics of the variables and formula can be found in the Beneish paper “The Detection of Earnings Manipulation”.

Additional Tools

There are many different tools to determine whether a company is profitable or not. One of the most popular ratios is the “Return on Assets” (aka ROA). This score indicates how profitable a company is relative to its total assets. The Return on Assets for SPDR S&P 500 ETF Trust (ARCA:SPY) is 0.166295. This number is calculated by dividing net income after tax by the company’s total assets. A company that manages their assets well will have a higher return, while a company that manages their assets poorly will have a lower return.

Looking at some ROIC (Return on Invested Capital) numbers, SPDR S&P 500 ETF Trust (ARCA:SPY)’s ROIC is 0.017045. The ROIC 5 year average is 0.019633 and the ROIC Quality ratio is . ROIC is a profitability ratio that measures the return that an investment generates for those providing capital. ROIC helps show how efficient a firm is at turning capital into profits.

In terms of EBITDA Yield, SPDR S&P 500 ETF Trust (ARCA:SPY) currently has a value of . This value is derived by dividing EBITDA by Enterprise Value.

The Current Ratio of SPDR S&P 500 ETF Trust (ARCA:SPY) is 1.09. The Current Ratio is used by investors to determine whether a company can pay short term and long term debts. The current ratio looks at all the liquid and non-liquid assets compared to the company’s total current liabilities. A high current ratio indicates that the company might have trouble managing their working capital. A low current ratio (when the current liabilities are higher than the current assets) indicates that the company may have trouble paying their short term obligations.

The Leverage Ratio of SPDR S&P 500 ETF Trust (ARCA:SPY) is 0.000000. Leverage ratio is the total debt of a company divided by total assets of the current and past year divided by two. Companies take on debt to finance their day to day operations. The leverage ratio can measure how much of a company’s capital comes from debt. With this ratio, investors can better estimate how well a company will be able to pay their long and short term financial obligations.

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