Feb

28

 15th March. Debt Ceiling at 20 Trillion USD will be law?

Will it be Stop Loss day for America, deployed with discipline?

Or Trumpesque Trump-speak will unleash volatility violence world over?

Is this market an unstoppable train that is going to keep on its rails or an unstoppable train that will skid to stop?

What do you think?

Gold up, Dollar up, S&P Up has been a good nice happy game for all. Will all 3 keep moving up? Which one or two will tumble?

Negative interest rates in some parts of the world and unbelievable debt mountains in other parts of the world. Cognitive Dissonance is the new normal?

Is might going to be right or right is might?

Will Trump stick to the pre-defined stop loss for the balance sheet of the treasury? Or he is the savviest trader ever that we are yet to see who will break the rules to come out winner?

Is this a situation where sticking to the stop loss will bring more losses since Cognitive Dissonance is the new normal or sticking to the stop loss will keep the Equities train unstoppable?

Kora Reddy writes: 

Anything quoting Mr. Stockman suffers from at least 3 problems that I could think of:

1. "defensive attribution hypothesis"

2. as a counter in me says "a broken clock is wrong 22 times wrong" –> "David Stockman warns both Trump and Clinton could lead to 25% sell-off"

As we all know that on 4th Nov 2016 $SPY close is 207.33 vs. today's close of 237 roughly 30 points up or ~15%

3. HE IS AN ZEROHEDGE CONTRIBUTOR

ps: I hope I wont be banned from Dailyspec as I used nc-17 rated words like "zerohedge". 

Jan

17

Since Jan 1st 2000 to Dec 31st 2015

Total $SPY returns for all days 92.71 points

returns on 1dom + fed day (most important days) are 89.02 pts (about 97% returns captured by doing hard work on 322/4025 days (8%))

The year gone by 2016 is a different story.

Total $SPY returns are 23.95 pts and on most important days the returns are a mere 0.71 pts (20 of them out of 252 days)

So where did the returns shift to?

answer -> 11-15th trading day

2016 $SPY returns 23.95 pts

Returns on 11,12,13,14,15th trading days combined are 24.14 pts (60/252 = ~24 % days)

Conclusion, work load increased in 2016 from 8% to 24%, a 200 % rise in work hours. A 2017 wish is reduce in the lower working hours!

Kim Zussman writes: 

I also checked whether the past 16 years were trendy for stocks.

If today's close was above 100D moving average, return from today's close to tomorrow's close. ">100DMA" (mean)

If today's close was below 100D moving average, return from today's close to tomorrow's close. "<100DMA" (mean):

Two-sample T for >100DMA vs <100DMA

                   N     Mean    StDev  SE Mean
>100DMA  2766  0.00025  0.00824  0.00016 T=-0.06
<100DMA  1394   0.0003   0.0179  0.00048

>>almost the same.  However, as expected daily returns were less volatile when the market was going up:
 
Test for Equal Variances: >100DMA, <100DMA

95% Bonferroni confidence intervals for standard deviations

                   N       Lower      StDev      Upper
>100DMA  2766  0.0079943  0.0082355  0.0084912
<100DMA  1394  0.0171828  0.0179134  0.0187065

F-Test (normal distribution)
Test statistic = 0.21, p-value = 0.000

Levene's Test (any continuous distribution)
Test statistic = 540.84, p-value = 0.000

Nov

8

Two conditions:

1) when $SPY posts its biggest gain in 62 days (i.e 3 months)

2) after $SPY closed at its lowest close in 62 days, the prev day

Sep

5

 We Indians had a "schumpeter day in a decade" here in India on 1st September, with Mukesh Ambani of reliance announcing that the voice call on Jio (to be launched telecom operations of reliance industries) will be charged at zero.

I remember my employer provided mobile phones back in '97 charging at 33 INR per minute (1.2 USD at those days) for voice call.

Now that it is at zero INR, but charged at 50 INR (or 0.75 us cents) per GB.

Roughly 6 mb per minute, it's around 2.5 /3 hours of voice call over Jio internet per 75 cents.

With all that background I'm open to accept bets at 1in2.

"By 2026 the data downloads will be charged at zero cents but apps using them".

P.S. India is eagerly awaiting an alcoholic beverage launch by Mukesh Ambani called Pio (drink in hindi).

Jul

8

Assuming where we close today as of now on $TLT (143.3'ish) and $SPY (212.2'ish), what's common between today and 4th Dec 2006, apart from you and your spouse's birthday being 8 Jul and 4 Dec :)

Jun

17

 What is the reference to the famous cricket match where a bowler was up for the last pitch and bunted the ball. They protested "this isn't cricketlike" thereby insuring the win?

Rocky Humbert responds: 

From the preamble of the Rules of Cricket:

"Cricket is a game that owes much of its unique appeal to the fact that it should be played not only within its Laws but also within the Spirit of the Game. Any action which is seen to abuse this spirit causes injury to the game itself. The major responsibility for ensuring the spirit of fair play rests with the captains."

I find Vic's reference somewhat amusing as I daresay that Ayn Rand might find the rules of cricket an antithesis to the notion of unchecked self-interest. Too, I wonder how differently the world would look today if finance (and other industry) participants cared about the protecting the "spirit of the game."

Kora Reddy writes: 

At the other end of the spectrum there is Mr. Walsh. I haven't watched chappels incident on tv live, but this 1987 world cup moment is still fresh in my mind almost 30 years later.

Feb

11

The yearly update to Dimson, Marsh and Staunton's statistical masterwork is out:

Credit Suisse 2016 Global Investment Returns Released

anonymous comments: 

I guess I shouldn't be surprised, but still I am, by the number of country equity market wipeout events. The Austrian market got wiped out after WWI (and II). There was a hyperinflation, but aren't stocks supposed to represent ownership of real assets?

Obviously Russia and China had wipeout events.

None of the island countries — UK, New Zealand, Australia, arguably US, or Japan — ever saw their equity markets wiped out, although Japan came close, with a ~2 order of magnitude collapse from WWII.

Possible lessons:

–own the island countries
–equities can't keep up with hyperinflations

Elroy Dimson responds: 

Hi Vic,

Thanks for writing. Hope you and yours are well.

The former Austrian Empire comprised present-day Austria, Hungary, the Czech Republic, Slovakia, Slovenia, Bosnia-Herzegovina, Croatia, parts of Poland, Romania, bit of Italy, Ukraine, Moldova, Serbia, and Montenegro. All but one of those countries ceased to be part of Austria. No wonder it disappointed in investment terms.

I don't like the "own the island countries" conclusion. Sticking with your facetious interpretation of history, how about "buy English-speaking countries"? Or "invest in nations that speak excellent English"? See the chart from page 21 of the Global Investment Returns Sourcebook 2016:

Chart 8: Real annualized equity returns (%) in local currency and US dollars, 1900–2015

Dec

2

As everyone already knows that small caps (IWM) outperforms $SPY in the month of dec, (even the spread between $SPY and $IWM returns, has the highest returns…)

The other unknown (at-least not widely publicized yet) is, small cap value outperforms the small cap growth

Since their respective IPO's, the dec returns —>

$SPY - 16/22 wins at an avg of 144 bps , and a median of 113 bps vs $IWM 12/ 15 wins, at an avg of 272 bps with a median of 240 bps

coming to with in IWM

$IWF (growth), with 8/15 wins at an avg of 54 bps and a median of 3 bps (not even sufficient for slipp+broker-age!!), worst at minus 723 bps vs $IWN (value), with 12/15 wins, at an avg of 308 bps, and a median of 265 bps, worst at minus 446 bps.

Nov

17

Looking at wikipedia as a source, and looking at the attacks on G7 + Spain + Russia (just to get few in extra- sorry to quantify this way)…

Whether it is one dead or a million dead, it is barbaric act…

Where the toll is 50+ since Y2K:

t[-2] is the chg % one days ago , t[-3] is the chg % two days ago,  t is the change on the event day

t+1 is the chg % from the event day to one day later, t+2 is two days later

17-Sep-01 * - as the market is closed on 11 sep 2001

13-Nov-15    France November 13, 2015. A series of 7 attacks kill 153 people in the capital city of Paris.

07-Jul-05    United Kingdom July 7, 2005. Multiple bombings in London Underground. 53 killed by four suicide bombers. Nearly 700 injured.

11-Mar-04    Spain March 11, 2004. Madrid train bombings, killed 191 people and wounded 1,800.

23-Oct-02    Russia October 23, 2002. The Moscow theater hostage crisis was the seizure of the crowded Dubrovka Theater by Islamists. 170+ dead (including 40 perpetrators) 700+ injured.

12-Mar-03    Russia May 12, 2003. The 2003 Znamenskoye suicide bombing. 59 killed 200 injured.

01-Sep-04    Russia September 1, 2004. Beslan school hostage crisis, approximately 344 civilians including 186 children killed.

11-Sep-01    United States September 11, 2001. 4 planes hijacked by 19 al-Qaeda members: two planes crashed into the World Trade Center in New York City, New York; one into The Pentagon in Arlington County, Virginia; and one into a field near Shanksville, Pennsylvania. 2,977 victims killed.

Aug

23

There were 61 instances of $SPX closing of 5% from the all time closings,of which 20 turned into 10% drop from ATH ( 33% of them) of which  9 turned into a 20% drop from ATH (15% of them) of which 5 turned into 30% drop from ATH, (8% of them) and only 2, into 40 % drop from ATH (3% of them) and only one into 50% drop from ATH (2% of them).


legend        definition

Dip             5% from ATH
ATH            All Time High ( end of peak of the cycle )
NewATH      New All Time High ( new peak after a dip/correction/*)
WorldEnd    the bottom in the cycle
Depression    50% drop from ATH
Panic           40 % drop from ATH
Crash          30% drop from ATH
Bear           20% drop from ATH
Correction    10% drop from ATH

Date                SPX        legend
21-Aug-15    1970.89        Dip
21-May-15    2130.82        ATH
31-Oct-14    2018.05        NewATH
15-Oct-14    1862.49        WorldEnd
10-Oct-14    1906.13        Dip
18-Sep-14    2011.36        ATH
27-Feb-14    1854.29        NewATH
3-Feb-14    1741.89        Dip
3-Feb-14    1741.89        WorldEnd
15-Jan-14    1848.38        ATH
11-Jul-13    1675.02        NewATH
24-Jun-13    1573.09        Dip
24-Jun-13    1573.09        WorldEnd
21-May-13    1669.16        ATH
28-Mar-13    1569.19        NewATH
9-Mar-09    676.53        WorldEnd
20-Nov-08    752.44        Depression
9-Oct-08    909.92        Panic
6-Oct-08    1056.89        Crash
9-Jul-08    1244.69        Bear
26-Nov-07    1407.22        Correction
7-Nov-07    1475.62        Dip
09-Oct-07    1565.15        ATH
5-Oct-07    1557.59        NewATH
15-Aug-07    1406.70        WorldEnd
27-Jul-07    1458.95        Dip
19-Jul-07    1553.08        ATH
30-May-07    1530.23        NewATH
9-Oct-02    776.76        WorldEnd
16-Jul-02    900.94        Panic
17-Sep-01    1038.77        Crash
12-Mar-01    1180.16        Bear
14-Apr-00    1356.56        Correction
13-Apr-00    1440.51        Dip
24-Mar-00    1527.46        ATH
21-Mar-00    1493.87        NewATH
25-Feb-00    1333.36        WorldEnd
28-Jan-00    1360.16        Dip
31-Dec-99    1469.25        ATH
16-Nov-99    1420.07        NewATH
15-Oct-99    1247.41        WorldEnd
29-Sep-99    1268.37        Correction
26-Jul-99    1347.76        Dip
16-Jul-99    1418.78        ATH
30-Jun-99    1372.71        NewATH
27-May-99    1281.41        WorldEnd
25-May-99    1284.40        Dip
13-May-99    1367.56        ATH
22-Apr-99    1358.82        NewATH
19-Apr-99    1289.48        Dip
19-Apr-99    1289.48        WorldEnd
12-Apr-99    1358.63        ATH
23-Nov-98    1188.21        NewATH
31-Aug-98    957.28        WorldEnd
14-Aug-98    1062.75        Correction
29-Jul-98    1125.21        Dip
17-Jul-98    1186.75        ATH
29-Jan-98    985.49        NewATH
9-Jan-98    927.69        WorldEnd
24-Dec-97    932.70        Dip
05-Dec-97    983.79        ATH
5-Dec-97    983.79        NewATH
27-Oct-97    876.99        Dip
27-Oct-97    876.99        Correction
27-Oct-97    876.99        WorldEnd
07-Oct-97    983.12        ATH
2-Oct-97    960.46        NewATH
29-Aug-97    899.47        WorldEnd
15-Aug-97    900.81        Dip
06-Aug-97    960.32        ATH
5-May-97    830.29        NewATH
11-Apr-97    737.65        WorldEnd
27-Mar-97    773.88        Dip
18-Feb-97    816.29        ATH
13-Sep-96    680.54        NewATH
24-Jul-96    626.65        WorldEnd
15-Jul-96    629.80        Dip
24-May-96    678.51        ATH
14-Feb-95    482.55        NewATH
4-Apr-94    438.92        WorldEnd
29-Mar-94    452.48        Dip
02-Feb-94    482.00        ATH
20-Nov-92    426.65        NewATH
9-Oct-92    402.66        Dip
9-Oct-92    402.66        WorldEnd
14-Sep-92    425.27        ATH
29-Jul-92    422.23        NewATH
8-Apr-92    394.50        WorldEnd
7-Apr-92    398.06        Dip
15-Jan-92    420.77        ATH
24-Dec-91    399.33        NewATH
29-Nov-91    375.22        WorldEnd
22-Nov-91    376.14        Dip
13-Nov-91    397.41        ATH
12-Nov-91    396.74        NewATH
9-Oct-91    376.80        Dip
9-Oct-91    376.80        WorldEnd
28-Aug-91    396.64        ATH
6-Aug-91    390.62        NewATH
15-May-91    368.57        Dip
15-May-91    368.57        WorldEnd
17-Apr-91    390.45        ATH
13-Feb-91    369.02        NewATH
11-Oct-90    295.46        WorldEnd
17-Aug-90    327.83        Correction
3-Aug-90    344.86        Dip
16-Jul-90    368.95        ATH
29-May-90    360.65        NewATH
30-Jan-90    322.98        Correction
30-Jan-90    322.98        WorldEnd
13-Oct-89    333.65        Dip
09-Oct-89    359.80        ATH
26-Jul-89    338.05        NewATH
4-Dec-87    223.92        WorldEnd
19-Oct-87    224.84        Bear
19-Oct-87    224.84        Crash
15-Oct-87    298.08        Correction
4-Sep-87    316.70        Dip
25-Aug-87    336.77        ATH
15-Jun-87    303.14        NewATH
20-May-87    278.21        WorldEnd
13-Apr-87    285.62        Dip
06-Apr-87    301.95        ATH
2-Dec-86    254.00        NewATH
29-Sep-86    229.91        WorldEnd
11-Sep-86    235.18        Dip
04-Sep-86    253.83        ATH
26-Aug-86    252.84        NewATH
15-Jul-86    233.66        WorldEnd
14-Jul-86    238.11        Dip
02-Jul-86    252.70        ATH
11-Nov-85    197.28        NewATH
25-Sep-85    180.66        WorldEnd
11-Sep-85    185.03        Dip
17-Jul-85    195.65        ATH
21-Jan-85    175.23        NewATH
24-Jul-84    147.82        WorldEnd
13-Feb-84    154.95        Correction
28-Oct-83    163.37        Dip
10-Oct-83    172.65        ATH
10-Oct-83    172.65        NewATH
8-Aug-83    159.18        WorldEnd
1-Aug-83    162.04        Dip
22-Jun-83    170.99        ATH
6-Jan-83    145.27        NewATH
23-Nov-82    132.93        WorldEnd
16-Nov-82    135.42        Dip
09-Nov-82    143.02        ATH
3-Nov-82    142.87        NewATH
12-Aug-82    102.42        WorldEnd
22-Feb-82    111.59        Bear
24-Aug-81    125.50        Correction
8-Dec-80    130.61        Dip
28-Nov-80    140.52        ATH
12-Nov-80    134.59        NewATH
30-Oct-80    126.29        Dip
30-Oct-80    126.29        WorldEnd
15-Oct-80    133.70        ATH
6-Oct-80    131.73        NewATH
29-Sep-80    123.54        Dip
29-Sep-80    123.54        WorldEnd
22-Sep-80    130.40        ATH
17-Jul-80    121.44        NewATH
3-Oct-74    62.28        WorldEnd
5-Jul-74    83.66        Crash
27-Nov-73    95.70        Bear
27-Apr-73    107.23        Correction
7-Feb-73    113.66        Dip
11-Jan-73    120.24        ATH
1-Nov-72    112.67        NewATH
16-Oct-72    106.77        Dip
16-Oct-72    106.77        WorldEnd
14-Aug-72    112.55        ATH
6-Mar-72    108.77        NewATH
26-May-70    69.29        WorldEnd
14-May-70    75.44        Crash
29-Jan-70    85.69        Bear
19-Jun-69    97.24        Correction
6-Jan-69    102.47        Dip
29-Nov-68    108.37        ATH
24-Sep-68    102.59        NewATH
2-Aug-68    96.63        Dip
2-Aug-68    96.63        WorldEnd
11-Jul-68    102.39        ATH
29-Apr-68    97.97        NewATH
5-Mar-68    87.72        Correction
5-Mar-68    87.72        WorldEnd
1-Nov-67    92.71        Dip
25-Sep-67    97.59        ATH
31-Jul-67    94.75        NewATH
5-Jun-67    88.43        WorldEnd
31-May-67    89.08        Dip
08-May-67    94.58        ATH
4-May-67    94.32        NewATH
7-Oct-66    73.20        WorldEnd
29-Aug-66    74.53        Bear
16-May-66    84.41        Correction
2-Mar-66    89.15        Dip
09-Feb-66    94.06        ATH
27-Sep-65    90.65        NewATH
28-Jun-65    81.60        WorldEnd
9-Jun-65    85.04        Dip
13-May-65    90.27        ATH
17-Dec-63    74.74        NewATH
22-Nov-63    69.61        Dip
22-Nov-63    69.61        WorldEnd
28-Oct-63    74.48        ATH
3-Sep-63    72.66        NewATH
26-Jun-62    52.32        WorldEnd
28-May-62    55.50        Bear
30-Apr-62    65.24        Correction
10-Jan-62    68.96        Dip
12-Dec-61    72.64        ATH
1-Nov-61    68.73        NewATH
24-Apr-61    64.40        Dip
24-Apr-61    64.40        WorldEnd
17-Apr-61    68.68        ATH
27-Jan-61    61.24        NewATH
25-Oct-60    52.20        WorldEnd
4-Mar-60    54.57        Correction
9-Sep-59    57.29        Dip
03-Aug-59    60.71        ATH
24-Sep-58    49.78        NewATH
22-Oct-57    38.98        WorldEnd
21-Oct-57    39.15        Bear
21-Nov-56    44.67        Correction
30-Aug-56    46.94        Dip
03-Aug-56    49.64        ATH
16-Jul-56    49.14        NewATH
28-May-56    44.10        WorldEnd
15-May-56    46.37        Dip
20-Mar-56    48.87        ATH
9-Mar-56    46.70        NewATH
23-Jan-56    43.11        WorldEnd
19-Jan-56    43.72        Dip
14-Nov-55    46.41        ATH
14-Nov-55    46.41        NewATH
11-Oct-55    40.80        Correction
11-Oct-55    40.80        WorldEnd
26-Sep-55    42.61        Dip
23-Sep-55    45.63        ATH
12-Apr-55    37.66        NewATH
14-Mar-55    34.96        Dip
14-Mar-55    34.96        WorldEnd
04-Mar-55    37.52        ATH
4-Feb-55    36.96        NewATH
17-Jan-55    34.58        Dip
17-Jan-55    34.58        WorldEnd
03-Jan-55    36.75        ATH
11-Mar-54    26.69        NewATH
14-Sep-53    22.71        WorldEnd
9-Jun-53    23.60        Correction
31-Mar-53    25.29        Dip
05-Jan-53    26.66        ATH
28-Nov-52    25.66        NewATH
22-Oct-52    23.80        WorldEnd
15-Oct-52    24.06        Dip
08-Aug-52    25.55        ATH
25-Jun-52    24.66        NewATH
20-Feb-52    23.09        WorldEnd
19-Feb-52    23.36        Dip
22-Jan-52    24.66        ATH
3-Jan-52    23.88        NewATH
23-Nov-51    22.40        WorldEnd
7-Nov-51    22.49        Dip
15-Oct-51    23.85        ATH
2-Aug-51    22.82        NewATH
29-Jun-51    20.96        WorldEnd
18-May-51    21.51        Dip
03-May-51    22.81        ATH
28-Dec-50    20.38        NewATH
4-Dec-50    19.00        Dip
4-Dec-50    19.00        WorldEnd
24-Nov-50    20.32        ATH
22-Sep-50    19.44        NewATH
17-Jul-50    16.68        WorldEnd
29-Jun-50    17.44        Correction
26-Jun-50    18.11        Dip
12-Jun-50    19.40        ATH
3-Jan-50    16.66        Start

Jul

29

 One of the most loved presidents of India has died. He was a leader with zero haters in India. Here are a dozen favorite quotes of his:

"All birds find shelter during a rain. But eagles avoid rain by flying above the clouds. Problems are common, but attitude makes the difference."

"Only when you have the courage to lose sight of shore, can you discover the oceans."

"Do not wait for something big to happen. Start with whatever you have now."

"There is no greatness without simplicity, righteousness and truth."

"It is very easy to defeat someone, but it is very hard to win someone."

"A dream is not that which you see while sleeping, it is something that does not let you sleep."

"Suffering is the essence of success."

"Thinking is the capital, enterprise is the way, hard work is the solution."

"Sometimes it's better to fail a class and enjoy your friends, because when I look back now, marks never make me laugh, but memories do."

"Once your mind stretches to a new level it never goes back to its original dimension."

"A big shot is a little shot who keeps on shooting, so keep trying."

"Ask yourself: what will I be remembered for?

Jul

24

What sub-sectors are traditionally used to benefit from the elections campaigns, or will the campaign be fought on twitter and other social media?

Victor Niederhoffer writes: 

Tim Melvin is the expert on this. Any company that depends on government largesse will benefit as the idea that has world in its grip is that we are victims and the purpose of government is to take from the productive and give to the poor and foster smallness in humans, and strive for inequality so that none stand out as counterweights to the perks and emoluments and mistresses of the governs. 

Tim Melvin writes: 

Oddly enough today's column addressed this big government trade:

While macro stuff is not my strong point I feel like I can identify some segments of the world we live in that are more or less have to happen situations. Obviously small banks fit well into my long term view of the world. Smaller banks are going to have an increasingly difficult time keeping with regulatory and technology costs. The will find that it makes more sense to sell to a larger competitor rather than struggle to remain independent. This simple trend should makes us all a lot of money over the next decade.

The next powerful trend is one that I hate to see but the fact is that without a social and political revolution the Federal government will continue to play a larger role in the lives of its citizens. They are developing programs for medical care, social programs, energy policy and a host to other instructions and instructions that are going to require huge expenditures. A whole bunch of that money will find its way into the hands of consulting companies like Willdan Group (WLDN), Provident Service Group (PRSC), CACI International, FTI Consulting (FCN) and Ameresco (AMRC) that provide specialized consulting services to the various government agencies that will develop and oversee these programs.

And don't forget the print news and radio companies that will see a ton of advertising dollars from local elections–ahc, salm, SBSA–the hispanic vote will be HUGE and much $$$ will be spent there…TV station owners like GTN, MEG, SBGI–ssp owns both local tv stations and newspapers….

And many thanks. I was just sitting here wondering what in the fresh H*** to write about for tomorrow. Problem solved. I will post full column here when done if chair would like.

Ed Stewart writes: 

I think the same thing Tim talks about in banking is going to happen with brokerage firms, though a bit more stealthily. The second tier firms that are primarily marketing firms are going to give up on the technology side, much of the regulatory compliance side, etc, and become something more like introducing brokers. When this occurs most of them, or a great many of them, will consolidate under IBKR's global platform and then focus on sales and service. Apparently scottrade is the first, they have outsourced their options trading platform to IBKR - and the commission will be the exact same (supposedly) that IBKR's clients receive. They do this because ibkr will treat each brokerage relationship as 1 client, give them the volume discount, and then the other firm keeps the spread between the volume discount and what their individual clients are actually doing. Its a neat business model.

It will be invisible from a client perspective as the front-end will be customized or rebranded. One interesting small cap play on the hispanic market and possibly cycle is hemisphere TV, run by an experienced TV executive. I've looked into it just a bit, perhaps if i do more I will write a brief thing on it for the idea list.

IBKR is also starting to capture more fund business as smaller funds are kicked off the big platforms.

anonymous writes: 

I took a quick look at HMTV. It's an interesting company. But it seems to have a focus on niche markets within the hispanic community. I don't know how much appeal that may have to political campaign advisors. That's not to say it may not make for a great investment. My father invested in Perkin-Elmer in the 1960s because it launched a product that he thought would be great in the classroom. It flopped. Didn't matter, though. The company flourished because of its position as the leading supplier of electronic manufacturing equipment—a booming industry of the 1960s.

Jul

20

I found an interesting chart (normally I don't appreciate most of the stock market related charts as they cause illusion) on twitter, which was something refreshing.

Basically I am taking yesterday's close as 100 and marking current OHLC's in reference to it.

Below is $SPY modified candlestick chartChart for the last 20 days for a clear reading.

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Here is the $SPY daily modified candlestick chart since start of this year for a longer view.

I have to do bit further research over the weekend if this type of notation is of any use for new types of price pattern extractions.

Apr

15

I took the various sectoral indices trading more than 5 mil avg vol, with entry set at the close of tax day (15 Apr 2014 close in this year) and exit set to various 1/2/3/4/5/ trading days.

Top instruments for five day holding period, with win % > 80% , with data points >= 15 , avg expectation > 2%

Instrument    Exit    #    Wins    % Wins    Avg%    Avg Win %    Avg Loss %    Pay Off
QQQ              t+5    15    13           87        2.20        2.83             -1.85            1.53
XLU               t+5    15    13           87         2.01        2.47             -0.95            2.60

XLE                t+5    15    13           87         2.19        2.73            -1.28            2.14

Gary Phillips writes:

i must confess, i’d rather just guess
than be duped and fooled, by randomness
i rather think twice, than just roll the dice
these random studies, do not drive price

rather think like a fox, not be put in a box
as the markets are, a recursive paradox
if not arc sine laws, then ever-changing-cycles
if you are in denial, it can be almost suicidal

these damning effects, must be circumvented
but not with the invented, nor the misrepresented
not with tools that are myopic, or simply synoptic,
lest the retail hypnotic, not benefit the agnostic

a causal understanding, is certainly demanding
but in-or-out of sample, it sets the best example
there’s so much more, than just trade and win
like adding to profits, when others are cashing in

immune to the tout, trading without any doubt
entering trades, where others are stopped-out
not stepping out-on-the ledge, with an illusory edge
there’s no need to hedge, this is my solemn pledge

Kora Reddy responds:

whether it was working by fluke or not… a reminder at today's close!

Mar

6

There were only 9 instances instances in this millennium when $SPY posted 10 day worst loss for 3/4 trading days:

like

10-Apr-12
06-May-11
05-May-11
12-Apr-11
24-Sep-10
23-Sep-10
24-Sep-09
18-Apr-05
15-Apr-05

Mar

6

 In honor of #WorldBookDay, here are my 10 must reads from a blog I wrote long ago.

‎#10. Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris

"Trading and Exchanges demystifies the complex world of trading. It is a must for anyone interested in investing in the public markets" –Maria Bartiromo, CNBC News Anchor

"My goodness, if only I had known this, or hadn't let it happen to me!" or, "never again, the b##tards!" - Victor Niederhoffer

‎#9. The Art of War by Sun Tzu

The classical Chinese War Manual written 2500 years ago that is a must read at every Military Academy in the world still! Why do we need to understand war? Begin to think in the context of the markets, should I take this trade, should I not the type of conflict present in everyday trading life. ‎

#8. Statistics Without Tears: A Primer for Non-Mathematicians by Derek Rowntree

This primer without any of the mathematical formula and equations uses words and diagrams to help readers understand what statistics is and how think statistically. ‎

 #7. Twenty-Eight Years in Wall Street by Henry Clews

Author Henry Clews was a giant figure in finance during the late nineteenth century, and his firsthand account brings this colorful era to life like never before. This abridged version of an investment classic touches on a wide range of important financial issues, including:

-The causes and consequences of Wall Street panics

-The influence of Wall Street on national politics

-How individuals made their fortunes

-The characteristics of winning and losing speculators

–How operators attempted to corner the markets for individual stocks ‎

#6 Investment Fables: Exposing the Myths of "Can't Miss" Investment Strategies by Aswath Damodaran

A no-nonsense book by Professor Aswath Damodaran in which he debunks many myths, and he shoots at all styles: value, growth. No investing style is spared. This is a very accessible overview of finance research on most major investing strategies/or themes. The book introduces each chapter with a short story and then builds the case around each investing theme. The bottom line is that there is no investing "silver bullet" – which is probably intuitive, but often neglected in the search for a magical investing potion.

 #5 Triumph of the Optimists: 101 Years of Global Investment Returns by Elroy Dimson, Paul Marsh and Mike Staunton

There's plenty of reasons every day to assume the world is going to end. The media is constantly speculating about immediate financial collapse, the forthcoming mother of all recession, hyperinflation, debtflation, imminent stock market crash, pandemics, terrorism, etc… You might also find specialist #permabear, gloom & doom blog sites dedicated to each such topics "Triumph of the Optimists," is must read which shows the success of the equity markets over the past century. By far the most important investment book in years…It is the best and most complete source of data yet available…If you spend an hour with it and don't learn anything worth the price then you're truly lousy at learning about markets…Right now, buying this book makes more sense than buying stocks. (Ken Fisher Bloomberg Money )

"This will become the definitive empirical basis for analysis of the world's capital markets over the twentieth century. It is an important work of scholarship; no one else has calculated the equity premium of a large number of countries over the long term. In doing so, the book contributes to the very lively debate on the magnitude of the equity premium and will make a splash."

–William Goetzmann, Yale University

‎#4 Day Trading With Short Term Price Patterns and Opening Range Breakout by Toby Crabel

One of its great strengths in this book is that it is an attempt to statistically test the efficacy of price patterns. Instead of merely asserting that a chart formation is bullish or bearish, Crabel actively searches for evidence. With his empirical approach, you will be filled with 'Wow!' and 'Unbelievable!' with startling regularity over the course of reading the book. Test, test, test. Test everything you can. A person who doesn't test will lose money. Data is available for almost anything you can imagine.

#3 The Education of a Speculator by Victor Niederhoffer

"with an original mind and an eclectic approach, Victor Niederhoffer takes the reader from Brighton Beach to Wall Street, visiting all stops of interest along the way. What emerges is a book full of insights, useful to the professional and layman alike" – Palindrome Victor Niederhoffer gives us page after page of distilled investment wisdom. Taken together, this is pure nectar to those who aim for consistently superior stock market performance." -Barron's ‎

 #2 Secrets of Professional Turf Betting by Robert L. Bacon

It is best book on professional speculation around! While reading, just replace the words 'race' 'racing' with stock markets. What is a 'race', a day of trading? How rare is the man that understands mass psychology and how to "copper" the public. The horses are the companies. The day's trading session is the race. Different issues maneuver for position. The trainers at the racetrack are like the corporate executives, receiving prizes for winning and fees for getting their horses in shape. The bookies are the brokers. And the punters in the stands… they're like us… the guys who pay all the fees and commissions. "People who know the facts of life have called racing "the poor man's opportunity". An opportunity, because it is always possible for a poor man, or a man who has failed at every other profession or business, to get started at race betting with mere "peanuts". It is always possible for him to go on and "run it up" into a sizeable fortune. Any race any day any track can lay the foundation of betting success! It is possible for any man (or woman) who has the required even temperament for turf operations to "get off to the races" with small capital. Perhaps with capital as small as a day's pay! THAT IS TO SAY, IT IS POSSIBLE….." [from the book of chapter one, page one , & first one and half paragraph] ‎

#1 Introduction to Objectivist Epistemology by Ayn Rand

from Doc Brett Steenbarger's blog:

Introduction to Objectivist Epistemology is an attempt to explain how the human mind is able to grasp reality. (Epistemology is the philosophy of knowledge). Central to Rand's account is the role of concept formation. "The ability to regard entities as units is man's distinctive method of cognition," Rand wrote (p. 7). This ability opens the door to both mathematical and conceptual reasoning. Rand defines a concept as "a mental integration of two or more units which are isolated according to a specific characteristic(s) and united by a specific definition" (p. 11). The formation of concepts requires abstraction–isolating certain attributes from others–but also integration: combining concretes into a larger category. When we form the concept of a "trend", we are isolating certain aspects of price and volume and integrating these on the basis of a definition. Through ever-widening efforts at abstraction and integration, we expand our conceptual universe and extend our grasp of the world. Ayn Rand understood that philosophy is the most practical of disciplines. Without a solid epistemological foundation, what assurance do we have that we're trading anything other than randomness?

p.s: I'm really sorry if you have found me to be disrespectful for not including books from such minor deities like Edward and Maggie, John Murphy, Ben Graham, Peter Lynch, boy plunger a.k.a Jesse Lauriston Livermore so on & so forth.

Feb

16

 The Triumphal Trio Times 2015 is out. Writing an one line summary is always difficult, but anyway…

1 USD in 1900 in US market is worth 38K as of today, but if invested in tobacco stocks it's worth 6.2 mil and some change of 80K!

anonymous writes: 

Roughly 80% of overestimate has been reduced. In the new data, the past is locked in. Inflation adjustments are to blame for people not realizing just how well off they are and are a constant source or "eat the rich" and "we're no better off" myth that has permeated through all corners of society. Real returns are much better, and explains much of the wealth shock, and real wages are much better too. I'll stop there before I go off on a huge rant.

Jan

26

What are the alternatives to stocks in a deflationary environment?

1. playbook of scenario of Japan since 1990 : )

2. Year book 2012 by Prof. Dimson/ Marsh/ Staunton (or fondly called the optimist trio) has a thorough investigation of historical deflationary events

Or here is a one line summary from Year book 2012:

During marked deflation (in the chart, rates of deflation more extreme than –3.5%), equities gave a real return of 11.2%, dramatically underperforming the real return on bonds of 20.2%

from a sample of 19 countries and 112 year = 2128

Jan

22

The RSP (equal-weighted) S&P index ETF is well-known. Less known is the RYE (equal-weighted energy sector ETF). It has only existed since about 2006.

Equal-weighted ETF's give a larger weighting to smaller-capitalization stocks and, to the extent that individual stocks approach zero, they engage in the Rocky pastime of "scaling down to oblivion". That is, If cap weighted indices "ride the trend," equal-weighted indices sell the winners and add to the losers on each rebalancing.

Might anyone have some insights about whether such a practice is inherently superior or inferior over time? And especially for a (distressed) sector index?

Kora Reddy writes: 

But the academic literature suggest otherwise: "equal-weighting is a contrarian strategy that exploits the "reversal" in stock prices" (see this pic).

Except in Australia, equi-weighted outperformed the cap-weighted in major countries.

Gordon Haave writes:

I wrote about this 6-7 years ago when the first Wisdom Tree stuff came out and they were talking about how equal weighted was superior to cap weighted and showed the back-tested numbers. All they were really saying is that "over time small caps beat large caps" which isn't exactly news.

To call a equal weighted index and "index" is itself misleading. A cap weighted index is "the market" or some approximation thereof. Theoretically every single market player could go passive and be in it. You can't do that with an equal weighted index (or at least not without distorting prices).

As to your idea of how they have to double down on the loses that is somewhat limited by the fact that once the name falls out of the index it is dropped.

Larry Williams comments: 

Along that line Our work shows it is better to invest equal dollar amounts vs equal share amounts

Gibbons Burke adds: 

I know a fund which used to invest 90% of client stake in SPX via SPY.  A couple of years ago they switched to 10% equal dollar investment in each of the nine sector select spdr ETFs, with the intent of rebalancing to equal dollar allocation annually. They found, in testing, the strategy provided an average of 200 bps of boost each year over the cap-weighted all-SPY investment.

anonymous writes: 

Regarding a depressed sector, is there any truth to the adage: "Buy the stock that has gone down the least, and also the one that has gone down the most". The strong stock will come back smartly and the oversold weak stock will come up from being smashed on a higher percentage then the middle of the pack.

So if this is true you could design your own basket of strong stock leaders in the depressed sector mixed with oversold beaten down stocks that pass a screening survival test.

Erich Eppelbaum adds: 

Theoretically speaking, re-balancing a portfolio by using the winnings to buy more of the losers is at the heart of the only portfolio selection methodology that I know of that mathematically guarantees to asymptotically outperform the best stock included in the portfolio (See Thomas Cover's Universal Portfolio seminal 1991 paper): pdf link.

I don't know if in real life the portfolios resulting from this methodology are inferior or superior over time to those created by rebalancing based on allocating more to the winners (such as a market cap weighted portfolio); I would assume that any result would depend heavily on the rebalancing costs and slippage (the liquidity of big vs small stocks matter, especially when trying to push size), and I would assume that the slippage incurred in a market cap weighted portfolio would be less than that incurred in a equal weight portfolio (less small company shares to buy/sell).

In reference to a previous post, another thing to consider is that perhaps there are many effects at play other than the small-cap "more-risk-more-reward" effect. For example, a sell-the-winners-buy-the-losers methodology could be profiting partly by say the volatility harvesting effect described by Claude Shannon.

This brings up another question: The volatility harvesting effect becomes greater as the volatility of the portfolio's underlying stocks increases. In the stock market, volatility usually increases when the market falls. Could this mean that an equal weighted/rebalanced portfolio would outperform a market cap weighted portfolio during bad times? and would the opposite be true during good times? Would be interesting to test… 

Jan

16

One wonders what the effect on sp of intel earnings report is statistically. vic

Kora Reddy replies:

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Dec

29

No 4consec downdays for #SPX #2014in5words

What's your #2014in5words?

Nov

25

ICICIBANK ticker $IBN had announced a stock split effective date on Indian exchanges. Just to let the folks who are interested in the stock splits and momentum and Indian markets and Indian Banks know that the recent state run bank SBIN had run of ~ 15 % in a month from the announcement of the records date (of course the overall banking index in India had run of 9%).

Nov

19

 How many times does one read about this market or the other entering a "bear market". And how many unfortunates liquidate without impunity based on the terrible words hastening themselves to their underplus.

Anatoly Veltman comments: 

This sure is true about selling into profound weakness, like a straight drop of 10% or 20% or 30% or whatever %. But selling into a straight three-fold five-year rise may be justified. Every price will be seen twice (?). 

Kora Reddy comments: 

Every price will be seen twice (?) -> ain't it applicable only for upside prices in S&P 500 Index, not for the downside prices and/or Japan…

For example, since 1980, on closing basis, the S&P 500 index had hit 599 All Time High's (ATH) out of 8798 trading days. Of those 599 ATHs, 25 ATH closes (including the three readings in this month) were never revisited. The previous ATH breakout, so far, and that was never seen again was on 17th Oct 2013 $SPX close of 1733.15 below the ATH closings that were never seen again… 

Date             SPX    Future Lowest Close
7-Nov-14    2031.92    2038.25
6-Nov-14    2031.21    2031.92
5-Nov-14    2023.57    2031.21
17-Oct-13    1733.15    1741.89
29-Jan-96    624.22    626.65
15-Nov-95    593.96    596.85
12-Sep-95    576.51    576.72
11-Sep-95    573.91    576.51
8-Sep-95    572.68    573.91
7-Sep-95    570.29    572.68
6-Sep-95    570.17    570.29
5-Sep-95    569.17    570.17
16-Jun-95    539.83    542.43
15-Jun-95    537.12    539.83
14-Jun-95    536.47    537.12
13-Jun-95    536.05    536.47
2-May-95    514.86    519.19
27-Apr-95    513.55    514.26
13-Mar-95    490.05    491.88
10-Mar-95    489.57    490.05
24-Nov-92    427.59    429.05
13-Feb-86    217.4    219.76
7-Feb-86    214.56    215.92
22-Jan-85    175.48    176.53
21-Jan-85    175.23    175.48

Bold were just some big rounds. Apart from that, nothing special about them.

Nov

12

 Lately in the news they like to say that "the market will not stop falling until the last optimist, the last bull, goes belly up". Abelson said that that continuously in his columns for about 50 years. (I don't have the 25,000 columns of his I had to read before writing that he had never been bullish once during the 50 years of his columns before proving that the gist of what I said was true). No one except me would say that the market will not stop its incessant 70,000 fold gain from 1890 until the last short selling fund and chronic bears cries uncle.

Vince Fulco writes:

The canary in the coal mine will be when Elliott Wave folks shutter the shop.

Fred Rickey writes: 

50 years of articulate skepticism is worthy of respect! Given the trail of blood from exuberant or reckless bulls exiting the arena of which he wrote, there is a cautionary value to such skepticism. For goodness sakes, the man is dead! 

anonymous writes: 

Actually, given the guest columnists and mechanical nature of the columns, if started to wonder, towards the end, if he had become a nom de plume for the editorial board. 

Kora Reddy writes: 

My observation:

My blog posts with all sorts of title headings get about 600 page views. The ones with bullish headings get a slightly lower amount of views, around 550. The ones with bearish headings average around 750 or so. I guess Alan Abelson was a smart man (in his defense) to figure this out a long long way's back, and give the readers what they want to read.

Oct

30

Enter at Tuesday's close 5 days prior to the election (if midterm election's day was a holiday, as it was from 1950 to 1962, then the prior Monday close)

Exit: various exits after 1, 2, 3, 4, 5, 10, 20 days

Oct

21

Diwali also known as Deepavali and the "festival of lights" is an ancient Hindu festival celebrated in autumn every year. In spite of Diwali being a holiday, the Indian markets are opened for an hour, which is called Mahurat trading.

Barring the currency hedging issues and dividends and or fisher effect's on the actual futures…

Below are the returns of CNX Nifty Index, the day before Diwali's close (as Nifty has a tendency give additional 50 bps on that 1 hour trading day) and exit set to close the end of the year.

Oct

16

Average Max DD : -13.79
Median Max DD : -10.59
Worst Max DD : -48.76
Best Max DD : -2.53

from 1950 to 2013:

Year    Start    EOY    MAX    MIN    MAX-DD    Year Returns%
2014    1848.36    ??    2011.36    1741.89    -7.40    ??
2013    1426.19    1848.36    1848.36    1426.19    -5.76    29.60
2012    1257.6    1426.19    1465.77    1257.6    -9.94    13.41
2011    1257.64    1257.6    1363.61    1099.23    -19.39    0.00
2010    1115.1    1257.64    1259.78    1022.58    -15.99    12.78
2009    903.25    1115.1    1127.78    676.53    -27.62    23.45
2008    1468.36    903.25    1468.36    752.44    -48.76    -38.49
2007    1418.3    1468.36    1565.15    1374.12    -10.09    3.53
2006    1248.29    1418.3    1427.09    1223.69    -7.70    13.62
2005    1211.92    1248.29    1272.74    1137.5    -7.17    3.00
2004    1111.92    1211.92    1213.55    1063.23    -8.16    8.99
2003    879.82    1111.92    1111.92    800.73    -14.05    26.38
2002    1148.08    879.82    1172.51    776.76    -33.75    -23.37
2001    1320.28    1148.08    1373.73    965.8    -29.70    -13.04
2000    1469.25    1320.28    1527.46    1264.74    -17.20    -10.14
1999    1229.23    1469.25    1469.25    1212.19    -12.08    19.53
1998    970.43    1229.23    1241.81    927.69    -19.34    26.67
1997    740.74    970.43    983.79    737.65    -10.80    31.01
1996    615.93    740.74    757.03    598.48    -7.64    20.26
1995    459.27    615.93    621.69    459.27    -2.53    34.11
1994    466.45    459.27    482    438.92    -8.94    -1.54
1993    435.71    466.45    470.94    429.05    -4.99    7.06
1992    417.09    435.71    441.28    394.5    -6.24    4.46
1991    330.22    417.09    417.09    311.49    -5.67    26.31
1990    353.4    330.22    368.95    295.46    -19.92    -6.56
1989    277.72    353.4    359.8    277.72    -7.56    27.25
1988    247.08    277.72    283.66    242.63    -7.64    12.40
1987    242.17    247.08    336.77    223.92    -33.51    2.03
1986    211.28    242.17    254    203.49    -9.42    14.62
1985    167.24    211.28    212.02    163.68    -7.66    26.33
1984    164.93    167.24    170.41    147.82    -12.68    1.40
1983    140.64    164.93    172.65    139.97    -6.91    17.27
1982    122.55    140.64    143.02    102.42    -16.43    14.76
1981    135.76    122.55    138.12    112.77    -18.35    -9.73
1980    107.94    135.76    140.52    98.22    -17.07    25.77
1979    96.11    107.94    111.27    96.11    -10.25    12.31
1978    95.1    96.11    106.99    86.9    -13.55    1.06
1977    107.46    95.1    107.46    90.71    -15.59    -11.50
1976    90.19    107.46    107.83    90.19    -8.37    19.15
1975    68.56    90.19    95.61    68.56    -14.14    31.55
1974    97.55    68.56    99.8    62.28    -37.60    -29.72
1973    118.05    97.55    120.24    92.16    -23.35    -17.37
1972    102.09    118.05    119.12    102.09    -5.14    15.63
1971    92.15    102.09    104.77    90.16    -13.94    10.79
1970    92.06    92.15    93.46    69.29    -25.86    0.10
1969    103.86    92.06    106.16    89.2    -15.98    -11.36
1968    96.47    103.86    108.37    87.72    -9.31    7.66
1967    80.33    96.47    97.59    80.33    -6.61    20.09
1966    92.43    80.33    94.06    73.2    -22.18    -13.09
1965    84.75    92.43    92.63    81.6    -9.60    9.06
1964    75.02    84.75    86.28    75.02    -3.55    12.97
1963    63.1    75.02    75.02    63.1    -6.54    18.89
1962    71.55    63.1    71.55    52.32    -26.88    -11.81
1961    58.11    71.55    72.64    58.11    -6.23    23.13
1960    59.89    58.11    60.39    52.2    -13.56    -2.97
1959    55.21    59.89    60.71    53.58    -9.17    8.48
1958    39.99    55.21    55.21    39.99    -4.36    38.06
1957    46.67    39.99    49.13    38.98    -20.66    -14.31
1956    45.48    46.67    49.64    43.11    -10.60    2.62
1955    35.98    45.48    46.41    34.58    -10.59    26.40
1954    24.81    35.98    35.98    24.8    -4.42    45.02
1953    26.57    24.81    26.66    22.71    -14.82    -6.62
1952    23.77    26.57    26.59    23.09    -6.85    11.78
1951    20.43    23.77    23.85    20.43    -8.11    16.35
1950    16.66    20.43    20.43    16.66    -14.02    22.63

Max DD is calculated not from max to min , but from equity peak calculated from the start of the year (set at 100). A good example would be to look at 2009 equity curve. 

Jul

16

I was doing some study on small caps ($IWM ETF) on sequences of 20 day low closings and 20 day high closings.

If a current close is a 20 day low coming after a 20 day high closing, calling it as the 1st 20 day low closing (marked as 1, under #), and if another 20 day low closing is printed, then call it as a second 20 day low (marked as 2 under #) after a 20 day is already printed, and so on. The sequence is counted till a new 20 day high is printed.

Currently we printed a 3rd 20 day closing as on yesterday on $IWM.

It looks like about 46% of the total (of 319) 20 day low closings continue further, if they don't stop by the 4th 20 day low closing print, before printing a 20 day high closing print

% not stopped column indicates how many further 20 day low close prints of the total (319), continued further

data since 2001

# Instances  % Not Stopped

1    50    84.33

2    47    69.59
3    39    57.37
4    34    46.71
5    28    37.93
6    22    31.03
7    17    25.71
8    15    21.00
9    13    16.93
10    12    13.17
11    10    10.03
12    8    7.52
13    5    5.96
14    3    5.02
15    2    4.39
16    2    3.76
17    2    3.13
18    2    2.51
19    2    1.88
20    2    1.25
21    2    0.63
22    1    0.31
23    1    0.00
 

Jun

23

Was Friday's range (June 20th), the lowest ever intra-day range % ( as in (high-low)*100/avg(high,low), since Jan 9th 1995? (including the x-mas holiday season).

Steve Ellison writes: 

I find the 10 lowest true ranges in the S&P 500 emini contract in the last 2 1/2 years to have been (on a close-to-close basis):

                       True
       Date        Range
  12/30/2013    5.00
   8/17/2012    6.00
    8/5/2013     6.25
  11/27/2013    6.25
   3/16/2012    6.50
   5/13/2014    6.50
   3/12/2012    6.75
   1/23/2013    6.75
   12/9/2013    6.75
  12/27/2013    6.75

Thursday's 8.25-point range is tied for 28th place, and Friday's 8.50-point range is tied for 35th place.
 

Jun

11

As we completed 110 trading days on Jun 10th 2014, we had 19 ATH readings. Below is a study with the details of rest of year returns from 110th trading day's close to last trading day close of the year, data since 1950, on $SPX

1) ROY %, when there is no single ATH reading as on 110th day

n    31
wins    20
% win    65%
avg (%)    3.15
med    6.04
max    29.04
min    -33.67
avg win    11.13
avg loss    -11.35
t-test    1.28

2)  ROY %, when there is at least a single ATH reading as on 110th day

n    33
wins    27
% win    82%
avg (%)    5.43
med    6.07
max    27.82
min    -16.89
avg win    8.59
avg loss    -8.77
t-test    3.62

3)  ROY %, when there are 10 ++ ATH readings as on 110th day

n    21
wins    20
% win    95%
avg (%)    8.73
med    9.93
max    27.82
min    -16.89
avg win    10.02
avg loss    -16.89
t-test    5.00

Birthday drinks are on me if you had guessed that -16.89% was the worst and the one and only loss is in the year 1987.

Jun

8

The VIX index is almost nearing the top 1-centile value of 10.66 (since 1990, when the data is available). Funnily VIX cash index (VXX only can achieve ~ 60% move of VIX cash index, if one gets it right, since 2009) points to an explosion to the upside, while $SPY is not doing an inverse move of that magnitude, and is non predictable… since the 1990s.

Below are non-interleaving-30 calendar day period 12 instances when VIX closes with in 101% of the top 1 centile known value at that date with a look back till 1990.

And here is $SPY for corresponding dates … apart from 16th February 2007 nothing significant seen on $SPY.

Jun

1

The much awaited Apple Worldwide Developers Conference starts today 02 June 2014.

Performance of AAPL during past WWDC:

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May

20

 The term "pro business" is dangerous, and is often the first step towards some combination of crony capitalism, state subsidies to large businesses, and eventually naked fascism. If it means reducing business regulations and red tape in general, I'm all for it.

Someone like Modi is certainly a great improvement compared to the typical Indian flexion who is more from the government "class" vs. business "class", as he himself is a former businessman. On the other hand, when your claim to fame is bending over backwards to provide some conglomerate with enough incentives to build locally you are likely at the very least to start a subsidy race to the bottom, and eventually increase inequality, both in power and income, to the point where socialism will again seem like the obvious solution. As I firmly believe that what he should do is enforce property rights and reduce all manner of subsidies and welfare to individuals, local governments, and corporations only time will tell how well this will play out on the national level. In the medium term, just cutting through the red tape, reducing wasteful spending, and setting some abstract "pro-business" tone may be enough to start an overall economic growth spurt, which is why the Indian stock market responded.

Rick Perry is a crony capitalist by nature, but he just "incentivized" the Toyota headquarters to move to Texas for California, and he is certainly better for unemployment than the power elite in the latter state. But it may all still end very poorly in the long run.

Kora Reddy writes: 

For the Indian elections there is hope of a stable government with further development a theme this year (a toilet at every home is one of the Modi's fabricated promises this year). Take it with a pinch of salt, all my biased qualitative comments against the right wing party who won (I supported the national congress/non right wing party equivalent/ branded as dynasty politics in India/losing party, but the USA has no problem, when it might be Bush vs. Clinton in 2016 ) …

Anyway the S&P 500 index 3 months prior to election date, (Tuesday after the first Monday in November) since 1950:

#  16
% wins       56%
avg 0.39
med        2.34
avg win    4.61
avg loss   -5.02
max loss    -21.99
stdevp   6.78
t-test     0.23

vs any 62 trading days period

# 16134
% wins    65%
avg 2.09
med 2.37
avg win    6.13
avg loss   -5.42
max loss  -40.60
stdevp      8.91
t-test     29.83

It is bearish (as in it under-performs, slightly by 20 basis points minus that 2008 out-liar) in the USA.

Below are the moves 3 months prior to elections till election date:

Election    SPX    t-3mth    SPX    chg %
06-Nov-12    1428.39    08-Aug-12    1402.22    1.87
04-Nov-08    1005.75    06-Aug-08    1289.19    -21.99
02-Nov-04    1130.56    04-Aug-04    1098.63    2.91
07-Nov-00    1431.87    09-Aug-00    1472.87    -2.78
05-Nov-96    714.14    07-Aug-96    664.16    7.53
03-Nov-92    419.92    05-Aug-92    422.19    -0.54
08-Nov-88    275.15    10-Aug-88    261.9    5.06
06-Nov-84    170.41    08-Aug-84    161.75    5.35
04-Nov-80    129.04    06-Aug-80    121.55    6.16
02-Nov-76    103.1    04-Aug-76    104.43    -1.27
07-Nov-72    113.98    09-Aug-72    110.86    2.81
05-Nov-68    103.1    06-Aug-68    97.25    6.02
03-Nov-64    85.18    05-Aug-64    82.09    3.76
08-Nov-60    55.11    10-Aug-60    56.07    -1.71
06-Nov-56    47.6    08-Aug-56    49.36    -3.57
04-Nov-52    24.6    06-Aug-52    25.44    -3.30

perhaps different election manifesto's for different parts of the world ?? 

Mar

3

There have been at least 5 instances in the post WWII era in which Russia has invaded another country: Hungary, Poland, Czechoslovakia, Afghanistan, and Georgia. Are there any analyses on what happened to the S&P the day following the start of the invasion, the week following, the month following, and the year following?

Kora Reddy writes:

War                                         Start      First Market Open Date     t       t+1    t+5    t+10    t+20
Hungarian Revolution                23-Oct-56    23-Oct-56                -0.24    -0.41    0.54    2.15    -3.14
Invasion of Czechoslovakia        01-Sep-61    01-Sep-61                0.18    -0.34    -1.33    -1.44    -2.08
War of Attrition                         20-Aug-68    20-Aug-68               -0.04    -0.26    -0.22    2.26    3.67
Eritrean War of Independence    01-Jul-67    03-Jul-67                       0.3    0.49    1.73    2.85    4.91
Ethio-Somali War                       13-Jul-77    13-Jul-77                    0.14    0.59     2.01    -0.8    -1.44

Soviet War in Afghanistan         24-Dec-79    24-Dec-79                   0.07    0.11    -1.76    1.29    5.37
East Prigorodny Conflict            30-Oct-92    30-Oct-92                    -0.52    0.97    -0.26    0.9    3.03
Civil War in Tajikistan               05-May-92    05-May-92                  -0.02    -0.01    -0.13    -0.11    -0.54
Georgian Civil War                    22-Dec-91    23-Dec-91                    2.53    0.63    5.11    5.36    5.37
First Chechen War                    11-Dec-94    12-Dec-94                     0.56    0.15    1.88    2.89    2.71
War of Dagestan                       02-Aug-99    02-Aug-99                   -0.05    -0.44    -2.28    0.2    -0.3
Second Chechen War                 26-Aug-99    26-Aug-99                   -1.43    -1.01    -3.15    -0.76    -6.22
Russo-Georgian War                  07-Aug-08    07-Aug-08                   -1.79    2.39    2.12    0.92    -1.88
North Caucasus Insurgency        16-Apr-09    16-Apr-09                      1.55    0.5    -1.55    0.87    3.21

                                                                                              avg    0.09    0.24    0.19    1.18    0.91

                                                                                         median    0.03    0.13    -0.18    0.91    1.21
                                                                                                std    1.03    0.79    2.13    1.75    3.48
                                                                                             t-test    0.32    1.14    0.34    2.54    0.97
                                                                                               max    2.53    2.39    5.11    5.36    5.37
                                                                                               min    -1.79    -1.01    -3.15    -1.44    -6.22

for MICEX, the historical data goes back only till 1997.

War                                            Date               t        t+1    t+5    t+10    t+20

War of Dagestan                      02-Aug-99      -0.43    -1.81    -13.57    -6.56    -9.12

Second Chechen War               26-Aug-99       -3.94    -3.55    -3.65    -4.65    -21.49

Russo-Georgian War                07-Aug-08         1.61    -5.25    0.69    -2.81    -10.66

North Caucasus Insurgency     16-Apr-09          1.23    1.72       1.2      0.35     10.44

                                                         avg    -0.38    -2.22    -3.83    -3.42    -7.71
                                                     median    0.40    -2.68    -1.48    -3.73    -9.89
                                                         max    1.61       1.72    1.20    0.35    10.44
                                                         min    -3.94    -5.25    -13.57  -6.56    -21.49 

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