Jan

5

Private Jets, from Jim Sogi

January 5, 2010 |

Counted 58 jets over Christmas/New Year Week. Empty spaces. More small jets. This is thinner than prior years. It's still impressive to see a billion of hard assets parked there all shiny. The corporate guys probably can't use the company jets to fly their kids anymore. Some great custom paint jobs on the private jets.

Great waves over the week. The seasonals on waves are remarkably consistent with large global forces at play. No reason why markets should be any different.

There is really no such thing as randomness, only ignorance of real causes. The ancients attributed it to dieties.

William Weaver comments:

Kamstra, Kramer and Levi find in their 2003 paper "Winter Blues: A SAD Stock Market Cycle" that stock returns are significantly related to season. Their study examined equity performance during the six months between fall equinox (SEP 21) and spring equinox (MAR 21) for the northern hemisphere and the opposite for the southern hemisphere. Overall, stock markets underperformed in the seasonal summer and outperformed in the winter. As an example, the authors cite the returns of a portfolio invested 50% Sydney, Australia and 50% Stockholm, Sweden. From 1982 to 2001 the portfolio earned 13.1% annually. If the portfolio was rotated following darkness (SEP-MAR = Stockholm; MAR-SEP = Sydney) the portfolio returned 21.1% annually. Following the light (opposite above) the portfolio returned 5.2% annually. — Paraphrased from Inside the Investors Brain, Peterson

I ran the numbers through present and found significance using a sample of two means. The recent returns are less impressive; L/S is possible to create long term AR.

Also, are we able to understand all confounding variables given our position within the system? I'm going to open a bucket shop on the moon. No inter-sphere communication, just observation. The shop will be open to moon people with no connection to Earth.

Phil McDonnell replies:

Unless I totally misunderstand the point of the paper it shows that the strongest return in the US comes in Jan following a sharp rise from Oct through Dec. The weakest monthly return is Sep, which neither corresponds to maximum sun nor minimum sun. Apparently the claimed effect is that minimum sun causes us to buy stocks. This is not what I would expect if SAD is the true cause.

Also the claimed effect of a ten parameter regression explains only 1.1% of the variance in both US and Sweden. That does not give one much of an edge for ten parameters.

Henry Gifford writes:

Persons who have attributed aspects of human behavior to DNA/evolutionary related causes have noted that after 9 months in a relationship women ask for a longer term commitment, and then either receive it or move on.

William Weaver writes:

In the past four years I've ended four relationships in October or early November and started a new one in December or early January with the exception of one year where I started a relationship in June. Might this be influenced by weather/seasons or other variables that could influence behavior and thus financial market volatility?


Comments

Name

Email

Website

Speak your mind

2 Comments so far

  1. john Donaldson on January 5, 2010 6:12 pm

    Hi Jim

    What airport were you counting at ? I was in Vail but heard the number of private jets in Aspen was more than last year

    best

    john

  2. Nick Pribus on January 6, 2010 7:54 am

    The thoughts in the writing are as random as the waves and while interesting I still wanted to know; where? Predicting future asset prices is the same as predicting where those jets are, gleaning what you can from the available information, take your best shot:
    1. Waves
    2. Over Christmas
    3. Thinner
    4. Corporate guys can’t fly the kids anymore
    Were those jets stacked in Hawaii?
    Wouldn’t it be nice if the market just gave you the answer and you didn’t have to guess? But then, if it was easy anyone could do it and it would be harder to make a living for people like us.

Archives

Resources & Links

Search