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Uncategorized | The Quant Monitor
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Observing Financial Markets and Investment Methodologies. October, what a month! Last Friday was the 25th anniversary of the stock market crash on Black Monday, October 19, 1987. That event still stands as the most extreme negative event in the stock market going back to the 1950s. Exhibit 1 is a histogram showing the frequency of daily S&P 500 price changes in terms of standard deviations […]. Index Performance Summary–December 2011. The Bigger Picture: S&P 500 Rolling 10-Year Annual Returns. Exhibit 1 ...
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ETFs | The Quant Monitor
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Observing Financial Markets and Investment Methodologies. Here’s a look at how key ETFs have done recently. Major themes: 1. Technology has held up a bit better than the general market. On a relative basis, the QQQQs have fared better than the general market (as represented by SPY), although they are both in negative territory for the last month. 2. Value has […]. One of These Things is Not Like the Others. What a Difference a Day Makes. October, what a month! Index Performance Summary–December 2011.
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Correlation of US Equity Market with Global Regions | The Quant Monitor
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Observing Financial Markets and Investment Methodologies. Correlation of US Equity Market with Global Regions. Middot; Thursday, January 12th, 2012. Click on image to enlarge.). Several things stand out:. 2 Japan, Russia, and India have tended to be the least correlated markets over the last ten years, with China not far behind. 3 Those looking for diversification outside US equity markets have very few choices among relatively developed markets these days. Japan and India are currently the markets l...
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A Tale of Two Fund Managers, Part 1 | The Quant Monitor
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Observing Financial Markets and Investment Methodologies. A Tale of Two Fund Managers, Part 1. Middot; Tuesday, June 24th, 2008. There’s been a lot of chatter lately about various mutual funds primarily because of their celebrity managers and recent performance (or lack, thereof). On his blog, Humble Student of the Markets. Heebner’s fund is supposedly a growth fund. Is this really true? Has this been true over time? Shows just how ugly it has been for LMVTX in the 21st Century:. Miller went from being a...
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financial | The Quant Monitor
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Observing Financial Markets and Investment Methodologies. What’s the Big Deal With Short Selling? On July 15th, the SEC issued an emergency order limiting “naked” short selling of 19 selected financial stocks. The rule went into effect on July 21st, and was initially intended to last for two weeks — with a possible extension of up to 30 days. On July 29th, the SEC extended the rule until August […]. The Quant Monitor focuses on quantitative financial analysis and opinion. Learn more ».
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naked | The Quant Monitor
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Observing Financial Markets and Investment Methodologies. What’s the Big Deal With Short Selling? On July 15th, the SEC issued an emergency order limiting “naked” short selling of 19 selected financial stocks. The rule went into effect on July 21st, and was initially intended to last for two weeks — with a possible extension of up to 30 days. On July 29th, the SEC extended the rule until August […]. The Quant Monitor focuses on quantitative financial analysis and opinion. Learn more ».
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admin | The Quant Monitor
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Observing Financial Markets and Investment Methodologies. October, what a month! Last Friday was the 25th anniversary of the stock market crash on Black Monday, October 19, 1987. That event still stands as the most extreme negative event in the stock market going back to the 1950s. Exhibit 1 is a histogram showing the frequency of daily S&P 500 price changes in terms of standard deviations […]. Index Performance Summary–December 2011. The Bigger Picture: S&P 500 Rolling 10-Year Annual Returns. Exhibit 1 ...
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Index Performance Summary–December 2011 | The Quant Monitor
http://www.quantmonitor.com/index-performance-summarydecember-2011
Observing Financial Markets and Investment Methodologies. Index Performance Summary–December 2011. Middot; Tuesday, January 17th, 2012. The longer-term picture, however, shows that emerging markets still rule the roost with average annual price returns of 11.2% over the last 10 years despite 2011 losses. Emerging markets performance has fallen in the last two years, but not too far out of line with most of the developed markets. Mail (will not be published) (required). Laquo; October, what a month!
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The Bigger Picture: S&P 500 Rolling 10-Year Annual Returns | The Quant Monitor
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Observing Financial Markets and Investment Methodologies. The Bigger Picture: S&P 500 Rolling 10-Year Annual Returns. Middot; Friday, January 13th, 2012. Exhibit 1 also shows the importance of dividends. Although the S&P 500 yield is near it’s all-time low, in the current environment it supplies the lion’s share of total return. By Kolya on January 13th, 2012 at 15:12. By William Masciarelli on January 14th, 2012 at 19:05. 8220;Adjusted for Inflation”. By admin on January 15th, 2012 at 10:48. About ten y...
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Market Thoughts | The Quant Monitor
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Observing Financial Markets and Investment Methodologies. What’s the Big Deal With Short Selling? On July 15th, the SEC issued an emergency order limiting “naked” short selling of 19 selected financial stocks. The rule went into effect on July 21st, and was initially intended to last for two weeks — with a possible extension of up to 30 days. On July 29th, the SEC extended the rule until August […]. Black Swans and Pictures. In Search of Black Swans: A Statistical Look at S&P 500 Weekly Returns. The tagl...
