Six-Sigma Events

Satire from n+1: Interview with a Hedge Fund Manager

n+1: What’s a “ten-sigma event”?

HFM: Meaning that it’s ten standard deviations from the mean… meaning it’s basically impossible, you know? But it’s kind of a joke, because returns are very fat-tailed, so the joke that we always say is, “Oh my God, today I had a loss that’s a six sigma event! I mean that’s the first time that’s happened in three months!” It’s like a one in ten-thousand-year event, and I haven’t had one in the last three months.

*itigroup

Erin Burnett slips in an opinion on Citigroup

UBS - Union Bank of Singapore

Heard this joke just yesterday, but has been on the web already here as of December.

Casualty Finance

AMBAC's share price lost 70 % of its value in two days. Here are the performance numbers for the last two calendar years (and 2008 has hardly started):

2008  -75.79 %
2007  -71.07 %

Here are the top specialists over a six months view (in alphabetical order):





New Century Financial Corp (delisted)


Mind you, some have seen their highs before. OK, because it is so much fun, here is a 12 month review:

Nassim Taleb TV Interview

Short interview of Nassim Nicholas Taleb, author of Fooled by Randomness as well as Black Swan:

WealthTrack 322 Part 2 | 11-30-07

Advance/Decline Ratio

STOCKscreener. i n f o shows now the Advance/Decline Ratio next to the market performance.

The A/D Ratio shows the relation between stocks that have increased in price against the ones which have decreased over the given time period and set of selected financial instruments.

Sometimes an index can be driven by price movements of just a few (maybe heavily weighted) stocks. The A/D Ratio gives you an idea how many stocks are "carrying" a certain market.

E.g. as of 2008-01-10 the Swiss Performance Index (SPI) is down only -3.1 % for the year. Thought the A/D Ratio looks much worse with: 42 / 182 = 0.23

BTW, the A/D Ratio for Japan for 2008 as of 2008-01-10 is as low as 0.11.

Special Charts

STOCKscreener.info has a new chart page.

What makes the charts on Stockscreener special?!

- go back in history
- permanent links

Normally financial sites offer you to go back a week, months, or some years, but mostly starting from today!
But that is not always what you want.
Sometimes you read up about some historical stock price movements or some example chart patterns in a book or blog.


It would be nice to go back and get a better, more detailed picture and see what has happened before and also scroll forward to see what has happened afterwards in history:


With Stockscreener you can do just that and freely select your start and end dates of interest. BTW, you can click on the image above for a larger version.


And next, like in this very blog post itself, wouldn't it be nice if you can easily reference and embed some chart sections into your web page or blog without having to copy paste an image from some web site, download it to your hard drive, do an upload to your web server, etc.?!

Now you can select the chart you are interested in on Stockscreener, including the size, and just copy paste the respective URL or section of HTML code. That's it. The image and its URL will stay permanent. Just click on any of the images here in this post to get to Stockscreener (or follow this chart link), scroll down and select the HTML code to embed the chart you need of any instrument and time frame you are interested in.

BTW, if you select a narrow date range, the charts will switch to HLOC bars:



Happy chart chatter!

Asian Investment Spree

One aspect of globalisation, the money is flowing back...

Bloomberg: Sovereign Funds Invest Where Buffett Won't: Michael R. Sesit

In the past two years, sovereign wealth funds and Chinese financial institutions invested at least $77.2 billion in Western banks and money managers. About $66.6 billion of that was placed in the last three quarters of 2007, accelerated by banks' needs for capital infusions after being battered by the subprime- mortgage crisis and related credit crunch.
...
Bottom line: ``Owning a big American bank is a bit like owning a big American automobile company, or a big American newspaper, or, for that matter, the U.S. dollar,'' Dalio said. ``For all of them, the memory of what it was carries a certain cache that tends to make it trade for more than its real value in the modern world.''

Perhaps the most telling evidence that sovereign funds may be buying pigs in a poke is billionaire Warren Buffett's rebuff to U.S. financial institutions seeking cash infusions. ``So far, we have not seen a deal that causes me to start salivating,'' the chairman of Omaha, Nebraska-based Berkshire Hathaway Inc. said in a Dec. 26 interview on CNBC. Of course, Buffett isn't averse to all banks. Berkshire Hathaway is the biggest shareholder in Wells Fargo & Co. and the second-largest in M&T Bank Corp.

Dollar Devaluation

Entry fee at the Taj Mahal in India used to be USD 5, nine years ago. Now it is up to USD 20 thanks to foreign exchange rate changes:).

Your Money’s No Good

World Indices 2007/8

Last year is just over and we can look back now how the world indices performed in 2007:

World Indices 2007

If you want to follow how the world indices develop on a year to date basis in 2008:

World Indices 2008

Of course, you can also follow the indices on a daily basis:

World Indices Last Close

Want more than 10 years?

World Indices Since 1998

Momentum at WWW.PVI.CH

Philipp Vontobel wrote about RSL (Relative Strength) on his Investment Blog at the end of 2006. I pointed him to the new Momentum feature at STOCKscreener. i n f o and he mentions it on his blog today.

His site is in German, has some attention for the Swiss stock market and has good explanations, e.g. of resistance levels. From time to time there are also some chart guessing games, which should be good practice.

Momentum / RSL (2008-01-02)

RSL / Relative Stärke (2006-12-17)

Buffett Partnership Letters

Warren Buffett: Letters to Partners

Those are not the Berkshire Hathaway shareholder letters but the older and a bit harder to get by letters from his prior investment partnership.

Momentum Stocks (RSL)

I got stimulated by the Swiss magazine Stocks, which has in each issue one page with a list of the best Swiss momentum stocks. They measure momentum by the RSL indicator. RSL stands for Relative Strengh by Levy.

It is easily calculated:

RSL = (last closing price / 15 month moving average) * 100

So e.g. if a stock's closing price is 20 % above its 15 month moving average, then its RSL value is 120.

Now you can see the list of Swiss momentum stocks updated daily on stockscreener.info. In addition, there is a momentum list for indices, the world, USA, the Euro zone, Great Britain, France, and Germany.