im establishing a new category called :HISTORY IN THE MAKING where ill publish events/trends that we will look back in future and say : well it started in 07 or 05. Please send me your tips, ill publish them all.
February 28, 2007
how to extract info and retrieve it from written text?? for later analysis
1/what leads to what type of thing 2/ how to “store” building blocks of imporatnt events which are recorded only as a written text ( politics, press conference statements etc.)
im thinking about it a lot, but have no clue how. let me here your opinion on it!
Big down days ….by Brett Steenbarger
Such an occurrence is rare. I went back to 1990 (N = 4304 trading days) and could only find 25 occasions of a single day drop of 3% or more in the cash S&P 500 Index. What’s even more rare is to have such a decline in the context of a bull market. How many times in the last 17+ years have we seen a 3+% decline in a market that had been up over the prior 20 and 60 days? It’s only occurred three times out of all those trading days.
But shifts happen. And that, my friends, is why money management and risk control are all important. If you double your money, double it again, and then double it again, only to lose 90% in the next debacle, you wind up down 20% on your initial capital, needing a 25% gain just to return to where you were at the start.
So what happens after big down days? Let’s start with the 25 occasions in which we’ve dropped 3% or more in a single day. At just about every time frame from one to twenty days out, returns following such a large single-day drop are quite bullish. One day later, the S&P averaged a gain of .47% (17 up, 8 down), much stronger than the average single day gain for the rest of the sample of .03% (2256 up, 2023 down). Twenty days later, the S&P was up by an average of a whopping 4.47% (20 up, 5 down), again much stronger than the average 20-day gain of .73% for the remainder of the sample (2641 up, 1638 down). In all, large down days have tended to represent buying opportunities since 1990.
Those findings may be a bit deceptive, however, because–of those 25 large down days–15 occurred in the context of a market that had *already fallen* 3% or more over the past 20 sessions. In other words, large down days have tended to occur toward the end of market downmoves–as a kind of washout. We don’t typically see large down days following intermediate term strength, as noted above.
I relaxed my criteria a bit and found six occasions in which the market had not been down more than 2% on a 20 and 60 day basis prior to the large down day. All six occasions were up the next day, and all were up over the following 20 sessions. Indeed, the average gain over the next 20 trading days was an impressive 3.89%.
14th consecutive quaters of earnings growth
Records were made to be broken. Barring a big surprise, the earnings generated by S&P 500 companies increased by more than 10 per cent in the last quarter of last year. That would be the 14th consecutive quarter of such growth, beating the previous postwar record of 13 consecutive quarters. Should this record carry an asterisk?
With 440 S&P companies now having reported, Thomson Financial puts the average growth rate at 11.2 per cent. So the streak will almost certainly continue.
Now for the asterisks. Earnings growth, which has far outstripped economic growth, owes something to tax breaks enacted in 2001 and 2003 in a bid to see off a recession. Companies were allowed to accelerate depreciation, in a move that reduced their tax liability, but also reduced their apparent profits. This produced an artificially low base from which the current profit expansion could start. Research by Albert Edwards at Dresdner Kleinwort in London shows that “underlying” or economic profits, excluding such factors, have grown much more slowly.
Further, he points out that the S&P would not have recorded its earnings streak without the financial sector, buoyed by the huge volumes of trading in Wall Street. Earnings as a share of gross domestic product for the non-financial companies are still far off their all-time highs. Include financials and the share of GDP taken by profits is nudging a postwar record. So the S&P may not be on steroids, but its streak deserves an asterisk.
A further problem lies in expected future earnings. The consensus expectation is that earnings for the whole of 2007 will be up only 6.6 per cent (against hopes of a 10.7 per cent rise in the middle of last year).
http://www.ft.com/cms/s/aa369d08-c608-11db-b460-000b5df10621.html
US generates record year for wind turbines
http://www.ft.com/cms/s/940b59ba-c608-11db-b460-000b5df10621.html
Last year was a record for the US wind energy industry. More wind turbines were installed in the US than any other country, bringing its total wind generating capacity to 11,600MW, according to the American Wind Energy Association.
Despite the high growth rates, however, wind accounts for less than 1 per cent of the US’s overallelectricity generation
FORMULA ONE: Decision-making software
http://www.ft.com/cms/s/911beaa2-c587-11db-9fae-000b5df10621.html
What distinguishes SmithBayes Playmaker software from other decision support systems is its heritage. It was conceived and nurtured in the high-speed world of Formula One racing.
First property swap….pick up the phone to sell a retail store in London
Property swap in Hong Kong could be first of many
By Joanna Chung
Published: February 28 2007 02:00 | Last updated: February 28 2007 02:00
Hong Kong has long attracted attention in the global property world due to the volatility of its real estate prices. Now, however, it has shot into the spotlight for another reason – property derivatives.
Yesterday ABN Amro bank and Sun Hung Kai Financial announced that they had traded a property swap based on Hong Kong’s residential market, marking the first such transaction ever to be done in Asia.
With the ink now dry on the Hong Kong deal, bankers are predicting that a similar deal could take place in Australia in the next three months, followed by another transaction in Singapore in the next six months, and transactions in Japan and Korea towards the end of the year.
That means that in a few months’ time an investor may potentially be able to “buy” an office in Sydney, “sell” a retail store in London and “buy” a residential property in Hong Kong by placing just one phone call, bankers say.
If so, this will mark a striking turnround for a sector that some bankers believe could soon be an exciting new frontier for financial innovation, not just in Hong Kong but around the world.
Until a couple of years ago, property derivatives existed only in theory. But in recent months the sector has started to grow rapidly: in the UK, which barely had a market two years ago, there have been more than 300 deals worth in total close to £5bn, according to figures from Investment Property Databank, the research firm. A number of transactions have been completed in the US and continental Europe, and bankers expect this to grow.
The inaugural transaction in Asia, at less than HK$100m ($13m), is small by global standards. But it comes amid growing appetite among cash-rich investors for new ways to invest in some of the world’s fastest growing property sectors – that can also be alternatives to property stocks or real estate investment trusts, for example.
“Property is one of the hottest games in town and the potential for growth of property derivatives in Hong Kong is huge,” says Philip Ljubic, a director of property derivatives at ABN Amro, which completed yesterday’s transaction with Sun Hung Kai Financial.
In the Hong Kong transaction, traded as a one-year “price return swap,” ABN Amro – the buyer of the derivative – gains exposure to the city’s housing market by receiving the annual change in the HKU-HRPI, an index measuring the price of Hong Kong Island residential property. This index is one of the subsets of a series developed by the University of Hong Kong partly for this specific transaction.
Sun Hung Kai Financial – the seller of the derivative – receives a previously agreed basis point spread over HIBOR, the local risk-free lending rate.
People involved in the deal declined to reveal this spread.
The All Hong Kong Residential Price Index, a weighted average of the three sub indices including the HKU-HRPI, is offered at 650 basis points over HIBOR or roughly 10.5 per cent.
Property derivatives are popular because they, in effect, allow investors to take a view or speculate on a particular property sector without actually having to own the bricks and mortar.
“Another big advantage is time,” says Mr Ljubic. “A physical transaction can take weeks while a property derivative, once liquidityis established, could take minutes.”
Joseph Tong, chief executive officer for wealth management, capital markets and brokerage at Sun Hung Kai Financial, says: “Hong Kong has a very active property market and people get used to new financial instruments quickly. We expect there is going to be a sizeable growth potential for this product.”
But there are challenges ahead. One of the reasons why the market has been slow to take off in some countries is that underlying data needs to be of a cast-iron calibre – as is the case in the UK.
It took about nine months to build the Hong index series while it took roughly 14 months to bring a Hong Kong property derivative transaction to market.
Stephen Moore, head of property derivatives at GFI Colliers, the inter-dealer broker for the Hong Kong transaction, says his firm is working with the National University of Singapore to create residential indices for Singapore’s housing market, and this week, residential indices were launched for Australia. Commercial indices for Australia are expected in the next six weeks.
He says: “The main issue with developing these products in the Asia-Pacific region, is that there are very few countries that have an adequate amount of transparency to develop credible and robust indices on which to trade..Without [a proper index], however, you cannot build a derivatives market.”
Copyright The Financial Times Limited 2007
February 27, 2007
Mr.G ..how sweet
From AP/Accounting.smartpros.com: Former U.S. Federal Reserve Chairman Alan Greenspan warned Monday that the American economy might slip into recession by year’s end. He said the U.S. economy has been expanding since 2001 and that there are signs the current economic cycle is coming to an end.”When you get this far away from a recession invariably forces build up for the next recession, and indeed we are beginning to see that sign,” Greenspan said via satellite link to a business conference in Hong Kong. “For example in the U.S., profit margins … have begun to stabilize, which is an early sign we are in the later stages of a cycle.”
“While, yes, it is possible we can get a recession in the latter months of 2007, most forecasters are not making that judgment and indeed are projecting forward into 2008 … with some slowdown,” he said. Greenspan said that while it would be “very precarious” to try to forecast that far into the future, he could not rule out the possibility of a recession late this year
Another replicant
State Street Global Advisors (SSgA) said most of the returns for the hedge fund sector can be explained by their asset allocation, meaning it is possible to assemble a synthetic investment strategy to mimic hedge fund sector returns.
Paul Brakke, a senior managing director at SSgA and head of global structured products, said, “If you put all the hedge fund managers together all the esoteric [investment] mixes start to cancel each other out.” This means you are left with just the collection of risk premia measures, he said.
Echoing that the barrier to creating an indexed hedge fund strategy has always been defining and constructing an appropriate index, Brakke said this is why the SSgA strategy is not an index at all, rather it’s a synthetic replication of the investment styles that make up hedge funds.
By using benchmarks from Hedge Fund Research, a hedge fund research group that monitors more than 6,000 hedge funds globally, Brakke said investment style analysis they applied to these figures found asset allocation and style explained 85 per cent of the return outcomes.
“I was shocked the explanatory power was so high,” he said.
Brakke is in Australia explaining his concept to pension funds. He said while its only early in the life cycle of the new SSgA concept, its already creating “positive reaction because it demystifies this asset class called hedge funds.”
Brakke said, “It has every feature of a hedge fund but in a good way. You can just look in your portfolio and see what you have,” he said.
The strategy also reinforces Brakke’s belief that often “hedge funds trade behind beta bets.” Why should I pay my manager fee just for beta, he said.
