Journal of Technical Analysis - Market Technicians Association

More documents

Recommendations

Info

R = monthly return of portfolio i i,t R = monthly one-month T-Bill return rf,t R = monthly VW CRSP Index return m,t α = Jensen’s alpha for portfolio i i The Fama-French 3-factor model is as follows: Appendix (continued) Where the dependent variable (R i,t -R rf, t ) is the 12,1 portfolio return minus the one month Treasury Bill rate, R m,t -R rf,t , is the market factor (CRSP value-weighted index minus the one month Treasury Bill rate), SMB (small minus big) is the size factor, and HML (high minus low) is the book-to-market factor. The α i represents the 12,1 portfolio return in excess of the one-month Treasury Bill rate not explained by the risk factors in the model. Endnotes 1 Russell indexes Rank #1 as Institutional Benchmarks, http://www.russell.com/news/Press_Releases/PR20060629_US_p.asp 2 We would like to thank Jason Karceski for providing us with the constructed index data from January 1969 to December 1996 used in Chan, Karceski, and Lakonishok [2000]. 3 We analyzed holding multiple indexes simultaneously, but only single index portfolios are reported due to larger momentum and significance relative to multiple index holdings. 4 We evaluated all formation periods from -36 to -1 months and holding periods from +1 to +36 months. However, for brevity we only report months at common breakpoints. 5 We would like to thank Kenneth French for providing HML and SMB factor data on his website, http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ data_library.html References Arshanapalli, Bala G., Lorne N. Switzer, and Karim Panju. 2007. “Equity-Style Timing: A Multi-Style Rotation Model for the Russell Large-Cap and Small-Cap Growth and Value Style Indexes.” Journal of Asset Management, Vol. 8: 9–23 Barberis, Nicholas, Andrei Shleifer, and Robert Vishny. 1998. “A Model of Investor Sentiment.” Journal of Financial Economics, Vol. 49, No. 3 (September): 307–343 Chan, Louis K.C., Jason Karceski, and Josef Lakonishok. 2000. “New Paradigm or Same Old Hype in Equity Investing?” Financial Analysts Journal, Vol. 56, No. 4 (July/August): 23–36 Chen, Hsiu-Lang, and Werner De Bondt. 2004. “Style Momentum Within the S&P-500 Index.” Journal of Empirical Finance, Vol. 11, No. 4 (September): 483–507 Lewellen, Jonathan. 2002. “Momentum and Autocorrelation in Stock Returns.” The Review of Financial Studies, Vol. 15, No. 2, (Special Issue: Conference on Market Frictions and Behavioral Finance): 533–563 Swinkels, Laurens. 2004. “Momentum Investing: A Survey.” Journal of Asset Management, Vol. 5, No. 2: 120–143 About the Authors Stanley G. Eakins, Ph.D. has experience as a financial practitioner, serving as vice president and comptroller at the First National Bank of Fairbanks and as a commercial and real estate loan officer. A founder of Denali Title and Escrow Agency, a title insurance company in Fairbanks, Alaska, he also ran the operations side of a bank and was the chief finance officer for a multi-million dollar construction and development company. Samuel L. Tibbs, Ph.D. is an Assistant Professor of Finance at East Carolina University where he teaches investments and corporate finance. His personal interest in stock investing motivated him to earn his Ph.D. and CFA Charter. William DeShurko, CFP is the author of the personal finance book, The Naked Truth about Your Money, and has owned his own investment management firm since 1993. Jo u r n a l of Technical Analysis • 2008 • Issue 65 55
56 Benner’s Prophecies of Future Ups and Downs in Prices 1 Samuel Benner Panic Jo u r n a l of Technical Analysis • 2008 • Issue 65 7 Panics in the commercial and financial world have been compared to comets in the astronomical world. It has been said of comets that they have no regularity of movement, no cycles, and that their movements are beyond the domain of astronomical science to find out. However, the writer claims that Commercial Revulsions in this country, which are attended with financial panics, can be predicted with much certainty; and the prediction in this book, of a commercial revolution and financial crisis in 1891 is based upon the inevitable cycle which is ever true to the laws of trade, as affected and ruled by the operations of the laws of natural causes. The panic of 1873 was a commercial revolution; our paper money was not based upon specie, and banks only suspended currency payments for a time in this crisis. As it is not in the nature of things in succeeding cycles to operate in the same manner, the writer claims that the “signs of the times” indicate that the coming predicted disturbance in the business world will be not only an agricultural, manufacturing, mining, trading, and industrial revulsion, but also a financial catastrophe, producing a universal suspension of payments and bank closures. It is not necessary to give a detailed account of the effects of disorderly banking in our colonial and revolutionary history, and the different panics prior to the war of 1812, to establish cycles in commerce and finance. Such a history would fill many pages without answering the purpose of this book, and would be as intricate and difficult to understand as the prices of stocks and gold in Wall Street. 1 [Editor Note … Benner’s use of the word depression means bear market trend or economic contraction. The 1819 bank collapse from the cost of war, excess currency in circulation, and money moving out of the country is well defined. Benner’s economic forecast for a recession in 1891, though written in 1884, is only off a year. The true brilliance is Benner’s cyclical analysis work throughout this book. Benner’s book was first published in 1875 and is widely viewed as the first market analysis book written in North America. This excerpt begins on page 96 after a detailed study of high to low price cycles in Steel, Hogs, Corn, and Cotton. Long term cycle analysts of today’s markets will find Benner provides annual market data from 1821 in this book.]
Page 1 and 2:
® Professionals Managing Market Ri
Page 3 and 4:
2 Julie Dahlquist, Ph.D., CMT Unive
Page 5 and 6: 1. All submitted manuscripts must b
Page 7 and 8: 6 Roll of the Dice Let us compare t
Page 9 and 10: 8 Chart 1 Chart 2 displays an arrow
Page 11 and 12: 10 We have displayed the right tail
Page 13 and 14: 12 Technical Analysis Redefined Com
Page 15 and 16: 14 Appendix 3 All Signals Listed Jo
Page 17 and 18: 16 Appendix 5 Jo u r n a l of Techn
Page 19 and 20: 18 Acknowledgement All charts have
Page 21 and 22: 20 Chart 1 VPC = VWMA- SMA short-te
Page 23 and 24: 22 It’s important to note when us
Page 25 and 26: 24 is an uneven match. The VPCI use
Page 27 and 28: 26 Inferring Trading Strategies Fro
Page 29 and 30: 28 Because the turning points have
Page 31 and 32: 30 Annualized performance of the tr
Page 33 and 34: 32 Conclusions The PDF has been sho
Page 35 and 36: 34 About the Author John Ehlers is
Page 37 and 38: 36 Rotational Trading Rotational tr
Page 39 and 40: 38 Figure number two is a profit di
Page 41 and 42: 40 Figure 4 plots a weekly comparat
Page 43 and 44: 42 Ichimoku Kinko Hyo Véronique La
Page 45 and 46: 44 The position of the market relat
Page 47 and 48: 46 Finally, due to a much larger ti
Page 49 and 50: 48 Figure 11: Tk4, example on coppe
Page 51 and 52: 50 Using Style Momentum to Generate
Page 53 and 54: 52 Performance of 12,1 Style Index
Page 55: 54 Sharpe ratio is calculated as fo
Page 59 and 60: 58 2 [Ed. note… Giving Benner plu
Page 61 and 62: 60 2009 Charles H. Dow Award The co
show all

Journal of Technical Analysis - Market Technicians Association

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?