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PCA (Principal Component Analysis) is a statistical technique that can be used to identify the main factors (components) which account for the variance between a set of observations. It has been applied to human personality traits to establish the five factor model and it has been applied to political leanings where we find there is really only a single big axis (left-right) with other components…

If you wanted to put a trailing stop under your stocks to allow them room to be volatile but to get you out before real trouble appears, where would you put it?  For many people -20% seems to be a 'safe' choice. It is away from the day-to-day noise and by the time you are -20% down it feels as if any further would start…

This website provides a very useful summary of a stock's performance in terms of three numbers: the Quality rank, Value rank and Momentum rank. However my testing suggests that the Value rank needs to be treated with caution. These plots show LR (Likelihood Ratio) against rank. Values of LR greater than 1 indicate a probability greater than 0.5 that the stock will have a positive…



Nick Ray's Latest Comments

Goodness me. Look at all those delayed trades which came out of the woodwork at close of play. Mere mortals don't stand a chance as a trader. All those "OK" "sells" are actually hidden buys. But really, why give yourself grief with a complicated situation like this if you are not already in?

I think you are right that this is a trader's share at the moment. My guess fwiw is that they will push it down to 100p and then it will take off briefly for a quick profit. However, just in case anyone treats this as a tip I'll just say that I won't be backing my own guess here!

However, the shift from Balanced to Speculative RiskRating indicates a greater level of volatility may now be likely. This suggests that Revolution’s future progress may be less predictable than it has been so far.It is interesting to note that on the basis of effectively a single sample (the -40% drop on Friday) the volatility has gone from below average in the stock univers ("Balanced") to…

My test for whether a strategy is good these days is to ask whether it still works if everyone does it. These are "smart beta"-like strategies and very stable.So clearly buying good quality companies at a reasonable price meets that test, whereas trying to sell just before everyone else doesn't, for example.The "smart beta" way to handle market volatility is to rebalance, both within the…

Thanks Gus. That is actually very useful. I wanted to look at it using a log scale because I have a feeling that the current growth is really historically not that exceptional, but I've never been able to find anywhere that goes back this far with ASX.So anyway, fwiw, here it is with a log scale. It puts a slightly different feel on things to…

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