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Nick Ray's Latest Blogs

Since the beginning of the week share price quotes for the smaller UK stocks seem to be completely unreliable. Google Finance and Yahoo Finance do not see any trades at all intra-day for some stocks although Yahoo do seem to be working for close-of-day again. Sites like Moneyam and ADVFN seem to have spent the week firefighting to get some kind of support re-established. But…

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

In these kinds of areas it tends to turn into a numbers game. So each big player has a huge number of patents and if you try to challenge them the response is effectively "if you sue us we'll find a patent in our portfolio that you infringe". As a result your best protection against being sued is to have a decent sized portfolio of…

Hotel Chocolat (LON:HOTC) and a clear move below the 200-day moving average, as you can see above (the green line) can be a trigger for him to sell. Just a quick fix: I think you mean "red line" in the remarks quoted above. (40wks = 200 days)

FWIW you can see how the Quality score is made up by clicking on the quality score for a stock from its portfolio listing (but not from its stock page for some strange reason). Or you can sneak a look by directly entering a URL to get at the info although I'm sure that method is not guaranteed to continue to work and you don't…

You are quite right that you cannot conclude anything from a single worked example. There's quite a large body of work theoretically and empirically about the use of volatility in weighting portfolios for those interested in searching out more evidence for and against.You definitely need to compute volatility over reasonably long periods, certainly at least a year, to apply these techniques to NAPS-like portfolios. Stocks…

If you fancy experimenting with equal-risk weightings, you can estimate a risk-parity weighting fairly crudely from the data that Stockopedia currently provides. Basically you want to weight based on 1/(1y Volatility %). So for the new SNAPS 2017 portfolio you would get weights like this (where weight=0.05 is the equal weight point): stockvolatility1/volatilityweightMGNS31.20.03210.047WIZZ35.30.02830.0416HVN35.30.02830.0416GAW28.30.03530.0518BMY22.30.04480.0658PSN35.30.02830.0416MGR410.02440.0358MCL42.20.02370.0348LSL33.50.02990.0438CEY48.10.02080.0305IGR41.10.02430.0357SYNT27.80.0360.0528MCLS330.03030.0445MCB30.50.03280.0481FIF26.40.03790.0556VTC22.20.0450.0661CCC25.10.03980.0585SSE21.10.04740.0695GSK19.90.05030.0737UDG23.90.04180.0614Does it work? Well, I tried it out on the NAPS 2017 stocks…

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