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Nick Ray's Latest Blogs

If you have read any of Taleb's books you will be aware that stock returns have "fat tails" and that there are "black swan" events which make investing much more dangerous than simple models would suggest. Talk of "black swans" seems to suggest that these unlikely events are very rare, but in fact lesser "dark grey" swans are occurring all the time. In this post…

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

It's not even certain that lithium will reign for long as the best battery technology. Sodium could take over in solid state batteries, or maybe graphene supercapacitors will make the breakthrough, or even some of the old favourites zinc, manganese, iron, etc could make a comeback in a completely different formulation. (Although actually lithium is about as abundant as zinc so that need not be…

Wrt Fishing Republic (LON:FISH) I have to feel a tiny bit sorry for the deposed CEO Steve Gross. He's a keen fisherman who has been selling fishing tackle since he was 13 and built up the business. And now, about two years after floating it he is gone, (replaced by people who understand business rather than fishing tackle I suspect.)

HerbieI agree. The formula I personally use is (u-r)/s (where u=mean return, s=volatility, r=minimum acceptable return). So it is the ratio of return to volatility which really matters. The screen I linked has a rule which requires u/s > 3.5 which is the closest you can get to this with the Stocko screener.Nick

Ken When they say volatility ranks "Highest (0) to Lowest (100)" they mean that if you use the "Rank in market"/"Rank in Sector"/etc feature this is the way round that the ranking works. (makes sense because low volatility is "better" than high volatility.) If you just use the actual values then of course you just quote the value you are interested in and whether you…

Yes. In the screener it is called "1y Volatility %".

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