May 27, 2017

Institutional Ownership

  Institutional ownership is something that is often associated with hedge funds, mutual funds, and pension funds. So what is it exactly? Well, simply put institutional ownership is the ownership stake in a company that is held by large financial organizations. Institutions generally acquire large chunks of a company’s outstanding shares and can apply considerable influence on its management. In this article, we will take a look at the performance of companies with large institutional ownership against the performance of companies with low institutional ownership, and also the performance of a particular hedge fund and their institutional ownership in a company.  

  Let’s start with the large institutional ownership.…

March 5, 2017

Correlation Between Earnings and Close

Plotting the distance

Having not read anything written on Seeking Alpha in some time, it was nice to see Chuck Carnevale’s articles again using strong fundamentals and taking a look at the big picture of investing rather than the short term trading that takes place today. In the specific article that I was reading I saw that he was using (insert name of program here) to plot the stock price and that company’s earnings to compare. It got me thinking, can I do this in Equities Lab, and better yet, can I take it a step further.

Let’s make $SIRI our example company, let’s go ahead and plot the earnings.…

July 25, 2016

What’s Going on with Earnings and Stock Prices?

I was reading yet another Seeking Alpha article (by Eric Parnell) commenting on the earnings recession, and decided to see what the data says about earnings recessions.  So I pop into Equities Lab and see how earnings have looked since 2014.


Well!  If I believe that chart, earnings are so smooth, they don’t need predicting.  They just go down!  Let’s zoom out, and see if that’s just the face of new American business.


Nope.  Earnings go up, and they go down.  Ax explanation of the lines is in order:  The brown line is the S&P 500.  The green line is the performance of an essentially mindless strategy that buys all companies (equally weighted) that have a market capitalization over one billion dollars.  …

August 8, 2014

Matthais Parcha BUS483 Research Report

I'm happy to say that we're encouraging university classrooms to use Equities Lab in their classwork.  Here's an example of some of the work that has resulted.  Notice how well the long/short strategy does…  It's been reprinted, unedited, other than some (partial) attempts to format what used to be a Word Document for WordPress.

 

GOIZUETA BUSINESS SCHOOL

Final Project

Applied Investment Management (BUS 483)      

Spring 2014, Professor Busse

Mathias Prucha

4/24/2014

Rationale for Approach

General Goals

The overall main goal was to create steady, positive returns while avoiding large draw downs and a high standard deviation. The ideal market neutral strategy would generate a high positive alpha combined with a beta close to zero, indicating there is very little exposure to the market.…

August 6, 2014

Where have all the small caps gone?

It certainly feels like all the small cap stocks have had a terrible time of it.  Since the beginning of the year, the Russell 2000 Index fund (IWM) has gone down 3.5%.  The S&P 500 Index fund (SPY) has gone up 4% in the same period.What's going on here?  Is it due to some particular stock or set of stocks in the S&P 500 or in the small cap universe that are acting oddly?  If it were a particular set of stocks, then equal weighting the S&P 500 and picking a basket of small cap stock should kill the effect.  We plot the S&P equal weight (similar to RSP, but rebalancing weekly), along with smallcap(here 100M to 1B), and midcap(1B to 5B), and the picture doesn't change much (notice the clustering).…