Stocks Breaking Out In a Quiet Market

Here's a quick review of names that are moving in a market that seems to be recovering from a couple bouts of conspicuous price action.

GO LONG

On the long side, a few names are notable because of strength relative to their overall sector's weakness - especially in technology and healthcare (as I've documented to death on this blog).

Cisco Systems - CSCO

Intuitive Surgical - ISRG

Goodyear Tire & Rubber - GT

United Airlines - UAL

BREAKING DOWN

On the short side, price actions are far more congruous.

Incyte - INCY

Celgene - CELG

Biogen - BIIB

Ecolab - ECL

Comments

Modeling Credit Risk...

Here's a link to a presentation I gave back in August on modeling credit risk. If anyone would like a copy of the slides, go ahead and drop me a line... https://www.gotostage.com/channel/39b3bd2dd467480a8200e7468c765143/recording/37684fe4e655449f9b473ec796241567/watch Timeline of the presentation: Presentation Begins: 0:58:00 Logistic Regression: 1:02:00 Recent Trends in Probabilities of Default: 1:10:20 Machine Learning: 1:15:00 Merton Structural Model: 1:19:30 Stochastic Asset Simulation Model: 1:27:30 T-Year Merton Model:

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"The 'radical' of one century is the 'conservative' of the next." -Mark Twain In this series, I'm going to explore some of the advances in portfolio management, construction, and modeling since the advent of Harry Markowitz's Nobel Prize winning Modern Portfolio Theory (MPT) in 1952. MPT's mean-variance optimization approach shaped theoretical asset allocation models for decades after its introduction. However, the theory failed to become an accepted industry practice, so we'll explore why that is and what advances have developed in recent years to address the shortcomings of the original model. The Problems with Markowitz For the purpose of illustrating the benefits of diversification in a simple two-asset portfolio, Markowitz's model was a useful tool in producing optimal weights at each level of assumed risk to create efficient portfolios. However, in reality, investment portfolios are complex and composed of large numbers of holdin

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A quick note on the recent market rally here of late. It's plain to see the markets have been on a tear for the month of June (and going back into May for the QQQ) as the SPY closed today at its highest level in almost fourteen months. If we start to look at the historical levels, however, it appears the SPY may be overbought in the short-run and susceptible to a mean-reverting pattern. Here's the daily chart of the SPY as of today's (6/15/23) close... When looking at the distance between the closing price and the 50-day moving average (illustrated by the yellow bar), we're noticing a large gap... this can be measured by a statistic I developed which I casually refer to as "variance"... or the distance between current prices and their respective moving averages. Historically, throughout the life of the SPY (which debuted in January of '93), the variance over the 50-day moving average has peaked at a reading of 3.20... today's reading posts up at 2.49

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