radvan nepoznas nake studie jaky faktor je volume akcie? logicky by mali mat low volume akcie lepsie performance jak high volume (sice ani ne lepsie, ale mal by tam byt vacsi priestor na nadvynos)... ale co tak narychlo pozeram to vychadza skorej opacne...
otazka je jak teda definovat te akcie ktore su idealne pre maleho investora...
microcap
low volume ?
+diverzifikovane portfolio
microcapy spravili za posledny rok hodne %, ale zase 2008 isli poriadne do kytek...
tak podme nak definitivne vylucit alebo potvrdit ci je toto cesta alebo neni. akcie do ktorych sa nezmesti ani gladis, ale zmestime sa my.
ak by sa dalo poskladat portfolio s nejakou primeranou volatilitou a prezit paku 1.5, s tym ze by sa to blizilo 15%, tak by to bol idealny sposob investovania (do akcii). ale niesom si tym velmi isty.
microcap (low volume?) akcie
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Re: microcap (low volume?) akcie
dalsi faktor je cena:
http://www.cxoadvisory.com/calendar-eff ... indicator/" onclick="window.open(this.href);return false;
http://www.cxoadvisory.com/calendar-eff ... indicator/" onclick="window.open(this.href);return false;
Re: microcap (low volume?) akcie
narychlo nake data co som vyhral zhruba z polky 2007 do dnes.
faktor Price (cena akcie - zoradene po deciloch, min $1, prvy stlpec priemerna vykonnost, druhy stlpec pocet prvkov, treti slpec hranicna cena)
-26.91% 361 56.75
-20.07% 361 42.07
-21.30% 361 33.76
-25.08% 361 27.8
-28.67% 361 22.3
-26.43% 361 17.47
-28.71% 361 13.32
-30.54% 361 9.2
-28.03% 361 5.17
-16.53% 361 1.01
=> az na ten spodok (akcie okolo $1, ktore mozu byt silno skreslene chybajucimi delistovanymi) to nema ziaden velky vplyv
faktor Average Volume (v milionoch)
-19.47% 361 2.2
-18.21% 361 1.02
-19.07% 361 0.65
-26.04% 361 0.49
-27.89% 361 0.4
-32.22% 361 0.3
-22.32% 361 0.22
-29.08% 361 0.16
-21.66% 361 0.09
-36.24% 361 0
faktor $ Average Volume (avg volume * cena, v $milionoch)
-21.94% 361 85.84
-21.88% 361 32.32
-17.40% 361 16.72
-22.66% 361 9.09
-22.65% 361 4.89
-24.87% 361 2.31
-26.93% 361 0.91
-28.45% 361 0.31
-32.26% 361 0.14
-33.18% 361 0
=> cim nizsie volume tym horsie performance, zrejme suvisi so size faktorom
faktor Size (marketcap v tom 2007, v milionoch)
-21.94% 361 8651.69
-21.21% 361 3211.87
-18.58% 361 1666.58
-20.20% 361 1013.74
-22.04% 361 608.96
-27.65% 361 375.8
-28.82% 361 232.76
-30.79% 361 127.25
-31.36% 361 62.23
-29.85% 361 4.36
=> large cap sa drzalo lepsie jak micro cap
cca. nic moc. hlavne ked som pozeral zoznam akcii co zatu dobu spravili x-nasobok, tak to bola velmi velka tragedia...
ale ak maju byt dlhodobo teto male akcie zajimave, mozno je prave idealny cas na nakup, kedze teraz stali zaprd...
faktor Price (cena akcie - zoradene po deciloch, min $1, prvy stlpec priemerna vykonnost, druhy stlpec pocet prvkov, treti slpec hranicna cena)
-26.91% 361 56.75
-20.07% 361 42.07
-21.30% 361 33.76
-25.08% 361 27.8
-28.67% 361 22.3
-26.43% 361 17.47
-28.71% 361 13.32
-30.54% 361 9.2
-28.03% 361 5.17
-16.53% 361 1.01
=> az na ten spodok (akcie okolo $1, ktore mozu byt silno skreslene chybajucimi delistovanymi) to nema ziaden velky vplyv
faktor Average Volume (v milionoch)
-19.47% 361 2.2
-18.21% 361 1.02
-19.07% 361 0.65
-26.04% 361 0.49
-27.89% 361 0.4
-32.22% 361 0.3
-22.32% 361 0.22
-29.08% 361 0.16
-21.66% 361 0.09
-36.24% 361 0
faktor $ Average Volume (avg volume * cena, v $milionoch)
-21.94% 361 85.84
-21.88% 361 32.32
-17.40% 361 16.72
-22.66% 361 9.09
-22.65% 361 4.89
-24.87% 361 2.31
-26.93% 361 0.91
-28.45% 361 0.31
-32.26% 361 0.14
-33.18% 361 0
=> cim nizsie volume tym horsie performance, zrejme suvisi so size faktorom
faktor Size (marketcap v tom 2007, v milionoch)
-21.94% 361 8651.69
-21.21% 361 3211.87
-18.58% 361 1666.58
-20.20% 361 1013.74
-22.04% 361 608.96
-27.65% 361 375.8
-28.82% 361 232.76
-30.79% 361 127.25
-31.36% 361 62.23
-29.85% 361 4.36
=> large cap sa drzalo lepsie jak micro cap
cca. nic moc. hlavne ked som pozeral zoznam akcii co zatu dobu spravili x-nasobok, tak to bola velmi velka tragedia...
ale ak maju byt dlhodobo teto male akcie zajimave, mozno je prave idealny cas na nakup, kedze teraz stali zaprd...
Re: microcap (low volume?) akcie
cez indexy to asi nepojde
http://www.forbes.com/2010/02/02/microc ... ferri.html" onclick="window.open(this.href);return false;
http://www.forbes.com/2010/02/02/microc ... ferri.html" onclick="window.open(this.href);return false;
What is the problem with micro-cap index funds and ETFs? The problem is that there are no true micro-cap index funds or ETFs. They don't exist. They can't exist because most micro-cap stocks are not investable.
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radvan
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Re: microcap (low volume?) akcie
si ma predbehol, presne ten odkaz o microcap indexoch som chcel postnut 
... indexmi to neide ...
... indexmi to neide ...http://www.Quantpedia.com - the leading quantitative trading research company
Re: microcap (low volume?) akcie
a ty si teda myslis ze tymito "neinvestovatelnymi" stockami cesta vede?radvan napísal:si ma predbehol, presne ten odkaz o microcap indexoch som chcel postnut
nemam ktomu bohuzial poriadne data...
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radvan
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Re: microcap (low volume?) akcie
Investment Manager Skill in Small-Cap Equities
http://papers.ssrn.com/sol3/papers.cfm? ... _id=785564" onclick="window.open(this.href);return false;
Asset Pricing and the Illiquidity Premium
http://papers.ssrn.com/sol3/papers.cfm? ... _id=774545" onclick="window.open(this.href);return false;
19th Century Test of the Size and Value Factors
http://www.cxoadvisory.com/size-effect/ ... e-factors/" onclick="window.open(this.href);return false;
The Frailty of the Size Effect?
http://www.cxoadvisory.com/size-effect/ ... ze-effect/" onclick="window.open(this.href);return false;
... je toho kopu ... to neni o tom, ze to je holy grail ... to je o tom, ze tam je nizsia konkurencia, takze vsetky value, momentum efekty funguju lepsie ... stockpicking funguje lepsie ... ale neni to ze si sadnem a nic nerobim ... to je o tom, ze nehras premier league ale tretiu ligu ...
http://papers.ssrn.com/sol3/papers.cfm? ... _id=785564" onclick="window.open(this.href);return false;
Asset Pricing and the Illiquidity Premium
http://papers.ssrn.com/sol3/papers.cfm? ... _id=774545" onclick="window.open(this.href);return false;
19th Century Test of the Size and Value Factors
http://www.cxoadvisory.com/size-effect/ ... e-factors/" onclick="window.open(this.href);return false;
The Frailty of the Size Effect?
http://www.cxoadvisory.com/size-effect/ ... ze-effect/" onclick="window.open(this.href);return false;
... je toho kopu ... to neni o tom, ze to je holy grail ... to je o tom, ze tam je nizsia konkurencia, takze vsetky value, momentum efekty funguju lepsie ... stockpicking funguje lepsie ... ale neni to ze si sadnem a nic nerobim ... to je o tom, ze nehras premier league ale tretiu ligu ...
http://www.Quantpedia.com - the leading quantitative trading research company
Re: microcap (low volume?) akcie
iste, najprv si musis vybrat ihrisko.. ihrisko largecap stoji zaprd. ihrisko pinkshit stoji zaprd. ihrisko diamanty stoji zaprd.radvan napísal:... je toho kopu ... to neni o tom, ze to je holy grail ... to je o tom, ze tam je nizsia konkurencia, takze vsetky value, momentum efekty funguju lepsie ... stockpicking funguje lepsie ... ale neni to ze si sadnem a nic nerobim ... to je o tom, ze nehras premier league ale tretiu ligu ...
ihrisko otc by tiez malo stat zaprd - mozno by honzajs mohol povedat jak sa mu dari.
ihrisko "neinvestovatelne" listovane akcie - by malo byt idealne. ale je? a je lepsie jak ihrisko znamky, vina, umenie, atd.?
Re: microcap (low volume?) akcie
to illiquidity premium sa mi tam niekde skryva.. toto su akcie pod $100 market cap, zoradene podla avg. volume/usd avg. volume
Volume
-15.65% 59 0.25
-30.48% 59 0.2
-33.44% 59 0.16
-26.30% 59 0.11
-27.64% 59 0.09
-35.54% 59 0.07
-31.50% 59 0.06
-20.12% 59 0.04
-25.10% 59 0.03
-44.99% 59 0
USD Volume
-27.17% 59 0.54
-14.75% 59 0.28
-25.89% 59 0.2
-37.63% 59 0.16
-29.51% 59 0.13
-38.66% 59 0.11
-33.02% 59 0.08
-29.65% 59 0.06
-13.10% 59 0.03
-41.39% 59 0
pod $500 market cap
Volume
-27.06% 165 0.5
-36.16% 165 0.38
-28.17% 165 0.29
-29.83% 165 0.22
-27.52% 165 0.18
-35.66% 165 0.15
-30.79% 165 0.11
-13.45% 165 0.09
-35.77% 165 0.05
-40.24% 165 0
USD Volume
-36.83% 165 3.67
-19.11% 165 2.04
-31.07% 165 1.27
-28.51% 165 0.75
-28.07% 165 0.41
-28.33% 165 0.28
-35.79% 165 0.2
-31.88% 165 0.13
-34.74% 165 0.07
-30.30% 165 0
tu je akorat trocha videt ten price factor, ale otazne je kolko vtom hraje rolu to ze tam chybaju delistovane akcie
Price
-34.93% 165 28.5
-34.41% 165 21.89
-39.50% 165 17.35
-32.31% 165 14.3
-31.60% 165 12.03
-31.29% 165 9.34
-36.40% 165 6.91
-31.57% 165 4.97
-18.58% 165 3.05
-14.14% 165 1.01
akcie <= $3 su natom podstatne lepsie jak zvysok...
Volume
-15.65% 59 0.25
-30.48% 59 0.2
-33.44% 59 0.16
-26.30% 59 0.11
-27.64% 59 0.09
-35.54% 59 0.07
-31.50% 59 0.06
-20.12% 59 0.04
-25.10% 59 0.03
-44.99% 59 0
USD Volume
-27.17% 59 0.54
-14.75% 59 0.28
-25.89% 59 0.2
-37.63% 59 0.16
-29.51% 59 0.13
-38.66% 59 0.11
-33.02% 59 0.08
-29.65% 59 0.06
-13.10% 59 0.03
-41.39% 59 0
pod $500 market cap
Volume
-27.06% 165 0.5
-36.16% 165 0.38
-28.17% 165 0.29
-29.83% 165 0.22
-27.52% 165 0.18
-35.66% 165 0.15
-30.79% 165 0.11
-13.45% 165 0.09
-35.77% 165 0.05
-40.24% 165 0
USD Volume
-36.83% 165 3.67
-19.11% 165 2.04
-31.07% 165 1.27
-28.51% 165 0.75
-28.07% 165 0.41
-28.33% 165 0.28
-35.79% 165 0.2
-31.88% 165 0.13
-34.74% 165 0.07
-30.30% 165 0
tu je akorat trocha videt ten price factor, ale otazne je kolko vtom hraje rolu to ze tam chybaju delistovane akcie
Price
-34.93% 165 28.5
-34.41% 165 21.89
-39.50% 165 17.35
-32.31% 165 14.3
-31.60% 165 12.03
-31.29% 165 9.34
-36.40% 165 6.91
-31.57% 165 4.97
-18.58% 165 3.05
-14.14% 165 1.01
akcie <= $3 su natom podstatne lepsie jak zvysok...
Re: microcap (low volume?) akcie
na porovnanie largecap+ (marketcap > $10bil)
Price
-29.37% 31 102.28
-33.91% 31 79.51
-23.65% 31 68.59
-22.54% 31 61.56
-16.75% 31 53.63
-18.71% 31 48.12
-11.54% 31 39.9
-24.58% 31 34.2
-22.27% 31 25.81
-9.39% 31 8.37
=> te co maju najnizsiu cenu maju najlepsie performance.. zase otazka do jakej miery zato mozu delistovane akcie, aj ked tu by ich uz tolko nemalo byt. ale povedzme ze price factor naky slaby tam je
Volume
-14.09% 31 15.02
-13.57% 31 8.07
-12.66% 31 5.09
-16.42% 31 3.87
-24.76% 31 3.14
-21.98% 31 2.48
-24.54% 31 1.97
-27.57% 31 1.48
-30.11% 31 1.05
-27.02% 31 0.12
USD Volume
-8.84% 31 619.71
-19.90% 31 374.04
-29.61% 31 277.49
-17.13% 31 214.74
-21.18% 31 158.39
-21.08% 31 131.39
-27.69% 31 108.19
-21.67% 31 88.57
-27.51% 31 68.3
-18.10% 31 5.01
=> cim vyssie volume tym lepsie performance.. resp. najlikvidnejsie akcie maju najlepsie performance.. takze opak-illiquidty-premium
Price
-29.37% 31 102.28
-33.91% 31 79.51
-23.65% 31 68.59
-22.54% 31 61.56
-16.75% 31 53.63
-18.71% 31 48.12
-11.54% 31 39.9
-24.58% 31 34.2
-22.27% 31 25.81
-9.39% 31 8.37
=> te co maju najnizsiu cenu maju najlepsie performance.. zase otazka do jakej miery zato mozu delistovane akcie, aj ked tu by ich uz tolko nemalo byt. ale povedzme ze price factor naky slaby tam je
Volume
-14.09% 31 15.02
-13.57% 31 8.07
-12.66% 31 5.09
-16.42% 31 3.87
-24.76% 31 3.14
-21.98% 31 2.48
-24.54% 31 1.97
-27.57% 31 1.48
-30.11% 31 1.05
-27.02% 31 0.12
USD Volume
-8.84% 31 619.71
-19.90% 31 374.04
-29.61% 31 277.49
-17.13% 31 214.74
-21.18% 31 158.39
-21.08% 31 131.39
-27.69% 31 108.19
-21.67% 31 88.57
-27.51% 31 68.3
-18.10% 31 5.01
=> cim vyssie volume tym lepsie performance.. resp. najlikvidnejsie akcie maju najlepsie performance.. takze opak-illiquidty-premium
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radvan
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Re: microcap (low volume?) akcie
nemas dlhsie data .. .mal si myslim neco na 10 rokoch ... hladat size premium na 2-3 rokoch dat neni moc good podla mna ...
http://www.Quantpedia.com - the leading quantitative trading research company
Re: microcap (low volume?) akcie
neni.. mam aj ine data ale tam mi chyba pocet shares, takze neviem urcit size.. ale price a volume by sa otial malo dat vytahnut, aj ked je tam kopa chyb takze to tiez asi nebude zazrak.. no uvidimeradvan napísal:nemas dlhsie data .. .mal si myslim neco na 10 rokoch ... hladat size premium na 2-3 rokoch dat neni moc good podla mna ...
ty mas na bloombergu informaciu typu kolko shares outstanding mal microsoft v 85? to uz asi nebude len tak lahko dostupne cislo....
Re: microcap (low volume?) akcie
inac toto nemas ponatia co by to mohlo byt ze ten size effect funguje v january? co to je za blbost? fondy sa rebalancuju alebo co..radvan napísal:The Frailty of the Size Effect?
http://www.cxoadvisory.com/size-effect/ ... ze-effect/" onclick="window.open(this.href);return false;
nieco podobne som uz videl sa mi zda...
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radvan
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Re: microcap (low volume?) akcie
na bloombergu asik ne, vo factsete skorej, ale este som to neskumal ... ale nemyslim, ze to bude nejake simple ziskat free ako OHLC data, ktore mas vsade ...
ale napadlo ma, ze tu by si sa mohol pokukat ak ta zaujima size premium (uz som to tu raz praskol) ...
http://mba.tuck.dartmouth.edu/pages/fac ... brary.html" onclick="window.open(this.href);return false;
len tam uz mas sumarne vysledky z CRSP/Compustat databazy (samozrejme platena). takze k raw datam sa nedostanes ak si chces urobit testy sam ... ale dajme tomu ze Fama/French by mohli mat statisticky spravne spocitane tie size/value/momentum premia ...
ale napadlo ma, ze tu by si sa mohol pokukat ak ta zaujima size premium (uz som to tu raz praskol) ...
http://mba.tuck.dartmouth.edu/pages/fac ... brary.html" onclick="window.open(this.href);return false;
len tam uz mas sumarne vysledky z CRSP/Compustat databazy (samozrejme platena). takze k raw datam sa nedostanes ak si chces urobit testy sam ... ale dajme tomu ze Fama/French by mohli mat statisticky spravne spocitane tie size/value/momentum premia ...
http://www.Quantpedia.com - the leading quantitative trading research company
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radvan
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Re: microcap (low volume?) akcie
panboh vie co je ten january effect (a ci to vobec je efekt a nie statistical fluke) ... spekuluje sa, ze je to tax efect (v decembri odpredavas stratove pozicie a v januari sa nakupuju spat) alebo rebalanc efekt (t.j. ze sa IRA, fondy atd. rebalacnuju na zaciatku roka) ... ale nejake inteligentne vysvetlenie k tomu neni ... neviem co si mam o tom mysliet ...
inak kukni si toho Frencha, mozes si tam aj porovnat, ze ake ma on Size premium za posledne 3 roky ... je dost mozne, ze zaporne (co by vysvetlovalo aj tie tvoje zaporne/nejednoznacne cisla) ... plus mozno v tych datach od Frencha bude aj viac vidno ten January effect ...
inak kukni si toho Frencha, mozes si tam aj porovnat, ze ake ma on Size premium za posledne 3 roky ... je dost mozne, ze zaporne (co by vysvetlovalo aj tie tvoje zaporne/nejednoznacne cisla) ... plus mozno v tych datach od Frencha bude aj viac vidno ten January effect ...
http://www.Quantpedia.com - the leading quantitative trading research company
Re: microcap (low volume?) akcie
price factor
kazdy rok rozdelene akcie podla ceny po patinach a buducorocne zhodnotenie...
modra ciara najvyssie ceny, hneda ciara najnizsie ceny.
chybaju tam delistovane akcie ale ten price faktor tam nejaky evidentne je, te cary vychadzaju presne, najlepsiu vykonnost maju najnizsie ceny, potom vyssie, vyssie, vyssie, atd. az po najvyssie ceny, ktore maju najslabsiu vykonnost.
v 2008 je to naopak (najviac padaju $1 akcie a najmenej $1000000000 akcie).
teda to moze byt cisto volatility faktor, cim mensia cena akcie tym to viacej lieta...
(okolo 2000 to neni moc dobre videt lebo tam kopa akcii chyba)
kazdy rok rozdelene akcie podla ceny po patinach a buducorocne zhodnotenie...
modra ciara najvyssie ceny, hneda ciara najnizsie ceny.
chybaju tam delistovane akcie ale ten price faktor tam nejaky evidentne je, te cary vychadzaju presne, najlepsiu vykonnost maju najnizsie ceny, potom vyssie, vyssie, vyssie, atd. az po najvyssie ceny, ktore maju najslabsiu vykonnost.
v 2008 je to naopak (najviac padaju $1 akcie a najmenej $1000000000 akcie).
teda to moze byt cisto volatility faktor, cim mensia cena akcie tym to viacej lieta...
(okolo 2000 to neni moc dobre videt lebo tam kopa akcii chyba)
Re: microcap (low volume?) akcie
volume factor je slaby.. ta troska rozdielu co tam je moze byt size factor
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Lobista
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Re: microcap (low volume?) akcie
A co a ako to tu vlastne pocitas? Ako si dostal tie jednotlive faktory?
Mozes to pls. trochu vysvetlit, nech tomu aj ja rozumiem?
Diky.
Mozes to pls. trochu vysvetlit, nech tomu aj ja rozumiem?
Diky.Re: microcap (low volume?) akcie
price faktor je taktoLobista napísal:A co a ako to tu vlastne pocitas? Ako si dostal tie jednotlive faktory?
Mozes to pls. trochu vysvetlit, nech tomu aj ja rozumiem?
zoberes ceny vsetkych akcii kazdy rok, povedzme posledny den roku.
napr. rok 2003 (vymyslene cisla)
MVIS 3
MSFT 10
INTC 20
BAC 30
C 40
GOOG 100
atd.
teraz to zoradis od najnizsej ceny po najvyssiu a rozdelis to na patiny (alebo desatiny..)
zoberes vrchnu patinu, kde su akcie s najvysou cenou (GOOG 100 atd) a vyratas priemer tejto skupiny kolko spravi % buduci rok.
vyratas priemer kolko spravi dalsia patina, atd.
na spodku budu akcie $1-3 povedzme, tak zase vyratas priemer ich vykonnosti nabuduci rok...
(vykonnost = posledna_cena_v_roku_2004 / posledna_cena_2003 - 1)
a vide ti tabulka ze napr. 2003
patina akcii s najvysou cenou 21.86%
dalsia patina 19.27%
dalsia patina 21.32%
dalsia 23.04%
a posledna s najnizsmi cenami 36.03%
to mas 5 ciar okolo roku 2003.
a takto z toho namalujes ciary, zacinas v roku 1996 a ides kazdu ciaru podla toho jaky ma ktora patina vynos a kumulativne nasobis...
stlpce mas patiny (zoradene podla ceny) a riadky mas roky...
Kód: Vybrať všetko
najvyssia cena........................najnizsia cena (v roku)
1997 34.18% 35.71% 33.16% 33.41% 26.84%
1998 12.18% 6.44% -0.84% -5.38% -0.16%
1999 18.26% 2.24% 14.04% 25.08% 44.98%
2000 1.15% 13.17% 10.13% 9.66% 4.52%
2001 -5.69% 11.59% 21.75% 33.48% 44.96%
2002 -8.08% -6.99% -6.67% -9.64% -1.82%
2003 32.08% 39.17% 48.50% 75.23% 118.70%
2004 21.86% 19.27% 21.32% 23.04% 36.03%
2005 10.64% 7.25% 7.78% 7.29% 10.75%
2006 15.45% 17.54% 18.19% 17.56% 26.87%
2007 5.03% -1.53% -3.55% -3.89% 2.81%
2008 -37.39% -34.22% -37.71% -44.06% -53.16%
2009 21.18% 31.62% 36.29% 45.07% 73.39%
2010 8.86% 9.24% 14.20% 15.27% 19.34%volume faktor je tak isto, len namiesto faktoru ceny (ci je akcia $100 alebo $1) berem usd volume (volume*cena - aby sa odlisilo BRK-A kde je cena $100000 a naky pinkshit za $1, pricom volume mozu mat rovnake, ale dolarove volume diametralne odlisne)
Re: microcap (low volume?) akcie
natomto grafe je tiez ten price factor dobre videt, toto neni kumulativne
a z toho je jasne ze modra ciara sa ledva pohne a hneda skace jak salena
co je aj logicke ze $1 akcia moze vyskocit na $2 alebo zliezt na $0.5 bezne, ale uz menej cesto sa stava ze by $500 akcia vyliezla na 1000 alebo zliezla na 200 len tak....
a z toho je jasne ze modra ciara sa ledva pohne a hneda skace jak salena
co je aj logicke ze $1 akcia moze vyskocit na $2 alebo zliezt na $0.5 bezne, ale uz menej cesto sa stava ze by $500 akcia vyliezla na 1000 alebo zliezla na 200 len tak....
Re: microcap (low volume?) akcie
toto je $volume factor cez bar chart, tu je lepsie videt ze to stoji v podstate za prd.. (casto je modry aj hnedy stlpec rovnaky)
Re: microcap (low volume?) akcie
a takto vyzera faktor hodim si korunu.. teda neni medzi tymi stlpcami ziaden rozdiel (snad to pomoze na pochopenie)
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Lobista
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Re: microcap (low volume?) akcie
Jasne, uz chapemneviem ci to je aspon 0.00001% jasne, kludne sa pytaj...
. Myslis si ale, ze to bude mat nejaky efekt? Podla mna by to malo byt skor o sektoroch, z ktorych tie akcie tahas. A este je otazka, ci v tych tvojich testoch moze akcia byt jeden rok v jednej skupine, dalsi rok v dalsej a pod. Ak ano, tak sektorove zlozenie ti bude kolisat a tym padom porovnavanie tych skupin moze byt dost skreslene.-
Lobista
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Re: microcap (low volume?) akcie
Ja som o tom pocul este dve zaujimave vysvetlenia -- jednym je window dressing portfolio managerov, t.j. ze ku dnu vyrocnej spravy chcu vykazat pekne portfolio kde budu same dobre akcie a tych underperforming sa zbavia. Dalsia teoria je cisto psychologicka, t.j. na vianoce sa vsetci citia dobre, su oddychnuti a maju pozitivne ocakavania do buducnosti, a preto pride na zaciatku roku rast. Ale to su vsetko dohady, neda sa to nejako kvantifikovat /iba umelo v prostredi aukcie sa ten efekt dokazal/.panboh vie co je ten january effect (a ci to vobec je efekt a nie statistical fluke) ... spekuluje sa, ze je to tax efect (v decembri odpredavas stratove pozicie a v januari sa nakupuju spat) alebo rebalanc efekt (t.j. ze sa IRA, fondy atd. rebalacnuju na zaciatku roka) ... ale nejake inteligentne vysvetlenie k tomu neni ... neviem co si mam o tom mysliet ...
V poslednych rokoch uz ale January effect prakticky nie je vidiet, asi preto, ze sa to stalo zname, a tak sa na tom kazdy snazil zarobit
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radvan
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Re: microcap (low volume?) akcie
s tymto mam problem pravdupovediac trochu ... ak raz existuje nejaky efekt, ktory vsak nie je pure arbitraz (ako napr cena komodity na dvoch burzach, alebo cena futures kontraktu a podkladu), ale da sa len statisticky zobchodovat (momentum, value, january efekt) ... tak podla mna to nie je tak lahke zarbitrazovat ...Lobista napísal:V poslednych rokoch uz ale January effect prakticky nie je vidiet, asi preto, ze sa to stalo zname, a tak sa na tom kazdy snazil zarobit
jedine co vznikne je podla mna, ze sa znizi dopad toho efektu, ale nezmizne ... inak povedane, ak bol januarovy efekt X% pri Y% max. drawdovne v dvadsatroci 1960-1980 (vychadzajem z toho, ze to je nejaky realny efekt a nie statistical fluke), tak v dvadsatroci 2000-2020 bude X/3% a drawdown bude 3*Y% napr., ale to nemusi znamenat, ze zmizne ... muselo by to byt velmi zname a naliat obrovske mnozstvo penazi do toho aby to zaniklo uplne, nebude to len natolko profitabilne (statisticka arbitraz ma limity) ...
zmizne ak sa uuplne zmeni ekonomicka podstata toho efektu ...
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Re: microcap (low volume?) akcie
no ma, ked si poskladas portfolio s pinkshitov tak bude mat inu volatilitu jak ked si tam das velke akcie..Lobista napísal:Myslis si ale, ze to bude mat nejaky efekt?
ano, kazdy rok to preratavaA este je otazka, ci v tych tvojich testoch moze akcia byt jeden rok v jednej skupine, dalsi rok v dalsej a pod.
preco? mne je jedno jak tam vychadzaju sektory, zajima ma len cena akcie..Ak ano, tak sektorove zlozenie ti bude kolisat a tym padom porovnavanie tych skupin moze byt dost skreslene.
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Lobista
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Re: microcap (low volume?) akcie
Myslel som tym, ze tie vysledky potom mozu mat velky bias. Pretoze ak teoreticky je v jednom roku podiel silno cyklickych akcii 20% a v druhom 80% tak sa tie portfolia budu chovat uplne inak --a ty si mozes mysliet, ze je to preto, lebo je to low-cap, ale moze to byt tym, ze doslo k presunu medzi sektormi v ramci low-cap mnoziny. Alebo ked si to zoberies podla minulej bety -- kolko akcii nad 1 a kolko pod 1 -- tak je to rovnake . Ale mozno sa ta skladba az tak velmi nemeni, neviem. Kolko % microcap akcii sa dostane rocne do vyssej kategorie a kolko naopak padne sem?preco? mne je jedno jak tam vychadzaju sektory, zajima ma len cena akcie..
Re: microcap (low volume?) akcie
jakoze to bude cele skoncentrovane v par industry?
toto je industry histogram momentalny cena akcii $1-3
Biotechnology 31
Communication Equipment 16
Regional - Pacific Banks 15
Regional - Mid-Atlantic Banks 14
Medical Instruments & Supplies 13
Business Services 12
Diversified Investments 12
Medical Appliances & Equipment 12
Drug Manufacturers - Other 10
Savings & Loans 10
Business Software & Services 8
Diversified Electronics 8
Industrial Electrical Equipment 8
Regional - Midwest Banks 8
Semiconductor - Integrated Circuits 8
Diagnostic Substances 7
Independent Oil & Gas 7
Diversified Communication Services 6
Internet Information Providers 6
Internet Software & Services 6
Management Services 6
Mortgage Investment 6
Oil & Gas Drilling & Exploration 6
Semiconductor - Specialized 6
Oil & Gas Equipment & Services 5
Regional - Northeast Banks 5
Restaurants 5
Specialized Health Services 5
Catalog & Mail Order Houses 4
Data Storage Devices 4
Drug Delivery 4
General Entertainment 4
Industrial Metals & Minerals 4
Property Management 4
Research Services 4
Resorts & Casinos 4
Scientific & Technical Instruments 4
Semiconductor Equipment & Materials 4
Specialty Chemicals 4
Broadcasting - TV 3
Computer Peripherals 3
Consumer Services 3
Credit Services 3
Electronic Equipment 3
Gaming Activities 3
Gold 3
Investment Brokerage - National 3
Investment Brokerage - Regional 3
Life Insurance 3
Medical Laboratories & Research 3
REIT - Hotel/Motel 3
Technical & System Software 3
Wireless Communications 3
Apparel Stores 2
Application Software 2
CATV Systems 2
Computers Wholesale 2
Diversified Machinery 2
Electric Utilities 2
Electronics Wholesale 2
Healthcare Information Services 2
Heavy Construction 2
Home Furnishings & Fixtures 2
Home Health Care 2
Internet Service Providers 2
Jewelry Stores 2
Medical Equipment Wholesale 2
Movie Production, Theaters 2
Multimedia & Graphics Software 2
Networking & Communication Devices 2
Oil & Gas Refining & Marketing 2
Personal Products 2
Processed & Packaged Goods 2
Processing Systems & Products 2
Regional - Southeast Banks 2
Regional - Southwest Banks 2
Security & Protection Services 2
Security Software & Services 2
Sporting Goods 2
Aerospace/Defense Products & Services 1
Appliances 1
Asset Management 1
Auto Parts 1
Basic Materials Wholesale 1
Beverages - Brewers 1
Beverages - Soft Drinks 1
Broadcasting - Radio 1
Building Materials Wholesale 1
Business Equipment 1
Cement 1
Cigarettes 1
Cleaning Products 1
Conglomerates 1
Dairy Products 1
Department Stores 1
Drug Manufacturers - Major 1
Drug Related Products 1
Drug Stores 1
Foreign Regional Banks 1
General Building Materials 1
Hospitals 1
Industrial Equipment & Components 1
Information Technology Services 1
Insurance Brokers 1
Long-Term Care Facilities 1
Manufactured Housing 1
Marketing Services 1
Money Center Banks 1
Music & Video Stores 1
Personal Services 1
Pollution & Treatment Controls 1
Property & Casualty Insurance 1
Publishing - Books 1
Publishing - Periodicals 1
Real Estate Development 1
Regional Airlines 1
REIT - Retail 1
Residential Construction 1
Semiconductor - Broad Line 1
Semiconductor- Memory Chips 1
Silver 1
Small Tools & Accessories 1
Specialty Retail, Other 1
Sporting Activities 1
Sporting Goods Stores 1
Staffing & Outsourcing Services 1
Synthetics 1
Technical Services 1
Telecom Services - Domestic 1
Telecom Services - Foreign 1
Textile - Apparel Clothing 1
Textile - Apparel Footwear & Accessories 1
Textile Industrial 1
Toys & Games 1
Trucking 1
Trucks & Other Vehicles 1
Waste Management 1
Wholesale, Other 1
biotech je vzdy taky jaky je (cista loteria) a okrem par bank je to rozlozene docela rovnomerne...
toto je industry histogram momentalny cena akcii $1-3
Biotechnology 31
Communication Equipment 16
Regional - Pacific Banks 15
Regional - Mid-Atlantic Banks 14
Medical Instruments & Supplies 13
Business Services 12
Diversified Investments 12
Medical Appliances & Equipment 12
Drug Manufacturers - Other 10
Savings & Loans 10
Business Software & Services 8
Diversified Electronics 8
Industrial Electrical Equipment 8
Regional - Midwest Banks 8
Semiconductor - Integrated Circuits 8
Diagnostic Substances 7
Independent Oil & Gas 7
Diversified Communication Services 6
Internet Information Providers 6
Internet Software & Services 6
Management Services 6
Mortgage Investment 6
Oil & Gas Drilling & Exploration 6
Semiconductor - Specialized 6
Oil & Gas Equipment & Services 5
Regional - Northeast Banks 5
Restaurants 5
Specialized Health Services 5
Catalog & Mail Order Houses 4
Data Storage Devices 4
Drug Delivery 4
General Entertainment 4
Industrial Metals & Minerals 4
Property Management 4
Research Services 4
Resorts & Casinos 4
Scientific & Technical Instruments 4
Semiconductor Equipment & Materials 4
Specialty Chemicals 4
Broadcasting - TV 3
Computer Peripherals 3
Consumer Services 3
Credit Services 3
Electronic Equipment 3
Gaming Activities 3
Gold 3
Investment Brokerage - National 3
Investment Brokerage - Regional 3
Life Insurance 3
Medical Laboratories & Research 3
REIT - Hotel/Motel 3
Technical & System Software 3
Wireless Communications 3
Apparel Stores 2
Application Software 2
CATV Systems 2
Computers Wholesale 2
Diversified Machinery 2
Electric Utilities 2
Electronics Wholesale 2
Healthcare Information Services 2
Heavy Construction 2
Home Furnishings & Fixtures 2
Home Health Care 2
Internet Service Providers 2
Jewelry Stores 2
Medical Equipment Wholesale 2
Movie Production, Theaters 2
Multimedia & Graphics Software 2
Networking & Communication Devices 2
Oil & Gas Refining & Marketing 2
Personal Products 2
Processed & Packaged Goods 2
Processing Systems & Products 2
Regional - Southeast Banks 2
Regional - Southwest Banks 2
Security & Protection Services 2
Security Software & Services 2
Sporting Goods 2
Aerospace/Defense Products & Services 1
Appliances 1
Asset Management 1
Auto Parts 1
Basic Materials Wholesale 1
Beverages - Brewers 1
Beverages - Soft Drinks 1
Broadcasting - Radio 1
Building Materials Wholesale 1
Business Equipment 1
Cement 1
Cigarettes 1
Cleaning Products 1
Conglomerates 1
Dairy Products 1
Department Stores 1
Drug Manufacturers - Major 1
Drug Related Products 1
Drug Stores 1
Foreign Regional Banks 1
General Building Materials 1
Hospitals 1
Industrial Equipment & Components 1
Information Technology Services 1
Insurance Brokers 1
Long-Term Care Facilities 1
Manufactured Housing 1
Marketing Services 1
Money Center Banks 1
Music & Video Stores 1
Personal Services 1
Pollution & Treatment Controls 1
Property & Casualty Insurance 1
Publishing - Books 1
Publishing - Periodicals 1
Real Estate Development 1
Regional Airlines 1
REIT - Retail 1
Residential Construction 1
Semiconductor - Broad Line 1
Semiconductor- Memory Chips 1
Silver 1
Small Tools & Accessories 1
Specialty Retail, Other 1
Sporting Activities 1
Sporting Goods Stores 1
Staffing & Outsourcing Services 1
Synthetics 1
Technical Services 1
Telecom Services - Domestic 1
Telecom Services - Foreign 1
Textile - Apparel Clothing 1
Textile - Apparel Footwear & Accessories 1
Textile Industrial 1
Toys & Games 1
Trucking 1
Trucks & Other Vehicles 1
Waste Management 1
Wholesale, Other 1
biotech je vzdy taky jaky je (cista loteria) a okrem par bank je to rozlozene docela rovnomerne...