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MyTrendTimer :
Russel 2000
of
December 6, 2006 |
Weekly Comment about this asset/index |
On Monday, Pfizer stock tumbled on news that they have halted the development of their most important new cholesterol treatment torcetrapib, which was seen as the successor to its blockbuster drug Lipitor.
Mergers and Aquisition activity and lower oil prices provide a floor of support.
Bank of New York and Mellon Financial have announced a $16.5 bln merger of equals, Station Casinos has received a $4.7 bln buyout offer and LSI Logic has said it will acquire Agere Systems for $4 bln.
Stocks surged during Monday, sending the the SP 500 to a fresh six-year high, as investors welcomed a slew of merger news and a slump in oil prices.
After selling off in the post-Thanksgiving period, stocks seem to have recharged Monday, at the start of what is often a good month on Wall Street.
Oil prices were steadying as the possibility of a further output cut by OPEC producers who meet next week was balanced by milder weather and expected strong fuel stockpiles in the United States.
Later, investors will look to the U.S. Institute for Supply Management's non-manufacturing gauge for November for clues on whether growth in the world's largest economy is slowing sufficiently to necessitate interest rate cuts in 2007.
The dollar hit session lows against the euro and extended its slide against the yen on Tuesday after key third-quarter U.S. wage inflation data were revised down, lessening the likelihood of a rate rise.
The productivity of U.S. workers rose by a weaker-than-expected 0.2 percent in the third quarter, while unit labor costs grew by less than initially thought in encouraging news for the Federal Reserve on wage pressures, government data showed on Tuesday. |
|
Financial Instrument | Value |
Instrument Name | Russel 2000 |
Symbol | RUT |
Currency | USD |
Underlying instrument | iShares Russell 2000 Index (IWM) |
|
Trend/Signal | Value |
Current Trend/Signal |
Bullish (last signal was a Buy)
|
Strenght | 0.4 |
Date (dd.MM.yyyy) | 06.12.2006 |
|
Generated Operations Chart |
 |
|
Generated Operations |
Nature | Date (dd.MM.yyyy) | # Days previous op. | Quote | Result previous op. |
Buy | 08.06.2000 | 000 | 514.54 | +0.00 |
Sell | 31.07.2000 | 053 | 500.64 | -2.70 |
Buy | 24.08.2000 | 024 | 523.30 | +4.53 |
Sell | 26.09.2000 | 033 | 509.89 | -2.56 |
Buy | 12.01.2001 | 108 | 485.75 | -4.73 |
Sell | 27.02.2001 | 046 | 478.75 | -1.44 |
Buy | 25.04.2001 | 056 | 472.74 | -1.26 |
Sell | 06.07.2001 | 072 | 483.26 | +2.23 |
Buy | 02.11.2001 | 119 | 433.07 | -10.39 |
Sell | 05.02.2002 | 095 | 468.82 | +8.26 |
Buy | 05.03.2002 | 028 | 487.59 | +4.00 |
Sell | 22.05.2002 | 077 | 493.91 | +1.30 |
Buy | 01.11.2002 | 163 | 383.45 | -22.36 |
Sell | 23.01.2003 | 083 | 383.68 | +0.06 |
Buy | 27.03.2003 | 063 | 369.50 | -3.70 |
Sell | 16.03.2004 | 355 | 566.64 | +53.35 |
Buy | 01.04.2004 | 015 | 595.32 | +5.06 |
Sell | 29.04.2004 | 028 | 567.25 | -4.72 |
Buy | 25.06.2004 | 057 | 587.70 | +3.61 |
Sell | 12.07.2004 | 017 | 562.24 | -4.33 |
Buy | 03.09.2004 | 053 | 556.24 | -1.07 |
Sell | 11.01.2005 | 130 | 611.53 | +9.94 |
Buy | 07.02.2005 | 027 | 636.62 | +4.10 |
Sell | 18.03.2005 | 039 | 622.57 | -2.21 |
Buy | 24.05.2005 | 066 | 612.95 | -1.55 |
Sell | 24.08.2005 | 092 | 655.01 | +6.86 |
Buy | 02.09.2005 | 009 | 663.33 | +1.27 |
Sell | 22.09.2005 | 020 | 651.05 | -1.85 |
Buy | 03.10.2005 | 011 | 670.55 | +3.00 |
Sell | 05.10.2005 | 002 | 644.98 | -3.81 |
Buy | 08.11.2005 | 034 | 656.23 | +1.74 |
Sell | 17.05.2006 | 189 | 725.85 | +10.61 |
Buy | 21.08.2006 | 096 | 705.33 | -2.83 |
Out | 05.12.2006 | 106 | 797.42 | +13.06 |
|
Return and result of the differents strategies |
Time Weighted Return of | Value (over the Period) |
Buy and Hold | +60.63 |
Model Buy and Hold | +54.98 |
Model Long Only | +98.72 |
Model Short Only | +22.01 |
Model Long and Short | +142.46 |
|
Time Weighted Return of | Value (Annualized) |
Buy and Hold | +9.23 |
Model Buy and Hold | +8.37 |
Model Long Only | +15.02 |
Model Short Only | +3.35 |
Model Long and Short | +21.68 |
|
Model OverPerf vs Model Buy and Hold | Value (Annualized) |
Model Long vs Model Buy and Hold | +6.66 |
Model Short vs Model Buy and Hold | -5.02 |
Model Long and Short vs Model Buy and Hold | +13.31 |
|
Model OverPerf vs Buy and Hold | Value (Annualized) |
Model Long vs Buy and Hold | +5.80 |
Model Short vs Buy and Hold | -5.88 |
Model Long and Short vs Buy and Hold | +12.45 |
|
|
Various statistical indicators for this asset |
Last 20 quotes Statistics | Value |
Mean quote | 781.75 |
Variance | 135.01 |
Standard Deviation | 11.62 |
Lowest quote | 762.06 |
Highest quote | 797.42 |
Median | 779.74 |
Max Daily Loose percent | -2.55 |
Max Daily Gain percent | 1.88 |
Simple Perf. | 4.50 |
|
Last 5 quotes Statistics | Value |
Mean quote | 786.59 |
Variance | 75.41 |
Standard Deviation | 8.68 |
Lowest quote | 774.82 |
Highest quote | 797.42 |
Median | 786.12 |
Max Daily Loose percent | -0.63 |
Max Daily Gain percent | 1.88 |
Simple Perf. | 2.92 |
|
Previous year Statistics | Value |
Mean quote | 641.00 |
Variance | 816.73 |
Standard Deviation | 28.58 |
Lowest quote | 575.02 |
Highest quote | 690.57 |
Median | 632.80 |
Max Daily Loose percent | -2.84 |
Max Daily Gain percent | 2.40 |
Simple Perf. | 3.32 |
First quote | 651.57 |
Last quote | 673.22 |
|
Current year Statistics | Value |
Mean quote | 730.94 |
Variance | 939.82 |
Standard Deviation | 30.66 |
Lowest quote | 671.94 |
Highest quote | 797.42 |
Median | 734.68 |
Max Daily Loose percent | -3.19 |
Max Daily Gain percent | 3.82 |
Simple Perf. | 18.45 |
First quote | 673.22 |
Last quote | 797.42 |
|
Seasonal Return by Month for this asset |
Month | Cumulated TWR Return. | #Month | Average TWR Return |
January | +9.82 | 7 | +1.40 |
February | +4.38 | 7 | +0.63 |
March | -0.46 | 7 | -0.07 |
April | -0.95 | 7 | -0.14 |
May | +3.54 | 7 | +0.51 |
June | +17.43 | 7 | +2.49 |
July | -21.08 | 7 | -3.01 |
August | +8.36 | 7 | +1.19 |
September | -19.73 | 7 | -2.82 |
October | +17.54 | 7 | +2.51 |
November | +26.53 | 7 | +3.79 |
December | +14.47 | 7 | +2.07 |
|
TWR Return by Year for this asset |
Year | TWR Return. |
2000 | -2.60 |
2001 | +1.03 |
2002 | -21.58 |
2003 | +45.37 |
2004 | +17.00 |
2005 | +3.32 |
2006 | +18.45 |
|
Year 2000 to 2003 Monthly performance |
Month | Year | Performance |
January | 2000 | -0.04 |
February | 2000 | +16.42 |
March | 2000 | -6.20 |
April | 2000 | -6.58 |
May | 2000 | -5.94 |
June | 2000 | +8.62 |
July | 2000 | -3.21 |
August | 2000 | +7.44 |
September | 2000 | -3.07 |
October | 2000 | -4.54 |
November | 2000 | -10.40 |
December | 2000 | +8.43 |
January | 2001 | +5.13 |
February | 2001 | -6.68 |
March | 2001 | -5.03 |
April | 2001 | +7.72 |
May | 2001 | +2.30 |
June | 2001 | +3.25 |
July | 2001 | -5.43 |
August | 2001 | -3.35 |
September | 2001 | -13.59 |
October | 2001 | +5.75 |
November | 2001 | +7.62 |
December | 2001 | +6.02 |
January | 2002 | -1.11 |
February | 2002 | -2.84 |
March | 2002 | +7.90 |
April | 2002 | +0.83 |
May | 2002 | -4.54 |
June | 2002 | -5.09 |
July | 2002 | -15.18 |
August | 2002 | -0.37 |
September | 2002 | -7.34 |
October | 2002 | +3.10 |
November | 2002 | +8.80 |
December | 2002 | -5.73 |
January | 2003 | -2.85 |
February | 2003 | -3.13 |
March | 2003 | +1.12 |
April | 2003 | +9.37 |
May | 2003 | +10.62 |
June | 2003 | +1.67 |
July | 2003 | +6.17 |
August | 2003 | +4.50 |
September | 2003 | -1.96 |
October | 2003 | +8.31 |
November | 2003 | +3.46 |
December | 2003 | +1.90 |
|
Year 2004 to 200n Monthly performance |
Month | Year | Performance |
January | 2004 | +4.28 |
February | 2004 | +0.83 |
March | 2004 | +0.81 |
April | 2004 | -5.17 |
May | 2004 | +1.51 |
June | 2004 | +4.09 |
July | 2004 | -6.80 |
August | 2004 | -0.61 |
September | 2004 | +4.56 |
October | 2004 | +1.89 |
November | 2004 | +8.56 |
December | 2004 | +2.81 |
January | 2005 | -4.23 |
February | 2005 | +1.61 |
March | 2005 | -2.99 |
April | 2005 | -5.80 |
May | 2005 | +6.44 |
June | 2005 | +3.72 |
July | 2005 | +6.27 |
August | 2005 | -1.95 |
September | 2005 | +0.19 |
October | 2005 | -3.17 |
November | 2005 | +4.74 |
December | 2005 | -0.60 |
January | 2006 | +8.91 |
February | 2006 | -0.35 |
March | 2006 | +4.72 |
April | 2006 | -0.08 |
May | 2006 | -5.69 |
June | 2006 | +0.51 |
July | 2006 | -3.33 |
August | 2006 | +2.85 |
September | 2006 | +0.70 |
October | 2006 | +5.69 |
November | 2006 | +2.51 |
December | 2006 | +1.44 |
|
Quotes Used | Value |
Quote File Used | RUS2000_20061206.csv |
# of Quotes | 1732 |
File first date (dd.MM.yyyy) | 03.01.2000 |
File first quote | 496.42 |
File last date (dd.MM.yyyy) | 05.12.2006 |
File last quote | 797.42 |
First data considered (dd.MM.yyyy) | 08.02.2000 |
First data considered | 537.49 |
Min. Quote date (dd.MM.yyyy) | 09.10.2002 |
Min. Quote value | 327.04 |
Max Quote date (dd.MM.yyyy) | 05.12.2006 |
Max Quote value | 797.42 |
Max daily drop date (dd.MM.yyyy) | 04.04.2000 |
Max Daily Drop percent | -6.96 |
Max daily gain date (dd.MM.yyyy) | 18.04.2000 |
Max daily Gain percent | 8.70 |
|
Operations Statistics | Value |
# Generated operations | 34 |
Avg # op. by year | 5.17 |
# Days | 2366 |
# Days in years | 6.57 |
Biggest loose (Long only) | -4.72 |
Min # days uninvested (before Buy operation) | 9 |
Max # days uninvested (before Buy operation) | 163 |
Min # days invested (before Sell operation) | 2 |
Max # days invested (before Sell operation) | 355 |
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Disclaimer |
All information provided "as is" for informational purposes only, not intended for trading purposes or advice. Prior to execution of any security trade, you are advised to consult your authorized financial advisor to verify the accuracy of all information. Neither MyTrendTimer nor anyone is liable for any informational errors, incompleteness, or delays, or for any actions taken in reliance on information contained herein. You can freely redistribute the information found herein as long as this disclaimer is included unmodified. Past performance does not guarantee future results. Some indexes, benchmarks or brand names may be trademarks or registered trademarks of their respective owners. |
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