Wednesday, January 13, 2010

Russell 3000 Daily Stats (01/13/10)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 24 (0.81%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 2333 (78.26%) 1 (100.00%)
# Lower Closes 591 (19.83%) 0 (0.00%)

Total Gains/Losses $760.83 (1.00%) $0.58 (0.87%)
Average True Range (3.46%) (1.43%)

* Results are cumulative for the period.

Price verification found 0 errors

Tuesday, January 12, 2010

Russell 3000 Daily Stats (01/12/10)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 7 (0.23%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 611 (20.50%) 0 (0.00%)
# Lower Closes 2303 (77.26%) 1 (100.00%)

Total Gains/Losses $-844.83 (-1.10%) $-0.63 (-0.94%)
Average True Range (3.48%) (1.35%)

* Results are cumulative for the period.

Price verification found 0 errors

Monday, January 11, 2010

Russell 3000 Daily Stats (01/11/10)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 28 (0.94%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 1374 (46.09%) 1 (100.00%)
# Lower Closes 1524 (51.12%) 0 (0.00%)

Total Gains/Losses $58.64 (0.08%) $0.06 (0.09%)
Average True Range (3.40%) (0.82%)

* Results are cumulative for the period.

Price verification found 0 errors

Sunday, January 10, 2010

Russell 3000 Weekly Stats (01/04/10-01/08/10)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period1 0
# All-time Closing Highs 152 (1.02%) 0 (0.00%)
# All-time Closing Lows 3 (0.02%) 0 (0.00%)

# Higher Closes 8654 (58.06%) 5 (100.00%)
# Lower Closes 5948 (39.91%) 0 (0.00%)

Total Gains/Losses $1926.54 (0.51%) $1.87 (0.56%)
Average True Range (3.62%) (0.96%)

* Results are cumulative for the period.

Price verification found 0 errors

Sunday, January 03, 2010

Russell 3000 Weekly Stats (12/28/09-12/31/09)

Key Figures Russell 3000 IWV
Total Active Components2984 1
Total New Listings this period0 0
Total Inactive this period2 0
# All-time Closing Highs 116 (0.97%) 0 (0.00%)
# All-time Closing Lows 1 (0.01%) 0 (0.00%)

# Higher Closes 4748 (39.79%) 1 (25.00%)
# Lower Closes 6827 (57.21%) 3 (75.00%)

Total Gains/Losses $-770.22 (-0.25%) $-0.70 (-0.27%)
Average True Range (2.82%) (0.70%)

* Results are cumulative for the period.

Price verification found 0 errors

Friday, January 01, 2010

David Swenson Lecture

So long 2009, Hello 2010!

Let's start the new year right with a great video refresher on long term investing by Yale Endowment hall of famer, David Swenson. It's long but well worth the view. And be sure to watch the Q&A at the end. Some highlights from the lecture:

Swenson covered 3 areas in relation to portfolio returns:
  1. Asset Allocation
  2. Market Timing
  3. Security Selection

Swenson believes Market Timing and Security Selection are actually a negative drag on returns. And Asset Allocation produce over 100% of the returns. Does a nice job explaining this.

Also covers how survivorship & backfill bias makes things seem better than they really are. I was really surprised at some of the numbers he shared on this topic. Based on Swenson's study...I would have thought survivorship bias would impact my long-term trading system's results more than they have.

The best tidbit mentioned in the video was Swenson's coverage of the differences 1st quartile managers generate versus 3rd quartile. In the bond market he found very little difference between the best managers returns and those in the 3rd quartile. But, as he drove down into the more inefficient markets...the differences between the best and the rest grew further apart. Swenson's take: spend time and energy persuing the most inefficiently priced asset classes cause great rewards in finding the top managers.

The final item I took away was from the Q&A session at the end. Swenson worries about the top down but invests from the bottom up. Identifies asset classes that are overpriced or underpriced. Extends his time horizon out 3 or 4 years. Bets big while keeping his asset allocation to the asset class at an annually reviewed level.

Well, that's it from the cold midwest where I plan to spend the first day of the new year: taking the kids to get doughnuts in the morning, hopefully watching snow fall during the day, and enjoying some great fajitas and cervezas for dinner.

Happy New Year,

MT

Thursday, December 31, 2009

Russell 3000 Daily Stats (12/31/09)

Key Figures Russell 3000 IWV
Total Active Components2982 1
Total New Listings this period0 0
Total Inactive this period2 0
# All-time Closing Highs 9 (0.30%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 514 (17.24%) 0 (0.00%)
# Lower Closes 2421 (81.19%) 1 (100.00%)

Total Gains/Losses $-824.73 (-1.09%) $-0.66 (-1.00%)
Average True Range (2.97%) (1.23%)

* Results are cumulative for the period.

Price verification found 0 errors

Wednesday, December 30, 2009

Russell 3000 Daily Stats (12/30/09)

Key Figures Russell 3000 IWV
Total Active Components2984 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 28 (0.94%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 1486 (49.80%) 0 (0.00%)
# Lower Closes 1385 (46.41%) 1 (100.00%)

Total Gains/Losses $64.25 (0.08%) $-0.03 (-0.05%)
Average True Range (2.85%) (0.45%)

* Results are cumulative for the period.

Price verification found 0 errors

Tuesday, December 29, 2009

Russell 3000 Daily Stats (12/29/09)

Key Figures Russell 3000 IWV
Total Active Components2984 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 33 (1.11%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 1379 (46.21%) 0 (0.00%)
# Lower Closes 1501 (50.30%) 1 (100.00%)

Total Gains/Losses $-16.83 (-0.02%) $-0.07 (-0.11%)
Average True Range (2.60%) (0.42%)

* Results are cumulative for the period.

Price verification found 0 errors

Monday, December 28, 2009

Russell 3000 Daily Stats (12/28/09)

Key Figures Russell 3000 IWV
Total Active Components2984 1
Total New Listings this period0 0
Total Inactive this period2 0
# All-time Closing Highs 47 (1.58%) 0 (0.00%)
# All-time Closing Lows 1 (0.03%) 0 (0.00%)

# Higher Closes 1370 (45.91%) 1 (100.00%)
# Lower Closes 1521 (50.97%) 0 (0.00%)

Total Gains/Losses $7.09 (0.01%) $0.06 (0.09%)
Average True Range (2.85%) (0.68%)

* Results are cumulative for the period.

Price verification found 0 errors

Sunday, December 27, 2009

Russell 3000 Weekly Stats (12/21/09-12/24/09)

Key Figures Russell 3000 IWV
Total Active Components2986 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 199 (1.67%) 0 (0.00%)
# All-time Closing Lows 5 (0.04%) 0 (0.00%)

# Higher Closes 8324 (69.69%) 4 (100.00%)
# Lower Closes 3279 (27.45%) 0 (0.00%)

Total Gains/Losses $2316.64 (0.78%) $1.46 (0.56%)
Average True Range (3.05%) (0.76%)

* Results are cumulative for the period.

Price verification found 0 errors

Thursday, December 24, 2009

Russell 3000 Daily Stats (12/24/09)

Key Figures Russell 3000 IWV
Total Active Components2986 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 60 (2.01%) 0 (0.00%)
# All-time Closing Lows 1 (0.03%) 0 (0.00%)

# Higher Closes 2039 (68.29%) 1 (100.00%)
# Lower Closes 838 (28.06%) 0 (0.00%)

Total Gains/Losses $380.35 (0.50%) $0.31 (0.47%)
Average True Range (2.25%) (0.53%)

* Results are cumulative for the period.

Price verification found 0 errors

Tuesday, December 22, 2009

Russell 3000 Daily Stats (12/22/09)

Key Figures Russell 3000 IWV
Total Active Components2986 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 37 (1.24%) 0 (0.00%)
# All-time Closing Lows 3 (0.10%) 0 (0.00%)

# Higher Closes 1854 (62.09%) 1 (100.00%)
# Lower Closes 1047 (35.06%) 0 (0.00%)

Total Gains/Losses $526.43 (0.71%) $0.32 (0.49%)
Average True Range (3.11%) (0.64%)

* Results are cumulative for the period.

Price verification found 0 errors

Monday, December 21, 2009

Russell 3000 Daily Stats (12/21/09)

Key Figures Russell 3000 IWV
Total Active Components2986 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 45 (1.51%) 0 (0.00%)
# All-time Closing Lows 2 (0.07%) 0 (0.00%)

# Higher Closes 2244 (75.15%) 1 (100.00%)
# Lower Closes 680 (22.77%) 0 (0.00%)

Total Gains/Losses $798.05 (1.09%) $0.60 (0.93%)
Average True Range (3.73%) (1.26%)

* Results are cumulative for the period.

Price verification found 0 errors

Sunday, December 20, 2009

Russell 3000 Weekly Stats (12/14/09-12/18/09)

Key Figures Russell 3000 IWV
Total Active Components2958 1
Total New Listings this period0 0
Total Inactive this period1 0
# All-time Closing Highs 140 (0.95%) 0 (0.00%)
# All-time Closing Lows 21 (0.14%) 0 (0.00%)

# Higher Closes 7795 (52.70%) 3 (60.00%)
# Lower Closes 6684 (45.19%) 2 (40.00%)

Total Gains/Losses $817.86 (0.23%) $0.13 (0.04%)
Average True Range (3.55%) (0.94%)

* Results are cumulative for the period.

Price verification found 0 errors

Friday, December 18, 2009

Russell 3000 Daily Stats (12/18/09)

Key Figures Russell 3000 IWV
Total Active Components2958 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 31 (1.05%) 0 (0.00%)
# All-time Closing Lows 4 (0.14%) 0 (0.00%)

# Higher Closes 1984 (67.07%) 1 (100.00%)
# Lower Closes 923 (31.20%) 0 (0.00%)

Total Gains/Losses $489.32 (0.68%) $0.44 (0.68%)
Average True Range (4.07%) (1.02%)

* Results are cumulative for the period.

Price verification found 0 errors

Thursday, December 17, 2009

Russell 3000 Daily Stats (12/17/09)

Key Figures Russell 3000 IWV
Total Active Components2958 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 16 (0.54%) 0 (0.00%)
# All-time Closing Lows 3 (0.10%) 0 (0.00%)

# Higher Closes 598 (20.22%) 0 (0.00%)
# Lower Closes 2300 (77.76%) 1 (100.00%)

Total Gains/Losses $-681.92 (-0.94%) $-0.71 (-1.09%)
Average True Range (3.39%) (1.27%)

* Results are cumulative for the period.

Price verification found 0 errors

Wednesday, December 16, 2009

Russell 3000 Daily Stats (12/16/09)

Key Figures Russell 3000 IWV
Total Active Components2958 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 30 (1.01%) 0 (0.00%)
# All-time Closing Lows 4 (0.14%) 0 (0.00%)

# Higher Closes 1886 (63.76%) 1 (100.00%)
# Lower Closes 985 (33.30%) 0 (0.00%)

Total Gains/Losses $461.43 (0.64%) $0.14 (0.22%)
Average True Range (3.38%) (0.72%)

* Results are cumulative for the period.

Price verification found 0 errors

Tuesday, December 15, 2009

Russell 3000 Daily Stats (12/15/09)

Key Figures Russell 3000 IWV
Total Active Components2958 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 24 (0.81%) 0 (0.00%)
# All-time Closing Lows 7 (0.24%) 0 (0.00%)

# Higher Closes 938 (31.71%) 0 (0.00%)
# Lower Closes 1968 (66.53%) 1 (100.00%)

Total Gains/Losses $-355.75 (-0.49%) $-0.32 (-0.49%)
Average True Range (3.41%) (0.77%)

* Results are cumulative for the period.

Price verification found 0 errors