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Daily Speculations The Web Site of Victor Niederhoffer & Laurel Kenner Dedicated to the scientific method, free markets, deflating ballyhoo, creating value, and laughter; a forum for us to use our meager abilities to make the world of specinvestments a better place. |
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Source: Daily Speculations study
June 2, 2005
DATE RANGE: 12/31/04 - 5/31/05
Algebraic Total: Sum of the total monthly moves from January to May 2005
AbsVal Total: Sum of the absolute monthly moves from January to May2005
Algeb./AbsVal: Ratio of the two quantities above
| Ticker | Algebraic Total | AbsVal Total | Algeb./AbsVal |
|---|---|---|---|
| AA | -4.32 | 9.54 | -45.3% |
| AIG | -10.12 | 21.78 | -46.5% |
| AXP | -2.52 | 9.08 | -27.8% |
| BA | 12.13 | 14.47 | 83.8% |
| C | -1.07 | 7.15 | -15% |
| CAT | -3.4 | 27.42 | -12.4% |
| CMB | -3.26 | 5.56 | -58.6% |
| DD | -2.54 | 14.02 | -18.1% |
| DIS | -0.36 | 5.68 | -6.3% |
| GE | -0.02 | 2.58 | -0.8% |
| GM | -8.53 | 18.23 | -46.8% |
| HD | -3.39 | 11.35 | -29.9% |
| HON | 0.82 | 5.24 | 15.6% |
| HWP | 1.54 | 7.24 | 21.3% |
| IBM | -23.03 | 23.03 | -100% |
| INTC | 3.57 | 6.97 | 51.2% |
| JNJ | 3.68 | 6.74 | 54.6% |
| KO | 2.99 | 5.55 | 53.9% |
| MCD | -1.12 | 6.42 | -17.4% |
| MMM | -5.42 | 13.86 | -39.1% |
| MO | 6.04 | 7.36 | 82.1% |
| MRK | 0.3 | 11.4 | 2.6% |
| MSFT | -0.92 | 4.18 | -22% |
| PFE | 1.01 | 6.51 | 15.5% |
| PG | 0.07 | 4.23 | 1.7% |
| SBC | -2.39 | 3.21 | -74.5% |
| UTX | 3.35 | 10.29 | 32.6% |
| VZ | -5.13 | 6.49 | -79% |
| WMT | -5.59 | 5.77 | -96.9% |
| XOM | 4.94 | 19.16 | 25.8% |
Summary:
| Ticker | Algebraic Total | AbsVal Total | Algeb./AbsVal |
|---|---|---|---|
| AVG | -1.42 | 10.02 | -0.1 |
| SD | 6.06 | 6.34 | 0.48 |
| CNT | 30 | 30 | 30 |
| Zscr | -1.29 | 8.65 | -1.12 |
| StdErr | 1.11 | 1.16 | 0.09 |
Source: Daily Speculations study
June 2, 2005
DATE RANGE: 5/1/05 - 5/31/05
Algebraic Total: Sum of the total daily moves within May 2005
AbsVal Total: Sum of the absolute daily moves from January to May2005
Algeb./AbsVal: Ratio of the two quantities above
| Ticker | Algebraic Total | AbsVal Total | Algeb./AbsVal |
|---|---|---|---|
| AA | -1.53 | 6.95 | -22% |
| AIG | 2.66 | 11.98 | 22.2% |
| AXP | 1.03 | 6.49 | 15.9% |
| BA | 4.42 | 12.66 | 34.9% |
| C | 1.19 | 6.15 | 19.3% |
| CAT | 7.07 | 17.83 | 39.7% |
| CMB | 0.19 | 5.61 | 3.4% |
| DD | -0.13 | 9.51 | -1.4% |
| DIS | 1.25 | 4.03 | 31% |
| GE | 0.68 | 5.02 | 13.5% |
| GM | 4.23 | 14.55 | 29.1% |
| HD | 3.68 | 9.78 | 37.6% |
| HON | 0.32 | 7.7 | 4.2% |
| HWP | 1.71 | 4.87 | 35.1% |
| IBM | 0.33 | 15.51 | 2.1% |
| INTC | 3.74 | 4.86 | 77% |
| JNJ | -1.47 | 5.35 | -27.5% |
| KO | 1.02 | 3.52 | 29% |
| MCD | 1.45 | 5.93 | 24.5% |
| MMM | 0.12 | 11.48 | 1% |
| MO | 1.64 | 7.3 | 22.5% |
| MRK | -1.81 | 4.47 | -40.5% |
| MSFT | 0.58 | 2.78 | 20.9% |
| PFE | 0.76 | 4.6 | 16.5% |
| PG | 1.32 | 6.86 | 19.2% |
| SBC | -0.5 | 2.22 | -22.5% |
| UTX | 6.03 | 21.15 | 28.5% |
| VZ | 0.39 | 3.43 | 11.4% |
| WMT | 0.12 | 6.86 | 1.7% |
| XOM | -0.59 | 14.99 | -3.9% |
Summary:
| Ticker | Algebraic Total | AbsVal Total | Algeb./AbsVal |
|---|---|---|---|
| AVG | 1.33 | 8.15 | 0.14 |
| SD | 2.12 | 4.8 | 0.23 |
| CNT | 30 | 30 | 30 |
| Zscr | 3.44 | 9.29 | 3.29 |
| StdErr | 0.39 | 0.88 | 0.04 |