Historic Black Swans in Historical Financial Data: EQT on 13.11. 2018 et al.

On November 13, 2018 the shares of EQT Corporation (NYSE:EQT) fell down by 46%. Yet, as Montley Fool reported, it was just a spinoff of the midstream assets into a separate public company, Equitrans Midstream Corp... FinViz and eoddata.com has completely failed to depict this event properly. Yahoo.Finance and AlphaVantage coped with it but only to some extent. We discuss the problems, caused by such events and sketch some ways to mitigate them. Continue reading "Historic Black Swans in Historical Financial Data: EQT on 13.11. 2018 et al."

Häuslebau II – Plan B: Bau wird verschoben bzw. sogar aufgehoben

Vor einem Jahr habe ich über den Kauf eines Grundstücks ohne Baupflicht ausführlich berichtet. Ich war damals in der Probezeit (was die Darlehensgenehmigung schwer jedoch nicht unmöglich machte) und mein Plan A war nach der Probezeit mit Hausbau anzufangen. Die Idee war, die monatliche Kaltmiete in die Monatsrate umzuwandeln, was ohne jeglichen Zusatzaufwand ca. €27000 sparen würde. Allerdings hat es mit dem neuen Job nicht rightig geklappt, so kommt nun Plan B: Verkauf des Grundstücks nach dem Ablauf der Spekulationsfrist.
In diesem Beitrag zeigen wir Schritt für Schritt die Kalkulation dieses Plans mittels unseres Quantitatives Toolbox. U.a. zeigen wir, dass der Grundstückerwerb eine bessere Alternative als ein Aktiensparplan war!
Continue reading "Häuslebau II – Plan B: Bau wird verschoben bzw. sogar aufgehoben"

The Highest Volatility in October? Don’t trust a Superficial Statistics!

A recent post "Fasten your seat belt for stocks: October is almost here" on MarketWatch, repeated by Morningstar and shared in my social networks may make an illusion that it is likely to expect high(est) volatility in October. A little bit more detailed statistical analysis shows that such expectation is superficial.
A more general (and very old) lesson from this case: the statistical analysis is much more than a primitive consideration of the mean values in groups. And of course: don't trust provoking titles. Continue reading "The Highest Volatility in October? Don’t trust a Superficial Statistics!"

Yahoo Finance Live Feeds in Excel after their API Discontinuation in November 2017

On the fateful Wednesday of November 1st, 2017 Yahoo decided to stop their – until then – free service of delivering real time market data as a text stream through a special URL. For hundreds of businesses and individuals who had relied for years on Yahoo's benevolent free service, this single action meant only one thing: Instant death! Continue reading "Yahoo Finance Live Feeds in Excel after their API Discontinuation in November 2017"

Your Fundamental Analysis is Only as Good as Your Data are: The Example of NWL

Whereas the opinions on the usefulness of technical analysis are highly controversial, it is generally agreed that the fundamental analysis does make sense. Value investing, e.g. the choice of companies with low p/e and p/b coefficients but high RoE and EBIT-Margin is not an uncommon approach. However, the data quality and creative data interpretation are critical. Otherwise one yields yet another GiGo: Garbage in, Garbage out! Continue reading "Your Fundamental Analysis is Only as Good as Your Data are: The Example of NWL"

Betriebstrenten sind in Gefahr – Teil II: was tun?

In diesem Folge-Beitrag betrachten wir, was Du – sowohl als Bürger als auch als Einzelperson – gegen die Entwertung der Betriebsrenten machen kannst. Continue reading "Betriebstrenten sind in Gefahr – Teil II: was tun?"

A Fairy Tail or The Magic of Extreme Casino Wins

Michael Shackleford, a who has made a career of analyzing casino games, designed Australian Reels Slot Machine in 2009. In modeling the casino's risk of ruin he (blindly) relied on the normal distribution. We show that this drastically undervalues the tail risk. Continue reading "A Fairy Tail or The Magic of Extreme Casino Wins"

Pitfalls of Nelson-Siegel Yield Curve Modeling – Part II – what ML and AI can[not] do

In our previous post on Nelson-Siegel model we have shown some pitfalls of it. In this follow-up we will discuss how to circumvent them and how machine learning and artificial intelligence can[not] help. Continue reading "Pitfalls of Nelson-Siegel Yield Curve Modeling – Part II – what ML and AI can[not] do"

Pitfalls of Nelson-Siegel Yield Curve Modeling – Part I

The Nelson-Siegel-[Svensson] Model is a common approach to fit a yield curve. Its popularity might be explained with economic interpretability of its parameters but most likely it is because the European Central Bank uses it. However, what may do for ECB will not necessarily work in all cases: the model parameters are sometimes extremely unstable and fail to converge.Nelson-Siegel Calibration Failure in YieldCurve R Package Continue reading "Pitfalls of Nelson-Siegel Yield Curve Modeling – Part I"

JuniorDepot7c – Lots of Actions and Calculations

Market were really turbulent during the last weeks. We committed a lot of trades with Elle and did some important calculations of our trading costs. Continue reading "JuniorDepot7c – Lots of Actions and Calculations"