Risk Model

Here is our forward looking risk model, as of last night’s close.
Note that the most Bullish aspect is the excess bearishness!


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  1. Michael C. commented on Jan 9

    Great info, BR. Thank you.

    What is the liquidity category?

  2. paul commented on Jan 9

    Maybe time for a FusionIQ category on this blog?

  3. michael schumacher commented on Jan 9

    Your sentiment indicator on the first set is Bullish??? How did that happen when every other indicator shows neutral to bearish

    OR is this a new form of research brought to us by the NAR…..LOL

    could’nt resist……


  4. michael schumacher commented on Jan 9

    and yes it seems like I did’nt read the above however I want to know HOW it’s quantified….


  5. 2and20 commented on Jan 9

    if 2007 taught you anything, it’s “don’t trust black boxes”…any description for your model’s data?

    and any way to stop half of the posts i try getting caught in the spam filter?

  6. cinefoz commented on Jan 9

    Here is my secret for sector predictions. I am revealing it because, as most stock tips, it will be ignored. Plus, it takes a lot of effort and time to learn and understand it. Thus, my secret will remain safe.

    Think ‘Statistical Process Control’ and view sectors as a process. Use economic theory and psychology to explain normal and abnormal variation within the control range. Once you understand variation, you can begin to make predictions. You don’t need complicated technical analysis.

    George Montgomery is fairly easy to understand. He has written numerous text books on the subject.

    Statistical Quality Control Using Excel by Zimmerman and Icenogle is a simple to understand and excellent introduction to the concept.

  7. D H commented on Jan 9

    I think the short term sentiment (as a contrarian indicator) may be bullish, but longer term RSI and MACD have a ways to go.

    I think this is the best article of the day (it’s not mine):


    Also, it’s hard to play short term contrarian trades when you realize that most of the market is only first accepting that things are AS BAD or WORSE than they wanted them to be. Go to B&N and jaw-drop at the bullish 2008 prediction articles.

    IMO, the short term sentiment indicator needs to be weighted less than the others …

  8. John Borchers commented on Jan 9

    Model looks good.

    Banks have more to go? Why?

    Imagine bank assets in the equity market. Every previous time we plummetted it came right back up. So there was no need to write down the asset side.

    Watch what I think will happen in the future!

    Most our US banks are bankrupt.

  9. cinefoz commented on Jan 9

    In fact, I think S&P 1360, or close by, will be the bottom, and it will bang around there abouts for about a month before turning upward. (A couple of weeks ago I wrote 1380. That was an error in memory on my part. I have data in front of me now.)

    Having said that, if Hong Kong, Korea, Brazil, or other market that has only dipped a little breaks out to the downside, there may be a little more damage to the S&P, but only a little.

    Personally, the fact the minor markets have not dipped more is variation I have trouble explaining. Watching them hold still, mostly in dead ranges makes me think that something similar is coming for them. I will probably avoid them for a bit longer.

  10. cinefoz commented on Jan 9

    And if craziness takes over, causing the S&P to fall much below 1360, that will be a gift to anyone who has cash on hand.

  11. michael schumacher commented on Jan 9

    keep buying up that SPY…..LOL over the ask

    PPT working overtime at the August lows…
    easy to see…


  12. Vermont Trader.. commented on Jan 9

    Just covered my shorts and sold my TIP… I think the party is over for the shorts for now..

    Time to take a nice vacation and wait for a rally to sell….

  13. lurker commented on Jan 9

    Proprietary dreck Barry, without a track record. How has it done and audited by whom?

  14. Suge Knight commented on Jan 9

    Retail numbers must be nasty, PPT working on some ‘cushion’ for tomorrow, we’ll see.


  15. michael schumacher commented on Jan 9

    does anyone know or can offer up ANY reason (other than the spurious buying of the SPY at the lows) that could have caused this reversal??

    Can’t find anything that has any inkling of relevancy…….

    Suge- You may be correct…..I have no idea but something is coming soon…..

    Let’s see Market takes out August lows amidst more deteriorating fundamental news on the back of a poor day previous……sounds like the perfect time to buy….everything in sight…LOL

    These guys will deny it till the grave….


  16. Suge Knight commented on Jan 9

    I don’t buy this rally, nasdaq was down 25 points this morning and ultra short tech as negative as if it was being ‘manipulated’ (PPT?). Two, even if retail numbers are not that bad, their forecast for the rest of the year will be weak. Let me give you guys an example here, Countrwyide employees, Wamu Employees, KB homes employees, etc., do you guys have any idea how much ‘paper wealth’ these people have lost? 80% of their paper wealth is gone. Do you think these people went on a shopping spree this Christmas? Oh I forgot to mention, real estate values dropping to more realistic levels. So what if the fed cuts 50 basis points? How long will that last? A month? You can’t expect the market to drop every day.


  17. michael schumacher commented on Jan 9

    I hear ya Suge-

    I’m just sick of the institutions and the ability they have to do this whenever they want. You could’nt have scripted today any better…I even did yesterday however I was off (by a long margin) of where it would end up…I said 12,600…..what a fool I was….

    That this type of action can be done by a few is what is really wrong here..not the lying or the cheating (because you’ll never remove that) but the ability to bully the market up simply because you can needs to be taken away from these people. It’s sort of the reason we have all these problems now.

    Rate Cut or Tax “stimulus”….somebody already knows (based on the volumes)


  18. Short Man commented on Jan 9

    I hear you MS but that has all been part of the big game for a long time now. I think there have been rally attempts like this earlier in the week as well but those failed and only succeeded today because of the deeply oversold conditions. Since the market barely got back half of yesterday’s losses, I don’t see anything fundamental changing. I would also be pretty surprised if a rate cut were announced this week.

    Short Man

  19. Rusty commented on Jan 9

    Barry, I’d love to hear your theory on today’s 3:50 pm launch. That was beyond ridiculous.

  20. techy2468 commented on Jan 9

    if i am right, poole’s statement about inflation not out of control was a hint from FED that we will get the 50 pt rate cut.

    if tomorrow it does not get confirmed i expect a sell off….but if there is more such news….expect another big rally…

    buyers were almost broken….and they were not willing to buy any more (most have run out of cash buying on dips).

    but today rally will inspire buyers to support the fall tomorrow.

    time to wait and go short after 50 pt rate cut…

  21. Suge Knight commented on Jan 9

    Retailers are already reporting weak sales, American Eagle, Hot Topic, etc. Let the ‘rally’, ‘bad news are priced in’ mentality run for a little while. It’s OK.

    Bringing the West Coast back b i t c h !!

  22. Suge Knight commented on Jan 9

    Something was ‘fishy’ this morning, ultra short techs were negative the whole day even when the Nasdaq was down 25 points, never seen that before. Let’s be realistic though, it doesn’t matter, results is what counts. You have to take what the market gives you whether there is manipulation or not, it’s all part of the game.


  23. Chris Noyes commented on Jan 9

    I think 2008 will be the year of the short . What happen when the consumer slows spending ? We no longer make anything in this country except debt which we export . So the FED knows to be careful cutting rates. Cut the rates save the Bank and fuck the consumer with price increases from China . So there is no answer …. Any answer will be the wrong answer . I’m fully short for 1 month now on MBI , Ambac , XL , KBH , and up %32 percent . So I might be somewhat bais . Good Luck to all

  24. Chris Noyes commented on Jan 9

    I think 2008 will be the year of the short . What happen when the consumer slows spending ? We no longer make anything in this country except debt which we export . So the FED knows to be careful cutting rates. Cut the rates save the Bank and fuck the consumer with price increases from China . So there is no answer …. Any answer will be the wrong answer . I’m fully short for 1 month now on MBI , Ambac , XL , KBH , and up %32 percent . So I might be somewhat bais . Good Luck to all

  25. Suge Knight commented on Jan 9

    I’m looking at the % increases of companies accross all industries and comparing it to where they were trading 6 months ago, it’s ‘pathetic’. Even with a 10% jump today, most of the companies I’m looking at are down still 20% to 30%. In my opinion, just to break even, the Dow and Nasdaq will need to have 300 point rallies every day for a week and a half (just a guess, don’t quote me). Some retailers are up after hours eventhough they’re lowering their forecast for 2008. This will not last, it will not last. Major layoffs coming, Countrywide, Wamu, Citibank, you name it.

  26. Walt commented on Jan 9

    Speaking of risk models, Moody’s said today that the “ability to track risk has shrunk forever”. “It is extremely unlikely that in today’s markets we will ever know on a timely basis where every risk lies,”


  27. Stuart commented on Jan 9

    How can MBIA maintain it’s triple A rating if it has to slash dividends as it’s that cash strapped??????

  28. D H commented on Jan 9

    Chris Noyes,

    You should learn how to use puts. You would have easily doubled or tripled your money at this point. I hold puts on RT (nice AH!), TLB, WB, and BBBY. They have been unbelievable. Then, when we languish in some bottom (who knows when), I will switch to calls. Who says you can’t have it both ways? I don’t invest much at the inflection points, but once stocks start deteriorating according to weakening macro trends and fundamentals, I pounce hard.

    cinefoz, can you talk more about setting up how one can set up a statistical control model for the market?


  29. Bloated Jeff Macke commented on Jan 9

    gee nice model Barry, looks surprisingly similar to another company’s proprietary model hmmmm….. copyright infringement perhaps?

  30. Eric Davis commented on Jan 10

    the 1480-1475 level. had about 6 different technical levels in it;
    August lows,
    march lows,
    76.4 retracement: may 06 high and December high
    76.4 retrace:October high May 06 high

    50% retrace: October highs july 06 lows.

    As we bounced off the November lows, of course we will bounce off the august/march lows.
    The rally showed signs of short covering, and not buying on the bid/ask tick ratio..

    I wouldn’t be suprised if we go back to the 1420-1425 resistance… and make a new run lower..
    I also wouldn’t be surprised if we open flat to down and just sell off again.

    Very oversold, we needed a shake out lots of the weak shorts, suck in some stupid longs. give some people a chance to reposition. This market hasnt’ been this week since 2001

    Of course I could be wrong.

  31. KIO commented on Jan 10

    Everybody has a model. Using my long-term model for SP 500 I made a predcition in April 2007, that SP 500 would drop in the period October through December 2007 practically to its level one year ago, i.e. to the level observed in December 2006 plus 4%. Quantitatively, it should be in the range from 1440 to 1460, and was at 1468.

    Yesterday morning, 09.01.2008, the index was below that I predicted for the end of January 2008 – 1504. I think that this is just a fluc and it will recover to the predicted level of 1500 by the end of this month.
    A rally has been started and will continue its (volatile) way back to 1500. No heavy clouds at one year horizon and further into 2009.

    So, do not panic. As it stays now, the return for January 2008 (from 10.01 to 31.01) will be around 6%. It is likely, however, that the index will have local minima due to natural fluctuations in current uncertain situation (for investors).

  32. cinefoz commented on Jan 10

    DH said

    cinefoz, can you talk more about setting up how one can set up a statistical control model for the market?

    reply: Find a sector and get a long term graph of it. Does it look like a process in control? Does the control range remain constant or shift? And why does it shift or remain constant? Using economics and psychology, explain the variation. I don’t calculate ranges or standard deviations. A good graph over a long enough period of time should make those clear.

    To some extent, this is just the next level of napkin charting. You are just holding yourself to a system and forcing yourself to understand the process. Just as an engineer would attempt to explain outliers regarding a measurement on a machine, you should understand why things happen as they do in economic and psychological terms. That’s the real work.

  33. Suge Knight commented on Jan 10

    Retail sales weaker than expected and during the Christmas season. Imagine what the rest of the year is going to be like. As far as a rally goes, sure, we can rally. Why not? Will it last? Not at all, wait until WAMU, CFC, etc., start laying off employees in the thousands, then you’ll see retail sales drop faster than a rock, same goes for credit card companies.


  34. Suge Knight commented on Jan 10

    One more thing, don’t be surprised if ‘Ben Dover’ Bernanke tells the market to “GF” Itself.


  35. Suge Knight commented on Jan 10

    I can’t believe anyone would buy into Bernanke’s speech or the rally that just took place. How is rate cut going to help retailers or consumer spending for that matter? I know so many folks at Countrywide who have lost 95% plus value of their portfolios/retirement plans. What good does a rate cut(s) for them?


  36. Suge Knight commented on Jan 10

    This has to be the weakest ‘rally’ I’ve seen in a while. Couple of bad news and back to 12,500 (or under) in no time. Since I’m the only one posting here, I’m assuming everyone else is busy buying or shorting, right? I didn’t buy or sell anything today by the way, I’m comfortable with what my positions.


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