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Daily Quant | 2014 | March
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2014 March

Weekly Research: Monday, March 31, 2014

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2014-01-21 Major-Markets-Comparison

Major Markets

Major Markets Ticker ER Ratio Last Close Entry Date Entry Price GainsLoss
MSCI EAFE Index EFA 604.717 66.86
MSCI Emerging Markets Index EEM 189.198 40.74
S&P 500 Index SPY 148.779 185.49 2013-01-28 150.33 23.39%
S&P MidCap 400 Index MDY 238.278 246.87 2014-03-03 248.45 -0.64%
S&P SmallCap 600 Index IJR 142.94 108.21

2014-01-21 Globe-Comparison


The Globe

Country Ticker Name ER Ratio Last Close Entry Date Entry Price GainsLoss
Australia EWA Australia Index MSCI Ishares 109.943 25.68 2014-03-10 25.27 1.62%
EWAS Australia Smallcap Index Fund MSCI Ishares 12.257 21.2
Austria EWO Austria Investable Mkt Idx MSCI Ishares 142.852 19.63
Belgium EWK Belgium Investable Mkt Idx MSCI Ishares 141.963 17.23 2014-03-31 16.98 1.47%
Brazil EWZ Brazil Index MSCI Ishares 209.056 44.87
EWZS Brazil Smallcap Index MSCI Ishares 43.823 18.85
Canada EWC Canada Index MSCI Ishares 101.852 29.36
EWCS Canada Smallcap Index Fund MSCI Ishares 2.396 23.71 2014-03-03 23.93 -0.92%
Chile ECH Chile Investable Mkt Idx MSCI Ishares 89.734 45.7
China ECNS China Smallcap Index MSCI Ishares 91.59 46.18
FCHI FTSE China [Hk Listed] Index Ishares 121.387 45.15
FXI FTSE China 25 Index Fund Ishares 190.927 35.82
MCHI China Index MSCI Ishares 145.582 44.93
Denmark EDEN Denmark Capped Investable Mkt Idx Fd MSCI Ishare 658.746 49.5 2013-08-19 39.33 25.86%
Finland EFNL Finland Cp Investable Mkt Indx Fund MSCI Ishares 310.186 34.79
France EWQ France Index MSCI Ishares 105.747 29.18
Germany EWG Germany Index MSCI Ishares 108.742 31.3
EWGS Germany Smallcap Index Fund MSCI Ishares 64.67 41.85 2013-08-19 35.78 16.97%
Hong Kong EWH Hong Kong Index MSCI Ishares 168.63 19.75
EWHS Hong Kong Smallcap MSCI Ishares 468.178 29.9
India INDA India Index Fund MSCI Ishares 88.216 26.37 2013-10-14 24.39 8.12%
INDY S&P India Nifty 50 Index Ishares 36.621 25.77 2014-03-10 24.5 5.18%
Indonesia EIDO Indonesia Invstble Mkt Idx MSCI Ishares 86.825 27.47
Ireland EIRL Ireland Cppd Invstb Mkt Idx MSCI Ishares 7.716 38.94 2012-09-10 22.07 76.44%
Israel EIS Israel Cap Invest Mkt Index MSCI Ishares 204.759 51.91 2013-09-23 45.8 13.34%
Italy EWI Italy Index MSCI Ishares 131.82 17.53 2013-08-12 13.55 29.37%
Japan EWJ Japan Index MSCI Ishares 164.055 11.33
ITF S&P/Topix 150 Index Ishares 79.624 48.31
SCJ Japan Smallcap Index MSCI Ishares 44.603 52.78
Malaysia EWM Malaysia Index MSCI Ishares 733.759 15.71
Mexico EWW Mexico Investable Mkt Idx MSCI Ishares 173.52 63.09
Netherlands EWN Netherlands Invstbl Mkt Idx MSCI Ishares 78.74 25.85
New Zealand ENZL New Zealand Invstb Mkt Idx MSCI Ishares 2575.56 42.9 2014-03-10 41.67 2.95%
Norway ENOR Norway Capped Investable Mkt Idx Fd MSCI Ishares 46.587 31.49 2014-02-24 31.43 0.19%
Peru EPU All Peru Capped Index MSCI Ishares 195.205 32.04
Philippines EPHE Philippines Invstb Mkt Idx MSCI Ishares 165.74 33.86
Poland EPOL Poland Investable Mkt Index MSCI Ishares 191.932 29.63
Russia ERUS Russia Capped Index MSCI Ishares 75.718 17.61
Singapore EWS Singapore Index MSCI Ishares 248.593 13.02
EWSS Singapore Smallcap Fund MSCI Ishares 61.443 27.24
South Africa EZA South Africa Index MSCI Ishares 118.317 66.41
South Korea EWY South Korea Index MSCI Ishares 100.32 61.13
Spain EWP Spain Index MSCI Ishares 108.613 40.44 2013-08-05 31.64 27.81%
Sweden EWD Sweden Index MSCI Ishares 203.496 35.86 2014-03-10 36.5 -1.75%
Switzerland EWL Switzerland Index MSCI Ishares 240.013 33.92
Taiwan EWT Taiwan Index MSCI Ishares 90.705 14.31
Thailand THD Thailand Invest Mkt Index MSCI Ishares 554.088 72.25
Turkey TUR Turkey Invest Mkt Index MSCI Ishares 928.249 47.04
United Kingdom EWU United Kingdom Index MSCI Ishares 170.344 20.52
EWUS United Kingdom Smallcap Index Fund MSCI Ishares 152.167 43 2013-07-15 34.35 25.18%
United States IVV S&P 500 Index Ishares 213.828 186.56 2014-03-31 188.8 -1.19%

2014-01-21 Commodities-Comparison


Commodity Ticker ER Ratio Last Close Entry Date Entry Price GainsLoss
Gold GLD 200.895 124.56 2013-09-03 135.43 -8.03%
Oil OIL 260.146 24.01 2014-02-24 24.08 -0.29%
Silver SLV 94.53 19.05

2014-01-21 Diversified Assets-Comparison

Diversified Assets

Mutual Fund Ticker ER Ratio Last Close Entry Date Entry Price GainsLoss
Commodities Broad Basket DXCLX 113.569 64.43 2014-02-18 62.43 3.20%
Diversified Emerging Mkts GBFAX 300.315 14.11
Foreign Large Value FIVLX 183.767 8.92
Foreign Small/Mid Value QUSOX 495.079 13.07 2013-10-14 11.227 16.42%
Global Real Estate FIRAX 101.471 10.15
Large Blend PIXAX 541.322 6.72
Large Growth IWIRX 105.522 31.25 2012-09-10 20.194 54.75%
VHCAX 160.952 110.51 2012-09-10 71.644 54.25%
Large Value CAMAX 198.61 17.04 2012-12-24 10.88 56.62%
SFLNX 223.33 14.37 2013-11-11 13.62 5.51%
Real Estate KSRAX 238.956 29.58
Small Blend FSCRX 204.232 30.94
  2014-03-31 Sector Exposure 2014-03-31 Fund Exposure One of the new developments that we have made within the VPM Labs are the Sector and Fund Investment Exposure Charts. These charts are designed to provide a high level view of the current Long positions and any new Buys and Sells in term of percentage of that category. The Opt. Weekly Sector Investment Exposure charts shows the percentage of all stocks within each sector that are Long in addition to the percentage of new Buys and Sells this week using the current mapped Optimized Weekly Trade Systems. The Opt. Weekly Fund Investment Exposure Chart details the current Mutual Fund investment exposure by Investment Group and Category. This is a look at all Funds in our system across all shares classes to provide a comprehensive view of the current investment exposure in each of the investment categories that are represented in your Mutual Fund portfolios.  

The Weekly Brief: Monday, March 31, 2014

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Market Overview

YTD Performance 2014-02-24 YTD S&P 500 Pacing 2014-02-24 SPPacing

Chinese Yields Decline as Stimulus Hopes Boost Markets…

Who would ever thought there’d be a time where activity in China would drive the rest of the world? Well, that day is here. As yields decline in the Chinese currency, we are seeing positive activity in most markets. Remember the currency crisis in Turkey? Well it is long behind us as they are seeing their currency rally to a two-month high. The Ukraine situation continues to fade even though somehow Putin is telling Obama that he’s not interested in any further action but he got everything he wanted. Meanwhile, the West is left spinning, wondering what to do next. But from a financial standpoint, none of these things have any impact other than the activity in China. But this week is about the US and the economy and we have a full schedule. On Monday Janet Yellen is talking, Tuesday there are several economic releases starting with PMI manufacturing index, ISM manufacturing index, and construction spending. Wednesday ADP employment report is expected to show 195,000 new jobs, factory orders and two of the presidents of the Federal Reserve, Dennis Lockhart and James Bullard, are speaking. Thursday jobless claims, PMI service index, ISM manufacturing index, and a slew of treasury bills and bond auction announcements. Friday, of course the big day, the employment situation to be released with expectations of 200,000 jobs and the unemployment rate dropping to 6.6%. All of this will be what’s driving the markets this week. While we’ve seen a sideways market unfold for the past several weeks, as I’ve suggested there is still a bias to the upside. It is likely that the range bound market will not be range bound for much longer. This weekend’s run showed a lot of new activity which was somewhat unexpected from the sideways pattern that has been unfolding for the past six weeks. While expectations were for the market to decline slightly lower it now appears those bets are off and there is a positive rotation going on as the as the bullish percent has moved up to 61.7%. As I mentioned in last week’s commentary, it will take a move above the 68% level to negate the death pattern that I’ve been talking about. Should this occur, it would suggest yet another rotation in this market suggesting much higher prices in the pattern. With only about 40% of the expected holding periods fulfilled and about 32% of the expected returns in the current long positions it appears that there is a minimum of another 8 to 12 weeks of this rally to unfold. As I have mentioned several times in the past, the expectations are for a top to be reached by the end of Q2. However, should the bullish percent rise over 68%, it would suggest that the rally would continue into Q3. As I mentioned in last week’s podcast, when everybody’s looking for a top it never seems to come. So there seems to be way too much consensus that the market has gone far enough as the same pattern continues to unfold over the last 18 months as this rally continues to defy all expectations. With most of our strategies continuing to be 80 to 98% invested, VPM is poised to continue to participate with this ongoing sequence that we have watched unfold since September 2012 as this particular sequence moves into its 18th month.

By the Box

YTD Performance
2014-02-24 StyleBoxes1
Performance Divergence
2014-02-24 StyleBoxes2

SP 500 for the week of 03/24/2014

2014-02-24 PriorWeek2014-02-24 PriorWeekLevels

Looking back on last week

Monday The market started the week on a cautious note with the NASDAQ leading the market down. The big talk was the decline in biotech and many of the high momentum stocks which VPM has already sold or is selling currently. The key to this current cycle is that there is yet another rotation going on. It appears that the interest sensitive sectors are coming back into play again. At the end of the session we saw the NASDAQ down 1.2% while the S&P 500 fell 0.5% with eight of the 10 sectors finishing lower. Tuesday Tuesday began on a stronger note as most of the markets rebounded and were able to maintain their advances into the close with the S&P 500 closing up 0.5%. Some of this recovery was due to a bounce in the biotech stocks which have been under pressure. But most of the positive tone came out of the remarks from the Bundesbank that suggested that the ECB could implement a QE type program to fight deflation. In spite of these comments, the ECB president spoke later in the day and said that the ECB is not currently seeing any evidence of deflation. Wednesday The markets opened on a stronger note but faded throughout the session as the Russell 2000 led the way down 1.9%. The NASDAQ declined 1.4% and the S&P fell .07%. Once again the early rally was led by the biotechs but they were unable to hold the gains as we saw the markets decline throughout the session. Healthcare was the only sector that showed a positive close being up 0.1%. Thursday Markets continued to decline on Thursday after opening lower. The markets remained under pressure as the NASDAQ widened its week to date loss to 3.6%. The S&P 500 settled lower by 0.2% with its weekly decline of 0.9%. The big news of the day was that GDP was revised up to 2.6% from 2.4% while the weekly initial claims fell to 311,000 from 320,000 the previous week. Friday The market finished a moderately cautious week on a stronger note on Friday. The S&P 500 added 0.5%, trimming the weekly loss while the NASDAQ composite closed flat on the session finishing the week with the 2.8% decline. Most of the advances that had begun on Friday were triggered by stimulus talk out of China. Most of the market sentiment was driven by volatility in the biotechs and the financials.

S&P 500 for 03/28/14

2014-03-21.2 As I have been discussing for the past several weeks, the trading range of 1842/1882 has continued to unfold. It appears that the configuration suggests that there is a 60% probability for the market to close above the 1882 level this week. Should this occur, it will signal higher prices suggesting that we can move toward the 1905/1919 levels I have been discussing over the past several months. The big news for this week was the surge of orders out of VPM as many symbols that have been consolidating are breaking out of their pattern suggesting that a new rotation is occurring in the database. As I mentioned earlier, a rotation above 68% bullish percent would suggest another 8 to 12 weeks of a rally and potentially going as long as 18 to 21 weeks. This would carry the rally into Q3 and possibly into Q4. There still is a 60% probability that this rally will finish in this quarter and we will start to see a retracement of the 18 to 20 month rally that we’ve seen unfold since September 2012. The intermediate models suggest that if we do get a close over 1882 that this 8 to 12 week rally could carry as high as 1933/1954. There are some new objectives that are starting to emerge out of this sideways pattern that has set up over the past six weeks. On the downside, the 1842 level continues to be critical in the pattern. If penetrated, a move down toward the 1827/1818 levels would be signaled. The longer-term critical level in this pattern is 1795. A penetration of this level would indicate a major top. Currently, there is only a 30% probability for that to occur. All the sudden there appears to be very little to derail a further advance in the markets. Geopolitical risk appears to be off the table and the likelihood of a continuing economic expansion to keep the sentiment positive is high. The market should open higher, with a 60 percent probability to close higher, should the market remain above the 1848.75 level today.

This Week’s Key Levels

ER 1896.90
R3 1887.60
R2 1877.25
Resistance R1 1866.90
Prior Close   1857.62 -8.78
Support S1 1848.35
S2 1838.00
S3 1827.65
ES 1818.40

Today’s Key Levels

ER 1875.40
R3 1871.20
R2 1866.50
Resistance R1 1861.80
Prior Close   1857.62 +8.58
Support S1 1853.40
S2 1848.75
S3 1844.05
ES 1839.85

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The Daily: Friday, March 28, 2014

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The end of an uneventful week…

As this week comes to an end we did see a slight bias to the downside that was expected in Monday’s commentary. However, the downside has been muted. Unless we penetrate through the 1840.25 level today, it is likely that we have seen the range for the week. There is a slight bias to the upside today as yesterday’s close did manage to confirm the outside bar. The critical level today will be 1855.55. This was Thursday’s high. If penetrated, it will suggest that there will be a minor rebound toward the 1862.45/1866.60 levels. As it stands right now, the key pivot point at 1842.05 held as we had an intraday low of 1842.11. The market rebounded from there to close at 1849.04. The configuration suggests that the trading range will continue between the 1842/1882 levels until we see a penetration of this range. As I mentioned in Thursday’s commentary, the sideways action is continuing to cause some dissipation of the upward momentum but there still is a slight bias to the upside over all on the intermediate charts. With today being a weekly close, should we close below the 1853.20 level then this will suggest further weakness to the downside next week. As I have discussed several times, there is a 40% probability for the market to decline to 1825/1817 during this period. The market should open flat to higher, with a 60 percent probability to close higher, should the market remain above the 1840.25 level today.  

Today’s Key Levels

RX 1866.60
R3 1862.45
R2 1857.85
Resistance R1 1853.20
Prior Close   1849.04 -3.52
Support S1 1844.90
S2 1840.25
S3 1835.60
SX 1831.50

The Daily: Thursday, March 27, 2014

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Crazy IPOs are finally recognized as crazy IPOs.

Yesterday’s initial public offering of KING, the makers of Candy Crush, opened lower and continued lower for the entire session. Facebook, Twitter, and others also declined that were in the same category. As I mentioned yesterday, it seems to be crazy that a game on iPhones and android devices could be worth $7.1 billion. I guess it’s not worth that any longer. There were several things that occurred yesterday. There was a rumor of a very large trade that was done shorting $2.8 billion worth of futures and options on the S&P by a large player. This triggered a selloff midsession which continued right into the close. Many of the high momentum stocks also continued to show weakness and weighed on sentiment as well. From a technical viewpoint, the market experienced an outside reversal. This will be the fourth reversal in the last nine sessions. We have yet to have a confirming close after one of the reversals to signal a directional move. A lower close today will do just that, signaling 3 to 5 sessions of lower prices and trading down to a minimum of 1831/1817 levels. There is substantial support at the 1842.05 level. Should this level hold, we will likely continue the sideways trading range we have been in for the past two weeks. Should this be the case, expect a continuation of the choppy, non-directional movement into next week. However, should we close lower tomorrow then this will break the pattern suggesting the decline that I mentioned above. On the upside, it would take a close above the 1868.60 level to signal a move back toward the higher end of the range that we have been watching unfold for the last several days. There is only a 30% probability for it to close above that level while there is a 60% probability for it to close lower today. The market should open flat to higher, with a 60 percent probability to close lower, should the market remain below the 1868.60 level today.

Today’s Key Levels

RX 1873.55
R3 1868.60
R2 1863.05
Resistance R1 1857.00
Prior Close   1852.56 -13.06
Support S1 1847.60
S2 1842.05
S3 1836.55
SX 1831.60

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The Daily: Wednesday, March 26, 2014

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Shades of 2000 and the Dotcom bust!

Well the kids at Facebook are spending billions again on yet another company that has no product and has no revenues for $2 billion. Then we are seeing IPOs like the makers of Candy Crush coming to the market with a $7.1 billion valuation. It appears to me that the companies that are coming to market seem to be bogus and not long-term models of anything. Is Candy Crush a long-term investment? It appears that market participants continue to grab at just about anything to invest money in. It takes us back to the days of Pet.com and other business models that had no promise whatsoever. It appears to me these are the kind of crazy investments that seem to show up at major market tops. The action yesterday continued the same pattern that we’ve seen over the last several weeks. A new high is reached and then the market pulls back, trades sideways for the next several days, attempts another rally, and then fails. As I mentioned in yesterday’s commentary, the overall configuration continues to be biased to the upside. But every day/week that goes by that the market is unable to sustain a new upward surge places the market in further risk of a major decline and pattern failure. It’s also been difficult to see two days in one direction. We did see a reversal off a high and another decline on Monday, but we are not seeing any significant follow through. So, it is very difficult to determine the next major move out of this zone with volatility remaining relatively flat as the market is trading in a flat pattern. Over the past several weeks we have seen the VPM database continue to accumulate some new positions and deploy cash. But most cash levels remain around 30% on equity strategies and slightly heavier on mutual fund and ETF strategies. The key level on the downside today is 1860.90. A penetration will suggest further downside toward the 1850/1845 levels. On the upside, the key trigger point of 1875.65 will signal a retest of the 1882 level. Overall, continue to expect the market to trade in a sideways range between the 1841/1882 levels. The longer-term objectives of 1905/1919 still remain valid. The market should open flat to higher, with a 60 percent probability to close higher, should the market remain above the 1860.90 level today.

Today’s Key Levels

RX 1885.65
R3 1880.90
R2 1875.65
Resistance R1 1870.35
Prior Close   1865.62 +8.18
Support S1 1860.90
S2 1855.60
S3 1850.30
SX 1845.60

The Daily: Tuesday, March 25, 2014

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The Market Finds Support Again…

Yesterday’s action began on a stronger note and then began to fade within the first hour of the trading session. The market traded down to the 1849 level, just below the S3 support level. From here, the market began a rebound to close off the lows of the session but below the 10 day moving average and still lower for the day. Should the market manage to close under the 1852.50 level today, it will continue down to test the 1841.40/1836.45 levels. While most of the focus yesterday was on weaker than expected economic numbers, it is my expectation that the market will remain in this sideways range between the extreme level of 1841 and the upper levels of 1874.50 for the next several sessions. However, a close below the 1841.40 level will signal a further move down toward the 1822/1817 levels. As I mentioned in yesterday’s commentary, there continues to be a slight bias to the upside in spite of the weakness that we saw Monday. The key support level underneath the market is well below this level at 1795. I continue to see this sideways pattern unfolding for at least 3 to 4 more weeks. However, next Monday’s close will be the end of March and the completion of the first quarter. It is still my general belief we will see a top sometime before the end of Q2. One of the issues with this sideways pattern is that it is triggering a loss of upward momentum on the intermediate and long-term charts. While there is still a likelihood of a spike toward the 1905/1921 levels, the probabilities are declining each week that the market is unable to close above the 1882 level. The market should open flat to higher, with a 60 percent probability to close higher, should the market remain above the 1852.50 level today.

Today’s Key Levels

RX 1878.45
R3 1873.50
R2 1867.95
Resistance R1 1862.40
Prior Close   1857.44 -9.08
Support S1 1852.50
S2 1846.95
S3 1841.40
SX 1836.45
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