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Hi,
This stock ranking is from the Mechanical Investing board on The Motley
Fool . I uses statistical analyses in the ranking of stocks. Method is described
below. Is this the kind of thing that you are working on, Phsst
Greg
URL of last week's projections:<A
href="">http://boards.fool.com/Message.asp?mid=19280301Here
are the Exponential Growth rankings for Friday, July 11, 2003. Screen StocksRisk Averse RYL QADI CECO DOX IMDCPessimist QADI RYL DOX AMHC CECORisk Neutral QADI EXLT DNA AMHC RYLOptimist QADI EXLT DNA AMHC PHSLow Volatility High Growth EDMC (*) EBAY (*) PGR OCR IGT(*)
These are the viable option candidates this week. A stock is a "viable"
candidate for a 6/3 option if (a) it is in the top 5 of the LVHG screen, (b) it
has a projected annual growth rate greater than 50% under the Risk Averse
formula, and (c) it has publicly-traded call options.Please see the
notes below for a brief explanation.Projected Total Annual ReturnsBased on 6 Months of Prior Data, Exponential Growth Model, and Friday close. Risk Risk Low VolatilityStock Mean Sigma Averse Pessimist Neutral Optimist High Growth*RYL 0.027253 0.043519 120% 201% 313% 465% QADI 0.036013 0.084674 92% 253% 551% 1098% CECO 0.025243 0.054176 70% 151% 272% 449% DOX 0.026600 0.060454 67% 158% 299% 517% IMDC 0.021822 0.044461 64% 126% 211% 329% EDMC 0.018796 0.034003 63% 108% 166% 240% 1EBAY 0.016640 0.027999 59% 94% 138% 191% 2GILD 0.018108 0.035958 53% 98% 156% 232% AMHC 0.028011 0.072105 52% 155% 329% 622% KSWS 0.020037 0.044072 50% 106% 183% 290% PGR 0.014978 0.028759 44% 77% 118% 168% 3AMZN 0.021873 0.054132 43% 111% 212% 361% SHRP 0.021441 0.052961 42% 108% 205% 347% COH 0.019414 0.046378 41% 96% 174% 283% ADVP 0.020596 0.051725 38% 101% 192% 324% AMGN 0.012494 0.022684 38% 63% 91% 126% 6HOV 0.021409 0.057537 33% 101% 204% 361% DHI 0.016851 0.042572 30% 77% 140% 226% APOL 0.014963 0.037758 26% 66% 118% 186% ANSI 0.014901 0.040206 22% 62% 117% 190% OCR 0.013569 0.035951 21% 56% 103% 162% 4PHS 0.025633 0.081207 18% 111% 279% 581% IGT 0.013028 0.035777 18% 52% 97% 155% 5UTSI 0.022231 0.069609 16% 92% 218% 425% GTK 0.012735 0.036252 15% 49% 94% 152% SNPS 0.015330 0.046517 13% 59% 122% 210% CSGP 0.017431 0.054575 13% 67% 148% 267% RE 0.012670 0.038405 11% 47% 93% 155% TSS 0.014305 0.044947 10% 52% 110% 191% DNA 0.030046 0.102005 10% 129% 377% 895% BER 0.010309 0.032169 7% 36% 71% 116% 8BVF 0.016380 0.054535 7% 58% 134% 247% URBN 0.017964 0.060487 6% 65% 154% 294% TTC 0.010435 0.035542 3% 33% 72% 122% 7HAR 0.011024 0.039391 1% 34% 77% 136% EXLT 0.030785 0.110777 0% 123% 396% 1002% PSUN 0.012543 0.046600 -2% 37% 92% 169% NVR 0.008748 0.033586 -3% 24% 58% 101% 9FDS 0.018390 0.069019 -4% 58% 160% 328% DG 0.017002 0.065576 -6% 51% 142% 288% BIO 0.016784 0.065011 -6% 50% 139% 283% NZT 0.007620 0.032871 -7% 17% 49% 88% 10PFCB 0.009606 0.043772 -12% 20% 65% 126% LXK 0.007660 0.037086 -13% 14% 49% 95% GYI 0.011275 0.051524 -15% 24% 80% 161% APPB 0.007565 0.038300 -15% 12% 48% 95% HTCH 0.010691 0.051542 -17% 20% 74% 153% FLWS 0.010247 0.051636 -19% 17% 70% 147% CKFR 0.016229 0.073298 -19% 37% 133% 294% BSTE 0.014732 0.067981 -19% 32% 115% 251% ESI 0.009390 0.049361 -20% 14% 63% 133% HELE 0.012682 0.063428 -23% 22% 93% 206% KRON 0.009928 0.054289 -23% 13% 68% 148% WDC 0.018673 0.086337 -24% 42% 164% 392% CHS 0.009332 0.060743 -32% 5% 62% 152% DLTR 0.008667 0.063144 -37% 0% 57% 147% STK 0.003291 0.045494 -38% -15% 19% 65% NXTL 0.010929 0.076073 -41% 2% 77% 206% AMTD 0.013558 0.092159 -46% 4% 102% 293% IDXC -0.001469 0.058205 -60% -39% -7% 41% Brief
explanations:1. The "Exponential Growth" model can be used in
mechanical investing to rank the stocks from any screen or set of screens. When
used on a set of screens, it is similar to (and hopefully better than) the
"Overlap" method. On the assumption that a "good" stock is one that grows
strongly along an exponential path, we calculate the mean and standard deviation
(sigma) of weekly change in log(Price), going back 26 weeks. We use weekly
closing prices, adjusted for splits and dividends. Thus, a "good" stock should
have a high mean and a very low sigma. The sigma statistic is often called
"historical volatility." It measures the amount of deviation from a purely
exponential path. Sigma can interpreted as a measure of the risk of the stock as
an investment. Values of sigma close to zero suggest that the growth of the
stock will not be erratic in the future, and therefore less risky. It is only a
suggestion, not a guarantee, or even a prediction.2. The next step is to
project what the price of the stock will be one year in the future, under
four different conditions:--- (a) growth will be two standard deviations
below expected (Risk Averse)--- (b) growth will be one standard deviation
below expected (Pessimistic)--- (c) growth will occur at the expected rate
(Risk Neutral)--- (d) growth will be one standard deviation above expected
(Optimistic)These four conditions serve to give investors a feeling for
where these stocks will be in the future, if they continue to grow as they
did during the previous 26 weeks. But beware: few stocks continue their past
behavior for very long. Our backtesting research is designed to measure the
predictability of top-rated RS stocks, but the results are not yet
ready.3. Next, projections made under the four above conditions are used
to generate four rankings of these stocks. The ranking implied by
condition (a) is called "Risk Averse" because it uses a severe adjustment for
risk. The ranking for (b) is called "Pessimistic" because it adjusts the growth
for risk. The projected rate of return in this condition is often called the
"Risk Adjusted Return" in the financial literature. The ranking for (c) is
called "Risk Neutral" because those who use it are not paying attention to risk
at all. The ranking for (d) is called "Optimistic" because investors who seek
out risk and volatility often prefer it.4. Finally, a fifth ranking is
generated known as the "Low Volatility High Growth" (LVHG) screen. This is
designed to find stocks with very low volatility that are nevertheless growing
strongly. The top one or two stocks in this screen may be especially appropriate
for 6/3 call options. The theory, still untested, is that option investors as a
class prefer momentum stocks with high volatility, like NEWP and RMBS. By
seeking out those strongly growing stocks that have rock-bottom volatility, we
hope to sneak in "under the radar" to find options that are dramatically under
priced. The LVGH screen is made by first sorting the entire table for lowest
possible volatility (sigma), then sorting the top ten for highest growth
(mean).5. Need more detail? Please visit Loren's website:<A
href="">http://www.Aetheling.com/MIBest
of Luck,Jeff
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