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finanzmaster


Total Posts: 158
Joined: Feb 2011
 
Posted: 2018-03-27 15:07
How to get and visualize the stock data from Alpha Vantage.
https://letyourmoneygrow.com/2018/03/24/visualizing-the-data-on-6356-american-stocks-with-r-source-code/

And what one may need them for.
https://letyourmoneygrow.com/2018/03/27/does-stock-picking-still-makes-sense-yes-it-does/

www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students

EspressoLover


Total Posts: 334
Joined: Jan 2015
 
Posted: 2018-03-28 09:09
But if the "experts" are right, it should be impossible to find such stocks since all they are allegedly driven by the same macroeconomic factors.

This is a common misconception of factor pricing models, like CAPM. They don't make any claims about the total magnitude of idiosyncratic risk. Only that diversifiable risk shouldn't be priced. Regardless of how uncorrelated single stocks are to the index, it doesn't impact the portfolio of a well-diversified investor. In fact I'd expect a CAPM-driven world to have idiosyncratic risk. If it isn't priced, then it doesn't impact valuation, and there's not incentive for corporate management to keep it contained.

I'm not endorsing the CAPM, or saying that it's absolutely true. But I think it's fair that if you're going to assail the "experts", that you at least give them a fair shake.

Good questions outrank easy answers. -Paul Samuelson

finanzmaster


Total Posts: 158
Joined: Feb 2011
 
Posted: 2018-03-28 10:56
@EspressoLover, to be true I am not sure I understand your message completely.
>Only that diversifiable risk shouldn't be priced
(by "priced" you likely meant "rewarded")
This is plausible but then the question is: is an ETF on index really free from an idiosyncratic risk?

Anyway, I, myself, meant it easier and first of all in context of an active(!) trading.
One should never put all eggs in one basket, it is obvious. So one has to look for trading opportunities among different stocks. And these stocks should be weakly correlated because if they are not, they share a common risk factor which can significantly bring down the whole portfolio.
I mean, even by active trading one often holds a position for several weeks. For strongly correlated stock there is always a risk that they will fall together during this holding period.

P.S. this is also worth reading.
https://www.fool.com/investing/general/2010/09/28/is-stock-picking-dead.aspx
They say:
widely followed statistic called correlation measures the tendency of investments to move together in a consistent way. Between 2000 and 2006, on average, the correlation of stocks in the S&P 500 was 27%, according to Barclays Capital. ... Between October 2008 and February 2009, at the height of the financial crisis, correlation hit 80%. ... When stocks rallied last year, the figure fell to 40%, then it spiked back over 80% during the European debt crisis, according to Barclays. What has caught many investors off guard is that correlation stayed high over the summer. In mid-August, correlation was 74%. In recent weeks, it has drifted down to 66%.

www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students

finanzmaster


Total Posts: 158
Joined: Feb 2011
 
Posted: 2018-04-03 15:34
And some fundamental insights:
https://letyourmoneygrow.com/2018/04/03/a-quick-but-insightful-look-at-stock-fundamental-data-summary/

www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students
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