Module: Math::Finance::Benchmarks
- Defined in:
- lib/ruuuby/math/finance/benchmarks.rb
Overview
‣ | ‘personal consumption expenditures (PCE)` | tracked & reported by the `Bureau of Economic Analysis` | @see www.bea.gov |
‣ in general: inverse relationship between ‘interest rates` and `money supply`
‣ in general: inverse relationship between ‘bond values` and `stock market`
common terms:
common equity brackets:
common pattern names:
common time frames:
5 common types of bonds:
‣ ‘Treasury bills` | short-term securities, 4-weeks to a year ‣ `Treasury notes` | intermediate maturities, usually between 2-5 years ‣ `Treasury bonds` | `strictly long term (30+ years)`
‣ ‘fund families` | `large group of mutual funds hosed under a single company/entity`
| ‘gross domestic product (GDP)` | consumption, investment, government purchases, net exports, etc | lagging indicator | | `consumer price index (CPI)` | a common/core set of goods & services whose retail-level prices that are tracked over specific time periods | | `consumer confidence` | interview based data gathering overall consumer sentiment | | `job growth` | an aggregate of various information such as: length of average workweek, hourly earnings, unemployment rate, etc | | `unemployment index` | subset of `job growth` data | lagging indicator | | `housing starts` | the number new construction projects for single-family home/buildings per month | | `business inventories` | aggregate of various information such as: business inventories gathered from retail reports | | `producer price index (PPI)` | tracked prices of `raw materials`, `intermediate goods`, & `finished goods` | | `international bond trading` |
‣ ‘LEI Index` | future economic activity predictor
‣ industry | a specific set of businesses ‣ sector | broader area than industry
‣ in general, the economy cycles in four stages: downturn, recession, upturn, recovery
‣ | ‘Dow Jones Industrial Average (DJIA) or (DOW)` | comprised of 30 established blue-chip companies w/ each given equal weight | ‣ | `Standard & Poor’s (S&P)‘ | comprised of 500 stocks, given weight is distributed by stock market value | 400 industrial stocks, 20 transportation, 40 utility stocks, 40 financial stocks (most listed on NYSE and some are `over-the-counter (OTC) stocks`) ‣ | `The Russell 2000` | comprised of small-cap equities market, those w/ market-cap between $300 million and $2 billion | a subset of the `Russell 3000 Index` ‣ | `Value Line Index` | comprised of 1,700 equally weighted stocks across NYSE, NASDAQ |
‣ | ‘Capital Asset Pricing Model (CAPM)` | describes relationship between risk and `expected return` (TODO: lots todo, just to provide an additional benchmark) ‣ | `Sharpe Ratio` | “measure for calculating risk-adjusted return” | the higher the sharpe ratio the better | “when comparing two assets with each the same return, higher Sharpe ratio gives more return for the same risk” (TODO: source Computational Investing book) ‣ | `Sortino Ratio` | ‣ | `Jensen’s Measure` | todo on quote “a risk-adjusted performance measure that represents the averager return on a portfolio over and above that predicated by the capital asset pricing model (CAPM), given the portfolio’s beta and the average market return; this is the portfolio’s alpha”
TODO: also source the original book these terms came from ‣ | ‘firm-foundation theory` | `intrinsic value` approach; given enough data and analysis, any stock’s value can be determined | ‣ | castle-in-the-air | investing off the overall crowd’s trading meta | ‣ | ‘new investment technology` | TODO: confirm/research this, “toward the end of the 20th century time spawned a new theory called the new investment technology” |
‣ | ‘random walk` | “a mathematical object, known as a stochastic or random process, that describes a path that consists of a succession of random steps on some mathematical space such as the integers” |
Defined Under Namespace
Modules: AlgoScoring