Carpenter Essays and Analyses

Analytica presents essays and analyses on a variety of market matters. Titles in left column link to the essays.  Right column links, where available, go directly to more recent updates.  Feedback is welcome (please use Contact link below).

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Death of Momentum

Feb 2006: Markets have grown un-trendy, diminishing momentum strategy returns and prompting momentum-specific stock selection.  Click title link at left.

What Drives VIX? VIX implied volatility is driven by S&P actual volatility;  LT graphic.  
VIX is normalized

The long-term range is stabilized relative to dispersion.  Click on VIX/DVAX to see what this means for interpreting volatility (as cited in Barron's).  

Sigma/VIX ratio tracks actual/implied volatility.  When actual exceeds implied, the market is often a buy.


Magellan Retrospective


Our original analysis of October 2005 manager change at Fidelity Magellan (Harry Lange replacing Robert Stansky)

Follow-Up: Magellan Morphs; Rapid De-Indexing in Harry Lange's first two months; January 2006.

The Trouble With Harry : Lange Anniversary Disappoints (10/31/06).

April 2015 Update

Tracking management changes as they affect fund behavior.

Contrarian Note

 Growth Funds sold stocks as the market rallied into the August 2007 highs; very different from their selling at 2002 lows!  Click here for Exposure Graph & table of Growth and Value exposures, Sept '07.

Value Funds

 Value Funds began to find values (increase equity exposure) back in November 2008.  By May 2009 they had raised exposure to top quintile.  Click here for Nov, Mar, May graphics.  

Alpha Hedge

"Moving alpha" applied to "style" ETFs generates a remarkable low-volatility hedging strategy.  Click left, or "ETFs" link at Nav bar

Junk Bond Alpha  

Alpha crossed positive on March 19 2009.  "Moving alpha" graph posted here


Bear Threshold

20% decline is often asserted to be the "official" definition of a Bear Market.  It's nonsensical, but it works!

Profile of S&P Corrections


How Things
Go Wrong

Distinguishing bad outcomes from bad decisions.

The widely-used "book value" benchmark shows little relation to actual market pricing.


The importance of significance in investment decisions.

How one fund wasn't what it claimed, timed badly, and lost.



How price movements are both random and trendy.

Mutual Funds Sold Early

Fund equity exposure reduced sharply as market approached August 2007 highs

Sept 07

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