Mission. Carpenter Analytix provides quantitative support to market professionals. Client services include contracted studies, analytical consulting, and customized data support. Selected metrics are available by subscription.
Models. Carpenter models adapt classical stats to practical tactics. An inventory of proven models affords prompt results in a range of applications. Custom modeling adapts these capabilities to individual client needs.
Metrics.
Market metrics quantify market condition.
Market condition drives directional probabilities.
Carpenter metrics use validated significant relationships.
Outcomes are re-tested and updated--literally every
day--to assure reliability.
Here are several featured Carpenter analyses. (More analyses and essays are posted at the Analytica link.)
| Alpha Hedge. "Moving alpha" applied to "style" ETFs generates a remarkable low-volatility hedging strategy. Click here, or "ETFs" link at left. |
| 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. |
| VIX implied volatility is driven by S&P actual volatility; LT graphic. |
| Bear Market? Pundits and media pronounce arrival of the Bear at 20% decline. Here's an analysis of what happens after the S&P crosses -20%. And a related profile of market follow-through in the wake of 249 S&P declines ranging from 0% to 50%. (Published July 2008) |
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Hedge Fund Analytix. Real time tracking of hedge fund asset exposures. HFA Weekly: Current exposure paths for stocks, bonds, dollar, commodities. Graphs, stats, brief comment. (August '08 sample, 4 pages, pdf.) HFA 4th Friday: Monthly hedge fund Exposures Report. Continuous exposure paths, commentary, plus forward returns probabilities. (July '08 sample, 6 pages, pdf). Exposure Metrics. Here's a backup analysis showing how exposures tracking gives contrarian market indications. (6 pages, pdf). |
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When VIX is normalized for dispersion, the long-term range is stabilized. 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. |
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Junk Bond Alpha (Alpha crossed positive on March 19 2009.) "Moving alpha" graph thru May 7 posted here. (Junk index up 51% from March crossing to December 10). Use Contact link below to request current data and graphic. |
| 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. |
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Magellan Retrospective Click FMAGX for our original analysis of October 2005 manager change at Fidelity Magellan (Harry Lange replacing Robert Stansky). Six pages, pdf. Follow-Up: Magellan Morphs; Rapid De-Indexing underway in Harry Lange's first two months; January 2006. The Trouble With Harry : Lange Anniversary Disappoints (10/31/06). |
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Click our Blurbs link for expert opinion on Carpenter Analytix. |
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