Ebook Business statistics (2nd edition): Part 2
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Ebook Business statistics (2nd edition): Part 2
Inference for Counts: Chi-Square TestsCHAPTERSAC CapitalHedge funds, like mutual funds and pension funds, pool investors’ money in an attempt to make Ebook Business statistics (2nd edition): Part 2 profits. Unlike these other funds, however, hedge funds arc not required to register with the U.S. Securities and Exchange Commission (SEC) Itecause they issue securities in “private offerings” only to “qualified investors” (investors with cither $1 million in assets or annual income of at least $2 Ebook Business statistics (2nd edition): Part 200,000).Hedge funds don’t necessarily “hedge” their investments against market moves. Bur typically these funds use multiple, often complex, strategieEbook Business statistics (2nd edition): Part 2
s to exploit inefficiencies in the market. For these reasons, hedge fund managers have rhe Jgfr*reputation tor bring obsessive’traders.One of the mostInference for Counts: Chi-Square TestsCHAPTERSAC CapitalHedge funds, like mutual funds and pension funds, pool investors’ money in an attempt to make Ebook Business statistics (2nd edition): Part 2nagement (AUM). SACCapital returned annual gains of 40% or more through much of the 1990s and is now reported to have more than 800 employees and nearly449450CHAPTER 15 Inference for Counts: Cbi-Square TestsS14 billion in assets under management. According to Forbes, Cohen’s S6.4 billion fortune ran Ebook Business statistics (2nd edition): Part 2ks him as the 36th wealthiestAmerican.Cohen, a legendary- figure on Wall Street, is known for taking advantage of any information he can find and forEbook Business statistics (2nd edition): Part 2
turning that information into profit. SAC Capital is one of the most active trading organizations in the world. According to Business Week (7/21/2003)Inference for Counts: Chi-Square TestsCHAPTERSAC CapitalHedge funds, like mutual funds and pension funds, pool investors’ money in an attempt to make Ebook Business statistics (2nd edition): Part 2on shares a day.”In a business as competitive as hedge bind management, information is gold. Being die first to have inionualion and know ing how to act on it can mean the difference between success and failure. Hedge fund managers look for small advantages everywhere, hoping to exploit inefficienci Ebook Business statistics (2nd edition): Part 2es in rhe market and to turn those inefficiencies into profit.Wall Street has plenty- of “wisdom” about marker patterns. For example, investors are adEbook Business statistics (2nd edition): Part 2
vised to watch for “calendar effects,” certain limes ol year or days ol die week dial are particularly good or bad: “As goes January, so goes die yearInference for Counts: Chi-Square TestsCHAPTERSAC CapitalHedge funds, like mutual funds and pension funds, pool investors’ money in an attempt to make Ebook Business statistics (2nd edition): Part 2st trading day ol October. Of course, there is also Mark Twain’s advice:October. This is one of the peculiarly- dangerous months to speculate in slocks, rhe odiers are July, January, September, April. November, May, March,June. December, August, and February.—Pndd’nhcad Wilson s CalendarOne common c Ebook Business statistics (2nd edition): Part 2laim is that stocks show a weekly pattern. For example, some argue that there is a -weekend effect in which slock returns on Mondays arc often lower tEbook Business statistics (2nd edition): Part 2
han those of rhe immediately preceding Friday. Arc patterns such as this real? W'e have the data, so we can check. Between October 1, 1928 and June 6,Inference for Counts: Chi-Square TestsCHAPTERSAC CapitalHedge funds, like mutual funds and pension funds, pool investors’ money in an attempt to make Ebook Business statistics (2nd edition): Part 2se of holiday’s. The distribution of days is shown in Table 15.1.Day of WeekCount% of daysMonday38200.193369Tuesday400220.2582Wednesday402420.3695Thursday396320.0607Friday394619.9747Tabic 15.1 The distribution of days of the week among the 19,755 trading days from October 1,1928 to June 6, 2007. We Ebook Business statistics (2nd edition): Part 2expect about 20% to fall in each day. with minor variations due to holidays and other events.https: //k hot h u vien .comuwantXf-vj-rn rr.'o **X1Of thEbook Business statistics (2nd edition): Part 2
ese 19,755 trading sessions, 10,272, or about 52% of the days, saw a gain in the Dow Jones Industrial Average (DJIA). ÌÕ test for a pattern, we need aInference for Counts: Chi-Square TestsCHAPTERSAC CapitalHedge funds, like mutual funds and pension funds, pool investors’ money in an attempt to make Ebook Business statistics (2nd edition): Part 2 expect to see the same distribution of days as in 'table 15.1—in other words, about 19.34% of “up” days would he Mondays, 20.26% would be Tuesdays, and so on. Mere is rhe distribution of days in one such random sample of 1000 “up” days.Day of WeekCount% of days in the sample ot "up" daysMonday1920. Ebook Business statistics (2nd edition): Part 2192Tuesday18918.9Wednesday20220.2Thursday19919.9Inference for Counts: Chi-Square TestsCHAPTERSAC CapitalHedge funds, like mutual funds and pension funds, pool investors’ money in an attempt to make Inference for Counts: Chi-Square TestsCHAPTERSAC CapitalHedge funds, like mutual funds and pension funds, pool investors’ money in an attempt to makeGọi ngay
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