- 64% of individual stocks underperformed the market index over their lifetime, with 18.6% dramatically underperforming. In contrast, 6.1% of stocks dramatically outperformed the index.
- The average annualized return of individual stocks was negative 1.06%, while the median was a more modest 5.1%. However, 25% of stocks were responsible for all of the market's gains.
- The distribution of returns is characterized as "fat tailed", with a small number of stocks delivering outsized gains and losses, challenging the assumption of a normal distribution.
The document is an annual study on global opinion leaders and trust in various institutions. Some key findings:
1) Trust in business rose globally in 2010 compared to historic lows in 2009 during the recession, led by gains in Western countries like the US where trust jumped 18 points.
2) Trust in government and NGOs also increased modestly globally. However, trust in media continues to decline over the past three years.
3) The rise in trust is seen as fragile, as nearly 70% expect businesses to return to "business as usual" practices once the recession ends.
This document models the risk mitigation benefits of mixed crop-livestock farming systems using a 30-year simulation of crop and livestock enterprises on a farm in New South Wales, Australia. It finds that combining crop and livestock production provides greater stability in annual gross margins compared to specializing in only one enterprise by diversifying sources of income and production. Price and climate variability each have significant independent impacts on enterprise returns, but a mixed system is better able to manage fluctuations from these sources of risk.
El documento presenta ejemplos de uso adecuado e inadecuado de diferentes elementos del diseño publicitario en sitios web, incluyendo el titular, bloque de texto, visual, blanco, logotipo y eslogan. Explica cómo estos elementos deben usarse de manera clara, atractiva y relevante para mejorar la comunicación del mensaje publicitario en páginas web.
The document describes a proposed home automation system that allows users to control appliances using either voice commands or a remote control. The system uses a mobile app to convert voice commands to text messages sent over SMS to a central controller unit. The controller then sends the commands to remote units connected to individual appliances via Zigbee. Hardware includes a PIC microcontroller, Bluetooth and Zigbee modules. The software converts voice to text using an Android app and intent API. Feedback is provided on command completion.
The document is an annual study on global opinion leaders and trust in various institutions. Some key findings:
1) Trust in business rose globally in 2010 compared to historic lows in 2009 during the recession, led by gains in Western countries like the US where trust jumped 18 points.
2) Trust in government and NGOs also increased modestly globally. However, trust in media continues to decline over the past three years.
3) The rise in trust is seen as fragile, as nearly 70% expect businesses to return to "business as usual" practices once the recession ends.
This document models the risk mitigation benefits of mixed crop-livestock farming systems using a 30-year simulation of crop and livestock enterprises on a farm in New South Wales, Australia. It finds that combining crop and livestock production provides greater stability in annual gross margins compared to specializing in only one enterprise by diversifying sources of income and production. Price and climate variability each have significant independent impacts on enterprise returns, but a mixed system is better able to manage fluctuations from these sources of risk.
El documento presenta ejemplos de uso adecuado e inadecuado de diferentes elementos del diseño publicitario en sitios web, incluyendo el titular, bloque de texto, visual, blanco, logotipo y eslogan. Explica cómo estos elementos deben usarse de manera clara, atractiva y relevante para mejorar la comunicación del mensaje publicitario en páginas web.
The document describes a proposed home automation system that allows users to control appliances using either voice commands or a remote control. The system uses a mobile app to convert voice commands to text messages sent over SMS to a central controller unit. The controller then sends the commands to remote units connected to individual appliances via Zigbee. Hardware includes a PIC microcontroller, Bluetooth and Zigbee modules. The software converts voice to text using an Android app and intent API. Feedback is provided on command completion.
George Washington University - Next Generation of modeling and Solving ToolsAlkis Vazacopoulos
The document discusses next generation mathematical programming modeling and solving tools. It describes Industrial Algorithms' mission to provide advanced modeling and solving tools for industrial applications. It outlines Industrial Algorithms' industrial modeling frameworks which embed intellectual property related to process flowsheet modeling and problem solving methodology. The document also discusses IMPRESS, Industrial Algorithms' proprietary modeling platform, and provides examples of industrial modeling frameworks including a jet fuel supply chain and cogeneration system.
Felipe Thomé é um publicitário e especialista em marketing empresarial formado pela UFPR. Ele é co-fundador e CEO da Vocatu, uma startup especializada em marketing de defensores de marca, e também sócio-fundador da ABRABOCA. Além disso, ele escreve colunas sobre marketing.
This short note describes a relatively simple methodology, procedure or approach to increase the performance of already installed industrial models used for optimization, control, simulation and/or monitoring purposes. The method is called Excess or X-Model Regression (XMR) where the concept of “excess modeling” or an X-model is taken from the field of thermodynamics to describe the departure or residual behaviour of real (non-ideal) gases and liquids from their ideal state (Kyle, 1999; Poling et. al., 2001; Smith et. al., 2001). It has also been applied to model the non-ideal or nonlinear behaviour of blending motor gasoline octanes with its synergistic and antagonistic interactional effects (Muller, 1992).
The fundamental idea of XMR is to calibrate, train, fit or estimate, using actual data and multiple linear regression (MLR) or ordinary least squares (OLS), the deviations of the measured responses from the existing model responses. The existing model may be a glass, grey or black-box model (known or unknown, linear or nonlinear, implicit/open or explicit/closed) depending on the use of the model. That is, for optimization and control the model structure and parameters are available given that derivative information is required although for simulation and monitoring, the model may only be observed through the dependent output variables given the necessary independent input variables.
Improve Yield Accounting by including Density Measurements ExplicitlyAlkis Vazacopoulos
Today the growing standard in oil-refining yield accounting is to use statistical data reconciliation to assist in detecting and diagnosing malfunctioning flow and inventory meters and possible mis-specified oil movements. However, as we demonstrate in this article, potentially harmful and undetectable gross-errors can occur which may distort the yield accounting results and the overall health of the production balance. The solution is to reconcile both mass and volume simultaneously instead of reconciling mass or volume separately as is currently done. It is made possible by explicitly including density measurements into the reconciliation process and solving a bi-linear data reconciliation problem using off-the-shelf commercial software.
Stock Decomposition Heuristic for Scheduling: A Priority Dispatch Rule ApproachAlkis Vazacopoulos
Highlighted in this article is a closed-shop scheduling heuristic which makes use of the traditional priority dispatch rule approach found in open-shop scheduling such as job-shop scheduling. Instead of prioritizing and scheduling one job or project (or stock-order) at a time, we schedule one stock or stock-group at a time where a stock-group is a collection of individual stocks and their one or more stock-orders. These stocks can be feed-stocks, intermediate-stocks or product-stocks of which we focus on product-stocks given that most production is demand-driven. A key feature of this heuristic is our ability to compress the production network or superstructure so that only those unit-operations necessary to produce the stocks in question are included in the model thus reducing the size of the problem considerably at each iteration of the heuristic. The stock-specific network compression technique uses what we call a unit-capacity transshipment linear program to successively determine which unit-operations are redundant when making a particular stock. This heuristic is also particularly useful for those process industries that can potentially produce many product-stocks but only a fraction of these are produced within the scheduling horizon whereby the model is significantly reduced at solve time to include only those stocks that are demanded whereby redundant unit-operations are removed. An illustrative example is provided with recycle loops (i.e., stock flow-reversals) and shared units or equipment (i.e., unit flow-reversals) that demonstrates the effectiveness and efficiency of the technique.
Presented in this document is a short description of a straightforward and effective technique to help diagnose infeasibilities in IMPL (Industrial Modeling and Programming Language). IMPL is mathematical programming based where many previous and useful studies on infeasibility diagnosis have been published (Greenberg, 1993; Chinneck, 1993; Chinneck, 2008). It is generally accepted that the “Irreducible Infeasibility Sets (IIS)” developed by Chinneck (1993) is a useful approach to diagnosing infeasibilities and can be found in all commercial LP-based solvers such as CPLEX, GUROBI and XPRESS. Unfortunately IIS performed on industrial optimization problems (IOP) is both slow and difficult to interpret especially for the end-user given that a plethora of IIS’s can be generated with little perceived connection between the variables or constraints contained in them.
Another useful and extensively implemented approach that can also be helpful in diagnosing infeasibilities in the linear part of either the MILP or NLP is the presolving or preprocessing techniques found in for example Fourer and Gay (1993) and Andersen and Andersen (1995). These are extremely powerful to reduce the size and in some cases the complexity of the matrix that is ultimately transferred to the LP, QP, MILP or SLP. Unfortunately, although they can quickly and accurately detect LP infeasibilities, they provide little information to aid in the infeasibility diagnosis (Chinneck, 2008) as well shall see later.
Instead, IMPL uses a well-known “tightening” technique to analyze the problem by focusing on the quantity phenomenon first given that it is our experience that in IOP’s, a great majority or percentage of the infeasibilities occur in this dimension. This is fortunate given that the constraints are linear in the variables and we can solve many LP’s rapidly as specialized network-flow problems where the dual simplex LP method is particularly efficient and if required we can solve several LP’s in-parallel.
Essentially, we have two types of infeasibilities in IOP’s i.e., “incomplete” and “inconsistent” models. Incomplete models are problems where we expect to solve the problem when the problem is ill-defined or insufficiently specified. Inconsistent models are problems where some parts of the problem are incongruent, misaligned or contradictory with other parts.
The nervous system is an organ system made up of specialized cells called neurons that coordinate animal actions and transmit signals throughout the body. It contains networks of neurons that process sensations like pain and sensations like paralysis. General anesthesia affects both the brain and entire body, causing complete unawareness and lack of pain during surgery as well as temporary memory loss of the surgery.
This document discusses angle resolved color measurements of prints and bulk scattering media. It finds that standard color measurement models like CIELAB do not capture angular variations in color. It presents a radiative transfer model called DORT2002 that can simulate angular light scattering. Measurements of white and blue dyed samples are shown to have color changes with viewing angle, while simulations with the DORT2002 model agree with these measurements. It questions whether the white point is independent of viewing angle during chromatic adaptation. The work is supported by Kempe foundations and the author can be contacted at ludovic.coppel@lgcresearch.se.
This document outlines Property Assessed Clean Energy (PACE) financing for energy efficient projects in North Little Rock. PACE financing provides property owners access to capital for energy improvements through a voluntary special assessment on their property tax bill. The assessment has priority over other liens and is inherited by new owners if the property is sold. The city would create a PACE district but not be financially obligated. Property owners would pay costs to implement the program and finance improvements through assessments or loans.
Windows 8 is Microsoft's upcoming operating system that follows Windows 7. It features a new tile-based Metro interface designed for touchscreens and supports ARM processors in addition to Intel and AMD chips. A consumer preview was released in February 2012 and the final version of Windows 8 will be available in October 2012. It overhauls the user interface with a Start screen resembling Windows Phone and allows apps to share information between each other.
The IMPL console executable (IMPL.exe) can be called from any DOS command prompt window where its Intel Fortran source code can be found in Appendix A. The IMPL console is useful given that it allows you to model and solve problems configured in an IML (Industrial Modeling Language) file. Problems coded using IPL (Industrial Programming Language) in many computer programming languages can use the IMPL console source code as a prototype.
The IMPL console reads several input files and writes several output files which are described in this document. There are several console flags that can be specified as command line arguments and are described below.
The document provides installation instructions for Industrial Modeling & Programming Language (IMPL). It describes downloading and installing prerequisite software in a specified order, including Microsoft Visual C++ 2010 Redistributable, Intel Visual Fortran Compiler, Python 2.3.5, Dia diagramming software, and IMPL files. Once prerequisites are installed, IMPL can be run from the command line by specifying an IML file and solver. The document also provides steps for installing UOPSS shapes and sheets into Dia for building process flowsheets.
O Conselho de Administração da Klabin aprovou a construção de uma nova fábrica de celulose no Paraná com capacidade para 1,5 milhões de toneladas por ano. Os acionistas controladores também propuseram listar as ações da companhia no Nível 2 da BM&FBovespa, o que permitiria captar R$ 1,7 bilhão para financiar o projeto através de uma oferta pública de ações. A administração decidiu submeter a proposta à aprovação dos acionistas por acreditar que trará benefícios à compan
O documento apresenta os saldos iniciais e finais de ações e derivativos detidos por acionistas controladores, membros do conselho de administração, diretoria e comitê de auditoria da empresa OGX Petróleo e Gás Participações S.A. no mês de maio de 2013, além de informar sobre vendas de ações realizadas pelo acionista controlador no período.
1) A OSX anuncia um novo plano de negócios que prioriza projetos geradores de caixa e faseia a construção do estaleiro UCN Açu.
2) Foi aprovado o exercício parcial de US$ 120 milhões da opção de subscrição da OSX para apoiar o novo plano de negócios.
3) Uma nova diretoria foi eleita para liderar a OSX nesta nova fase empresarial.
A produção de petróleo e gás da OGX em março de 2013 foi de 15,1 mil barris de óleo equivalente por dia, com problemas operacionais afetando dois poços offshore e uma intervenção planejada para reparar danos. A produção terrestre no Campo de Gavião Real foi de 1,1 milhão m3 de gás natural por dia para a OGX.
O documento fornece um resumo dos principais destaques da APIMEC 2012, incluindo:
1) A evolução da OGX com o aumento de blocos exploratórios, poços perfurados e número de colaboradores e investidores.
2) A apresentação da nova diretoria executiva da OGX.
3) A estratégia da OGX de se tornar a maior empresa privada de exploração e produção de óleo e gás no Brasil, com foco no potencial inexplorado do setor e capacidade finance
A proposta visa simplificar a estrutura acionária da Ambev através da incorporação de ações, criando uma única classe de ações com direitos iguais. Isso aumentaria a liquidez e participação em índices, além de melhorar a governança corporativa e reduzir custos.
George Washington University - Next Generation of modeling and Solving ToolsAlkis Vazacopoulos
The document discusses next generation mathematical programming modeling and solving tools. It describes Industrial Algorithms' mission to provide advanced modeling and solving tools for industrial applications. It outlines Industrial Algorithms' industrial modeling frameworks which embed intellectual property related to process flowsheet modeling and problem solving methodology. The document also discusses IMPRESS, Industrial Algorithms' proprietary modeling platform, and provides examples of industrial modeling frameworks including a jet fuel supply chain and cogeneration system.
Felipe Thomé é um publicitário e especialista em marketing empresarial formado pela UFPR. Ele é co-fundador e CEO da Vocatu, uma startup especializada em marketing de defensores de marca, e também sócio-fundador da ABRABOCA. Além disso, ele escreve colunas sobre marketing.
This short note describes a relatively simple methodology, procedure or approach to increase the performance of already installed industrial models used for optimization, control, simulation and/or monitoring purposes. The method is called Excess or X-Model Regression (XMR) where the concept of “excess modeling” or an X-model is taken from the field of thermodynamics to describe the departure or residual behaviour of real (non-ideal) gases and liquids from their ideal state (Kyle, 1999; Poling et. al., 2001; Smith et. al., 2001). It has also been applied to model the non-ideal or nonlinear behaviour of blending motor gasoline octanes with its synergistic and antagonistic interactional effects (Muller, 1992).
The fundamental idea of XMR is to calibrate, train, fit or estimate, using actual data and multiple linear regression (MLR) or ordinary least squares (OLS), the deviations of the measured responses from the existing model responses. The existing model may be a glass, grey or black-box model (known or unknown, linear or nonlinear, implicit/open or explicit/closed) depending on the use of the model. That is, for optimization and control the model structure and parameters are available given that derivative information is required although for simulation and monitoring, the model may only be observed through the dependent output variables given the necessary independent input variables.
Improve Yield Accounting by including Density Measurements ExplicitlyAlkis Vazacopoulos
Today the growing standard in oil-refining yield accounting is to use statistical data reconciliation to assist in detecting and diagnosing malfunctioning flow and inventory meters and possible mis-specified oil movements. However, as we demonstrate in this article, potentially harmful and undetectable gross-errors can occur which may distort the yield accounting results and the overall health of the production balance. The solution is to reconcile both mass and volume simultaneously instead of reconciling mass or volume separately as is currently done. It is made possible by explicitly including density measurements into the reconciliation process and solving a bi-linear data reconciliation problem using off-the-shelf commercial software.
Stock Decomposition Heuristic for Scheduling: A Priority Dispatch Rule ApproachAlkis Vazacopoulos
Highlighted in this article is a closed-shop scheduling heuristic which makes use of the traditional priority dispatch rule approach found in open-shop scheduling such as job-shop scheduling. Instead of prioritizing and scheduling one job or project (or stock-order) at a time, we schedule one stock or stock-group at a time where a stock-group is a collection of individual stocks and their one or more stock-orders. These stocks can be feed-stocks, intermediate-stocks or product-stocks of which we focus on product-stocks given that most production is demand-driven. A key feature of this heuristic is our ability to compress the production network or superstructure so that only those unit-operations necessary to produce the stocks in question are included in the model thus reducing the size of the problem considerably at each iteration of the heuristic. The stock-specific network compression technique uses what we call a unit-capacity transshipment linear program to successively determine which unit-operations are redundant when making a particular stock. This heuristic is also particularly useful for those process industries that can potentially produce many product-stocks but only a fraction of these are produced within the scheduling horizon whereby the model is significantly reduced at solve time to include only those stocks that are demanded whereby redundant unit-operations are removed. An illustrative example is provided with recycle loops (i.e., stock flow-reversals) and shared units or equipment (i.e., unit flow-reversals) that demonstrates the effectiveness and efficiency of the technique.
Presented in this document is a short description of a straightforward and effective technique to help diagnose infeasibilities in IMPL (Industrial Modeling and Programming Language). IMPL is mathematical programming based where many previous and useful studies on infeasibility diagnosis have been published (Greenberg, 1993; Chinneck, 1993; Chinneck, 2008). It is generally accepted that the “Irreducible Infeasibility Sets (IIS)” developed by Chinneck (1993) is a useful approach to diagnosing infeasibilities and can be found in all commercial LP-based solvers such as CPLEX, GUROBI and XPRESS. Unfortunately IIS performed on industrial optimization problems (IOP) is both slow and difficult to interpret especially for the end-user given that a plethora of IIS’s can be generated with little perceived connection between the variables or constraints contained in them.
Another useful and extensively implemented approach that can also be helpful in diagnosing infeasibilities in the linear part of either the MILP or NLP is the presolving or preprocessing techniques found in for example Fourer and Gay (1993) and Andersen and Andersen (1995). These are extremely powerful to reduce the size and in some cases the complexity of the matrix that is ultimately transferred to the LP, QP, MILP or SLP. Unfortunately, although they can quickly and accurately detect LP infeasibilities, they provide little information to aid in the infeasibility diagnosis (Chinneck, 2008) as well shall see later.
Instead, IMPL uses a well-known “tightening” technique to analyze the problem by focusing on the quantity phenomenon first given that it is our experience that in IOP’s, a great majority or percentage of the infeasibilities occur in this dimension. This is fortunate given that the constraints are linear in the variables and we can solve many LP’s rapidly as specialized network-flow problems where the dual simplex LP method is particularly efficient and if required we can solve several LP’s in-parallel.
Essentially, we have two types of infeasibilities in IOP’s i.e., “incomplete” and “inconsistent” models. Incomplete models are problems where we expect to solve the problem when the problem is ill-defined or insufficiently specified. Inconsistent models are problems where some parts of the problem are incongruent, misaligned or contradictory with other parts.
The nervous system is an organ system made up of specialized cells called neurons that coordinate animal actions and transmit signals throughout the body. It contains networks of neurons that process sensations like pain and sensations like paralysis. General anesthesia affects both the brain and entire body, causing complete unawareness and lack of pain during surgery as well as temporary memory loss of the surgery.
This document discusses angle resolved color measurements of prints and bulk scattering media. It finds that standard color measurement models like CIELAB do not capture angular variations in color. It presents a radiative transfer model called DORT2002 that can simulate angular light scattering. Measurements of white and blue dyed samples are shown to have color changes with viewing angle, while simulations with the DORT2002 model agree with these measurements. It questions whether the white point is independent of viewing angle during chromatic adaptation. The work is supported by Kempe foundations and the author can be contacted at ludovic.coppel@lgcresearch.se.
This document outlines Property Assessed Clean Energy (PACE) financing for energy efficient projects in North Little Rock. PACE financing provides property owners access to capital for energy improvements through a voluntary special assessment on their property tax bill. The assessment has priority over other liens and is inherited by new owners if the property is sold. The city would create a PACE district but not be financially obligated. Property owners would pay costs to implement the program and finance improvements through assessments or loans.
Windows 8 is Microsoft's upcoming operating system that follows Windows 7. It features a new tile-based Metro interface designed for touchscreens and supports ARM processors in addition to Intel and AMD chips. A consumer preview was released in February 2012 and the final version of Windows 8 will be available in October 2012. It overhauls the user interface with a Start screen resembling Windows Phone and allows apps to share information between each other.
The IMPL console executable (IMPL.exe) can be called from any DOS command prompt window where its Intel Fortran source code can be found in Appendix A. The IMPL console is useful given that it allows you to model and solve problems configured in an IML (Industrial Modeling Language) file. Problems coded using IPL (Industrial Programming Language) in many computer programming languages can use the IMPL console source code as a prototype.
The IMPL console reads several input files and writes several output files which are described in this document. There are several console flags that can be specified as command line arguments and are described below.
The document provides installation instructions for Industrial Modeling & Programming Language (IMPL). It describes downloading and installing prerequisite software in a specified order, including Microsoft Visual C++ 2010 Redistributable, Intel Visual Fortran Compiler, Python 2.3.5, Dia diagramming software, and IMPL files. Once prerequisites are installed, IMPL can be run from the command line by specifying an IML file and solver. The document also provides steps for installing UOPSS shapes and sheets into Dia for building process flowsheets.
O Conselho de Administração da Klabin aprovou a construção de uma nova fábrica de celulose no Paraná com capacidade para 1,5 milhões de toneladas por ano. Os acionistas controladores também propuseram listar as ações da companhia no Nível 2 da BM&FBovespa, o que permitiria captar R$ 1,7 bilhão para financiar o projeto através de uma oferta pública de ações. A administração decidiu submeter a proposta à aprovação dos acionistas por acreditar que trará benefícios à compan
O documento apresenta os saldos iniciais e finais de ações e derivativos detidos por acionistas controladores, membros do conselho de administração, diretoria e comitê de auditoria da empresa OGX Petróleo e Gás Participações S.A. no mês de maio de 2013, além de informar sobre vendas de ações realizadas pelo acionista controlador no período.
1) A OSX anuncia um novo plano de negócios que prioriza projetos geradores de caixa e faseia a construção do estaleiro UCN Açu.
2) Foi aprovado o exercício parcial de US$ 120 milhões da opção de subscrição da OSX para apoiar o novo plano de negócios.
3) Uma nova diretoria foi eleita para liderar a OSX nesta nova fase empresarial.
A produção de petróleo e gás da OGX em março de 2013 foi de 15,1 mil barris de óleo equivalente por dia, com problemas operacionais afetando dois poços offshore e uma intervenção planejada para reparar danos. A produção terrestre no Campo de Gavião Real foi de 1,1 milhão m3 de gás natural por dia para a OGX.
O documento fornece um resumo dos principais destaques da APIMEC 2012, incluindo:
1) A evolução da OGX com o aumento de blocos exploratórios, poços perfurados e número de colaboradores e investidores.
2) A apresentação da nova diretoria executiva da OGX.
3) A estratégia da OGX de se tornar a maior empresa privada de exploração e produção de óleo e gás no Brasil, com foco no potencial inexplorado do setor e capacidade finance
A proposta visa simplificar a estrutura acionária da Ambev através da incorporação de ações, criando uma única classe de ações com direitos iguais. Isso aumentaria a liquidez e participação em índices, além de melhorar a governança corporativa e reduzir custos.
Us wireless market_q3_2012_update_nov_2012_chetan_sharma_consultingGustavo Kahil
The US mobile data market grew 3% quarter-over-quarter and 17% year-over-year in Q3 2012. Data now accounts for almost 43% of US mobile industry service revenues, and mobile data revenues are on track to reach $80 billion in 2012. Verizon added 2.4 million new subscribers largely due to strong postpaid growth, while Sprint and T-Mobile saw postpaid declines. T-Mobile and MetroPCS announced a merger, while Softbank will acquire Sprint.
Slides do resultado do Facebook no segundo trimestre de 2012Gustavo Kahil
This document provides key metrics for Facebook for Q2 2012 including:
- Monthly Active Users (MAUs) increased to 955 million as of June 30, 2012, up from 901 million on March 31, 2012.
- Daily Active Users (DAUs) increased to 552 million as of June 30, 2012, up from 526 million on March 31, 2012.
- Revenue for Q2 2012 was $1.184 billion, up from $1.058 billion in Q1 2012.
- Mobile MAUs reached 543 million as of June 30, 2012.
O documento descreve um sistema para facilitar investimentos em ações brasileiras por investidores estrangeiros. O sistema permite que investidores comprem ações e fechem operações cambiais em uma única transação, tornando o processo mais eficiente. Grandes bancos brasileiros estão participando do projeto piloto, que não altera os requisitos legais para investir no Brasil.
Apresentação da Direct Edge para a CVM em 29 de junho de 2012Gustavo Kahil
O relatório analisa os benefícios da concorrência entre bolsas no Brasil e recomenda que reguladores: 1) exijam acesso aberto e justo à CBLC para novas bolsas; 2) estabeleçam diretrizes claras para facilitar a transição; 3) coordenem esforços para preparar o mercado. A introdução cuidadosa da concorrência trará benefícios econômicos sem comprometer a estrutura regulatória do mercado.
Apresentação da Direct Edge para a CVM em 29 de junho de 2012
The capitalism distribution-12.12.12
1. The Capitalism Distribution
Observations of individual common stock returns, 1983 – 2006
When most people think of the stock market they In this paper we make the case for the Capitalism
do so in terms of index results such as the S&P 500 Distribution, a non-normal distribution with very
or Russell 3000. They are unaware of the massive fat tails that reflects the observed realities of long-term
differences between successful stocks and failed stocks individual common stock returns.
“under the hood” of their favorite index.
»» 39% of stocks were unprofitable investments
»»
18.5% of stocks lost at least 75% of their value
»»
64% of stocks underperformed the Russell 3000
»»
25% of stocks were responsible for all of the
market’s gains
»»
High performance stocks all
tended to have one thing in common
TOTAL LIFETIME RETURNS FOR INDIVIDUAL U.S. STOCKS 1983–2006
1500
» 1 out of every » 1 out of every
5 stocks was a 5 stocks was a
significant loser significant winner
1200 » 39% of all stocks » 61% of all stocks
had a negative had a positive
total return total return
900
600
300
0
-75% & WORSE
-75% TO -50%
-50% TO -25%
-25% TO 0%
0% TO 25%
25% TO 50%
50% TO 75%
75% TO 100%
100% TO 125%
125% TO 150%
150% TO 175%
175% TO 200%
200% TO 225%
225% TO 250%
250% TO 275%
275% TO 300%
300% & BETTER
The Capitalism Distribution 1
2. TOTAL RETURNS OF INDIVIDUAL STOCKS VS. RUSSELL 3000 INDEX 1983–2006
1500
» 64% of all stocks » 36% of all stocks
1200 had a lower total had a higher total
return than the return than the
Russell 3000 during Russell 3000 during
900 their lifetime their lifetime
» 6.1% of stocks
600 dramatically
outperformed
the index
300
0
-500% & WORSE
-500% TO -450%
-450% TO -400%
-400% TO -350%
-350% TO -300%
-300% TO -250%
-250% TO -200%
-200% TO -150%
-150% TO -100%
-100% TO -50%
-50% TO 0%
0% TO 50%
50% TO 100%
100% TO 150%
150% TO 200%
200% TO 250%
250% TO 300%
300% TO 350%
350% TO 400%
400% TO 450%
450% TO 500%
500% & BETTER
STOCK TOTAL RETURN MINUS INDEX TOTAL RETURN
The fat tails in this distribution are notable. 494 (6.1% of all) stocks outperformed the Russell 3000 by at least 500%
during their lifetime. Likewise, 316 (3.9% of all) stocks lagged the Russell 3000 by at least 500%.
ANNUALIZED RETURNS INDIVIDUAL STOCKS VS. RUSSELL 3000 1983–2006
1500
» 64% of stocks » 36% of stocks
1200 had a lower had a higher
annualized return annualized return
than the index than the index
900
600
300
0
-30% & WORSE
-30% TO -25%
-25% TO -20%
-20% TO -15%
-15% TO -10%
-10% TO -5%
-5% TO 0%
0% TO 5%
5% TO 10%
10% TO 15%
15% TO 20%
20% TO 25%
25% TO 30%
30% & BETTER
STOCK ANNUALIZED RETURN MINUS INDEX ANNUALIZED RETURN
The left tail in this distribution is significant. 1,498 (18.6% of all) stocks dramatically underperformed the Russell
3000 during their lifetime.
The Capitalism Distribution 2
3. ANNUALIZED RETURNS INDIVIDUAL STOCKS 1983–2006
200%
150%
» The median » 14% of stocks had
100% an annualized return
annualized return
was 5.1% better than 20%
50%
0%
-50%
» The average » 65% of all stocks had
annualized return an annualized return
-100% was -1.06% less than 10 %
-150%
0 1000 2000 3000 4000 5000 6000 7000 8000
NUMBER OF STOCKS
You may be wondering how the Russell 3000 index periods of time to negatively impact index returns.
can have an overall positive rate of return if the For these reasons the average annualized return
average annualized return for all stocks is negative. The is probably a somewhat deceptive number for
answer is mostly a function of the index construction the purposes of modeling the “typical” stock, but
methodology. The Russell 3000 is market capitalization interesting nonetheless.
weighted. This means that successful companies
(rising stock prices) receive larger weightings in the The astute reader at this point is probably wondering
index. Likewise, unsuccessful companies (declining if outperforming large capitalization stocks explain the
stock prices) receive smaller weightings. Eventually observed distributions. Mathematically this would make
unsuccessful companies are removed from the index sense. Small cap stocks certainly outnumber large
(delisted), making way for growing companies. cap stocks, while large cap stocks dominate the index
weightings. However, while large cap stocks (Russell
Market capitalization weighted indexation 1000) have outperformed small cap stocks (Russell
is like a simple trend-following system that 2000) over the long term it has been by less than 1% per
rewards success and punishes failure. year, certainly not enough to explain our observations.
It’s also important to point out that stocks with a
negative annualized return had shorter life spans than
their successful counterparts. The average life span
of a losing stock was 6.85 years versus 9.23 years for
winning stocks (many of which are still living right
now), meaning that losing stocks have shorter
The Capitalism Distribution 3
4. ATTRIBUTION OF COLLECTIVE RETURN 1983–2006
100 %
75% 25%
80 %
» The worst performing » The best performing
60 %
6,000 (75% of all) 2,000 (25% of all)
stocks collectively had stocks accounted
a total return of 0% for all the gains
40 %
20 %
0%
-20 %
0 1000 2000 3000 4000 5000 6000 7000 8000
NUMBER OF STOCKS
The conclusion is that if an investor was somehow companies. However, further research suggests that
unlucky enough to miss the 25% most profitable stocks they weren’t large companies when they were enjoying
and instead invested in the other 75% his/her total the bulk of their cumulative returns. Becoming a large
gain from 1983 to 2006 would have been 0%. In other cap is simply the natural result of significant price
words, a minority of stocks are responsible for the appreciation above and beyond that of the other
majority of the market’s gains. stocks in the market. We were not able to detect any
sector tendencies.
We identified the best performing stocks on both
an annualized return & total return basis and studied The biggest winners on a total return basis
them extensively. The biggest winning stocks on an were simply the minority that outperformed
annualized return basis had a moderate tendency to be their peers.
technology stocks and most (60%) were bought-out by
another company or a private equity firm. Both the biggest winners on annualized return and total
return basis tended to have one thing in common while
Some of the biggest winners on a total return basis they were accumulating market beating gains. Relative
were companies that had been acquired. Examples to average stocks they spent a disproportionate amount
include Sun America, Warner Lambert, Gillette, of time making new multi-year highs. Stock ABC can’t
Golden West Financial and Harrah’s Entertainment. travel from $20 to $300 without first crossing $30 and
However, most (68%) are still trading today. Not $40. Such a stock is going to spend a lot of time making
surprisingly, they are almost exclusively large cap new highs. Likewise, the worst performing stocks
The Capitalism Distribution 4
5. tended to spend zero time making new multi-year Stocks that generate thousands of percent
highs while they were accumulating losses. Instead, returns will hit new highs hundreds of times,
relative to average stocks they tended to spend a usually over the course of many years.
disproportionate amount of time at multi-year lows.
Mathematically it makes perfect sense.
SAMPLE STOCKS THAT HIT HUNDREDS OF NEW HIGHS PRIOR TO COLLAPSING
ON THE WAY UP AFTER THE PEAK
NUMBER GAIN NUMBER LOSS
NEW HIGHS NEW HIGHS
Cisco Systems 488 99975% 0 -81%
General Electric 1011 25316% 0 -71%
Ford Motor 348 5484% 0 -94%
General Motors 384 3151% 0 -95%
Citigroup 353 5519% 0 -90%
Microsoft 424 62188% 0 -61%
Fannie Mae 342 8531% 0 -99%
Intel Corp. 304 16898% 0 -81%
American Intl. Group 348 3974% 0 -98%
Bear Stearns 285 4691% 0 -95%
Our findings reveal that the distribution addition to stocks, including global assets such as
of individual stock performance has commodities, currencies, and fixed income investments.
been persistently non-normal over the last This suggests that an effective trend following investment
few decades. strategy, such as Longboard’s Pure Trend™ managed
futures strategy, may be employed to harvest profit
Each year, a minority of stocks are disproportionately opportunities across many global asset classes.
responsible for the market’s overall performance.
An excellent example of how an effective trend following
These findings carry important implications for investors strategy, applied to managed futures, may be used to
seeking above average returns. Longboard’s extensive improve the return on risk and overall performance of a
research has revealed that a non-normal performance traditional investment portfolio is found in Longboard’s
distribution characterizes many financial markets in research paper “The Case for Managed Futures.”
Our database covers all common stocks that traded on the NYSE, AMEX, and to index reconstitution, delisting, mergers, etc.) stocks that would have qualified
NASDAQ since 1983, including delisted stocks. Stock and index returns were for membership in the Russell 3000 at some point in their lifetime. The Russell
calculated on a total return basis (dividends reinvested). Dynamic point-in-time 3000 Index measures the performance of the largest 3000 U.S. companies
liquidity filters were used to limit our universe to the approximately 8,000 (due representing approximately 98% of the investable U.S. equity market.
The Capitalism Distribution 5