Mission. Carpenter Analytix provides quantitative support to market professionals. Insight is fused with statistical rigor for productive and reliable analytics. Services include project studies, analytical consulting, and customized data support. Product and process are client-tailored. Selected metrics are available by subscription.
Models. Carpenter models adapt classical stats to everyday practice. An inventory of proven models affords prompt analysis across a range of structures. New models are developed as needed. Custom modeling adapts these capabilities to client process and context.
Metrics.
Market metrics quantify market condition.
Market condition is a key factor in directional probability.
Carpenter metrics draw on tested and validated significance.
State/outcome linkages are updated and retested--literally every
day--for currently reliable inference. Results of this process
can be reviewed in Performance
pages.
| Here's a link to recent study "The Aftermath of Financial Crises" by Carmen Reinhart (University of Maryland) and Kenneth Rogoff (Harvard University). Worthy reading. |
| Value Funds begin to find values; 11/28/08. (Equity exposure beginning to rise down here in November prices.) |
| 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 is analysis of what happens after crossing -20% on the S&P. And a related profile of follow-through following 249 S&P declines ranging from 0% to 50%. |
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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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Death of Momentum. Statistical analysis (1970-2005) shows broad market momentum has virtually disappeared in recent years. Strategies with momentum component need to focus on trendiness by specific issue. Blame?... derivatives, hedging, etc. Click here for report (13 pages PDF). |
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When VIX is normalized for dispersion, the high-low 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 negative on June 23 2008.) "Moving alpha" graph thru October 3 posted here. (Junk index down 14% from June crossing to October 3). Use Contact link below to request current graphic. |
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Growth Funds Sold Early. Unlike 2006 correction, this time Growth Funds reduced equity exposure as the market rallied into the August 2007 highs. Now historically under-exposed. Click here for Exposure Graph & table of Growth and Value exposures, Sept '07. |
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Magellan Performance The Trouble With Harry : Lange Anniversary Update (10/31/06). 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 Lange's first two months; January 2006. |
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"[Carpenter offers] valuable information and insights to firms in the Wall Street Community." --Martin E. Zweig |
