文档介绍：How to find the big winners in the stock market.
Big Winners = Stocks in the positive right-hand tail of the distribution
of returns
Distribution of returns – Normal vs. Fat Tails
Theoretical distribution Observed distribution
Negative fat tail in Narrow Positive fat tail in
the observed peak in the the observed
distribution observed distribution
distribution
Stocks in the right-
hand tail
Region occupied by major winners in the stock market
The far right tail of the distribution of returns is the province of major winners.
As a stock departs from the central part of the distribution the relative strength improves. In my
opinion the trend of relative strength gives an early indication of significant improvement before
the long-term relative strength ranking systems pick up the change.
Many times the movement away from the center of the distribution will be dramatic and will
register as a substantial event in relative strength on the Market Dynamics System. The key
question remaining is how long the stock will participate in the far right-hand portion of the
distribution. This cannot be known with any certainty ahead of time. As long as the stock
performs in the acceptable region it is OK – when the stock falls out of the acceptable region a
replacement should be found.
Managing a position in a big winner is somewhat different than managing a less dynamic
position.
W. Clay Allen CFA Page 1 1/22/2003
Big Winners - Returns – best 10% to 20% of all stocks!
The far right-hand tail of the theoretical normal distribution holds about % of
the total population. In the stock market, recent studies indicate that the region
under the curve at the same level of extreme as measured by + standard
deviations holds about 5 to 10 times as many members of the population as the
theoretical normal distribution. Therefore the far right-hand tail holds 10% to 20%
of the population