the current 10+ sigma moves are setting new statistics. BBBY has seen an 8 sigma event over 1,000 days = 1. We can reject the null hypothesis at the 1% level of significance for returns of any period analyzed.Ĭonclusion - The number of times HD vs.BBBY (this is even more shocking than TJX vs. The probability of occurrence over n=1,000 = 0.7% (millennials have a higher probability of having a heart attack (5-8%) than seeing a 5 sigma event.). Or, it is like playing musical chairs at a sold out Raymond James Stadium for Super Bowl LV with only 650 seats in the stadium. a -5 sigma 10D return difference is -46.3% (buying BIG and shorting TJX for the last 10D would have produced a paired return difference of +46.3%). In the context of what is happening this week. What is worth highlighting is the sigma move for current return differences (01/27/21) at the 5D, 10D, 15D and 30D returns (5+ sigma moves!).ģ Sigma Summary - The Probability of a 3 Sigma Event is 4-5% (n=1,000) We cannot reject the null for 5D returns.We can reject the null at the 5% level of significance for 10D returns.We can reject the null hypothesis at the 1% level of significance for returns of 15 days and greater.Paired Observation Test Concerning Mean Differences (assuming dependent returns). But in the short-term, you get periods of performance divergence. BIG everyday of the week, month, year, whatever time period considered. 36.31 -0.39 -1.06 At close: Jun 26 36.31 0 0.00 After Hours: 4:00PM EDT Analyst Ratings Earnings Insider Trades Short Interest Sigma Lithium Stock (NASDAQ:SGML), Quotes and News Summary. This framework doesn't apply to what is happening this week.Īnyone in the fundamental world will own TJX vs. Discounted cash flow models, residual income models, or relative/absolute multiple models normally drive the buy and sell levels for individuals in the professional money management world. Normally some framework for valuation enters the picture when buying and selling stocks. The job description of a stock picker is simple, figure out what everyone else wants to own before everyone else knows they want to own it. Conclusion - we all know a good company doesn't equal a good stock or vice versa.
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