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To: smolejv@gmx.net who wrote (3086)	6/21/1998 1:21:00 AM
From: smolejv@gmx.net	Respond to of 11051

Sharpe Ratio - a sampler based on some math I picked in Investment Gurus (thanks for reference Berney), lists of top 10 German, US and IDX entries sorted by growth and Sharpe ratio. Sharpe Ratio could be described as market's signal to noise ratio - volatility vs growth rate, with CD at infinite and the rest of the gang as shown. Col1 yearly growth rate based on 100days performance, Col2 volatility (St.dev around exponential growth curve), Col3 Sharpe ratio = Col1/Col2. The idea is, if Sharpe earned Nobel price for this, there must be something behind it;) Warning: the past performance etc (sigh...) You all should at least look at SAP VZ (VZ - pref.shares) in log scale - its everybody's dream Regards everybody DJ German stocks I SAP VZ 190,10 5,61 33,87 MANNESMAN 107,87 11,45 9,42 PORSCHE 105,20 10,50 10,02 Bay.V.bank 92,93 6,90 13,47 MLP VZ 89,80 12,25 7,33 BAY_HYPO 89,60 6,85 13,08 Munich Re 83,20 10,31 8,07 THYSSEN 67,57 9,62 7,02 ALLIANZ 64,33 7,40 8,70 HENKEL 55,21 8,08 6,83 German stocks II SAP_VZ 190,10 5,61 33,87 Bay.V.Bank 92,93 6,90 13,47 BAY_HYPO 89,60 6,85 13,08 PORSCHE 105,20 10,50 10,02 TRINKAUS 73,33 7,77 9,43 MANNESMAN 107,87 11,45 9,42 ALLIANZ 64,33 7,40 8,70 Munich Re 83,20 10,31 8,07 Dt.BANK 49,28 6,50 7,58 US stocks I TANDCOMP 1770,75 10,61 166,89 MDD 124,82 3,81 32,74 AMDAHL 142,20 5,83 24,39 UNISYS 235,48 10,06 23,40 GAP 124,66 5,45 22,86 HOMEDEPO 79,51 3,62 21,98 WESTINGH 137,53 6,58 20,89 SALOINC 126,34 6,42 19,67 PFIZINC 113,88 5,86 19,44 T_WARNER 67,81 3,56 19,06 US stocks II TANDCOMP 1770,75 10,61 166,89 UNISYS 235,48 10,06 23,40 DELLCOMP 205,52 14,45 14,22 AMDAHL 142,20 5,83 24,39 WESTINGH 137,53 6,58 20,89 SALOINC 126,34 6,42 19,67 MDD 124,82 3,81 32,74 GAP 124,66 5,45 22,86 NAVISTAR 122,56 18,51 6,62 PFIZINC 113,88 5,86 19,44 Indeces I MIBTEL 90,22 6,58 13,71 CDX ELEKT 70,38 5,79 12,16 CDX Insur 68,84 7,60 9,05 SPA_IBEX 61,06 7,83 7,80 CDX Banks 55,88 6,08 9,20 CDX Textiles 50,11 4,67 10,73 SWI_SMI 48,29 5,17 9,34 CDX MACHINE 46,94 8,97 5,23 SWI_SPI 45,85 4,98 9,21 DAX_IBIS 45,50 6,27 7,25 Indeces II DJ_UTILS 30,85 1,79 17,24 MIBTEL 90,22 6,58 13,71 CDX ELEKT 70,38 5,79 12,16 German bonds 8,03 0,69 11,71 CDX TEXTL 50,11 4,67 10,73 SWI_SMI 48,29 5,17 9,34 SWI_SPI 45,85 4,98 9,21 CDX KREDT 55,88 6,08 9,20 CDX insur 68,84 7,60 9,05 SP_500 31,97 3,60 8,88

To: smolejv@gmx.net who wrote (3086)	6/21/1998 3:06:00 AM
From: Berney	Read Replies (1) \| Respond to of 11051

Janko, The "6-2" pattern. I'm going to be talking with my brother manana and I really will try to get this speadsheet to you and the others. First, the disclaimer -- As I noted to Steve, I haven't taken this concept through a fast moving, non-trending market. It is a work in progress. The basic concept is that stocks move through six patterns on the MACD chart: 1) bullish signal, 2) bullish trend, 3) bullish trend, possibly changing bearish, 4) bearish signal, 5) bearish trend, and 6) bearish trend, possibly changing bullish. These trends occur at the weekly level and the daily level. But, generally the weekly will, by its nature, follow the daily. While this may seem simplistic, it's really more complex. The "6-2" refers to a weekly chart that is bearish possibly changing bullish, and a daily chart that is in a bullish trend. However, I also consider what the long-term and short-term trading channels look like, as well as where I think the support, resistance and retracement levels are. I've got this for all the Big Boyz on the one spreadsheet. Again, it is a work in progress. For the Big Boyz, the current median is "5-5"; both the weekly and daily charts are in a bearish trend. Not a time to bet the bank. This week's "6-2" stocks are: TOYOY, AIG, MSFT, MO, CMB, AIT, GE, ZEN, JNJ, BCS, BEL, GLX, SBH, BTY, and LLY. I think several of these (TOYOY and AIG) are involved in the peculiar circumstances of Rubin intervening in the Yen. Not sure I want would want to bet on the success of that outcome. Again, I also look at the trading channel. BTY is a bloated whale and I don't like bloated whales. Won't bet against it, but surely not going to bet on it. MSFT, AIT, and BCS are above "my" sell targets, not going to bet for or against them. Several others are just too close to "my" sell target: MO, CMB, GE, and JNJ. Thus, I'm left with ZEN, GLX, BEL, SBH and LLY. Drugs and telecom. The theme continues. In a bearish market, the "3-5" (or even "4-5") may be of more interest. The "3-5" group includes: UN, ERICY, WMT, AEG, UL, and EK. Of these only UN/UL are out of or close to the top of my concept of their channel. I love both from an FA perspective and you really should look at the brands they control. But, fidelity was buying big in May and I believe bid them up too much. We'll see! The "4-5" group is even more interesting. It includes: GM (I love my put), IBM, E, and TEF. Of this group, I would bet on TEF going down. However, I don't really have enough experience on the down side equation yet. But, there is another side to this equation. I've got bunches of stocks that are at or near my target buy price. The stock just needs to demonstrate stability. Its MHO that the busted stocks in the Big Boyz represent a great short-term possibility. A friend and I had some fun this week past using this concept. We used the 15 min stochastic to time our entry. We don't have the exit issue down yet, but it was an interesting exercise. Moreover, it worked. Let me work with this one some more and then I'll share it. As you know, this is the direction I intend on going. Hit and run, buy the pizza, and go home. Just need to build my bank. Hope this answers your question. Berney