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Quant Profile 7/12/2011: AA Underperforms Natural Gas in July

July 12, 2011, 15:27 GMT

On a risk-adjusted basis, AA consistently underperforms natural gas in July with probability of over 97%, forming a long-short strategy (long natural gas, short AA). Description: A ...
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4-Week Bill Auction to impact utilities

July 12, 2011, 13:26 GMT

4-Week Bill Auction, Total Amount, figures are scheduled for release on 2011-07-12 11:30:00 EST. Quant response of prices of selected ETFs to a +1% change in 4-Week Bill Auction, Total Amount. (Pro ...
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International Trade figures to affect $BAC, other securities

July 12, 2011, 11:24 GMT

International Trade, Trade Balance Level, figures are scheduled for release on 2011-07-12 08:30:00 EST. Quant response of prices of selected equities to a +1% change in International Trade, Trade B ...
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COST Underperforms in June, Outperforms in July

July 11, 2011, 14:59 GMT

On a risk-adjusted basis in comparison with returns of the S&P 500, COST consistently underperforms in June, but outperforms in July. Description: Costco Wholesale Corporation ...
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Copulas – A More Precise Way to Estimate Security Relationships

July 11, 2011, 12:59 GMT

Understanding the interdependence of security returns is critical for many investing models.  Portfolio management, for example, requires thorough analysis of interaction of constituent securities.  ...
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