forecasting security prices 1925

8/11/2019 Forecasting Security Prices 1925

1/7

Forecasting Security Prices

Source: Journal of the American Statistical Association, Vol. 20, No. 150 (Jun., 1925), pp. 244-249Published by: American Statistical AssociationStable URL: http://www.jstor.org/stable/2277120.

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2/7

244 American tatisticalAssociation

[82

It is this xtensionrmodificationf hePearsonian ethod hichMr.Peabody

used

n

fittingoth

he

Gompertz

nd

theMakeham urves.

The discoveryhat he use of an extramoment ill liminatehetranscen-

dental ermsthe utcomef search n thepart fMr.Sasuly or method f

fittinghe xponential be- mwithoutaving oreducet o ts ogarithmicform

and

without aving o solve transcendentalquation

n

m.

When hepresent

writeralledhis

ttention

o the

fact

hat henegativexponentials oneof he

uncommonypes fPearson's ystem ffrequencyurves nd that n fitting

this urve

y

themethodf

momentsearson asrecourse eithero ogarithmic

transformationor othe olutionf transcendentalquation,' r.Sasuly, fter

an examinationf

Pearson'smethod,ame o the onclusionhat ny ranscen-

dental erm

may

be

eliminatedhroughhe use of an extramoment.At

the

time hatMr.Peabody's rticlewas being repared,he cope nd validityf

this

xtensionf hemethodfmoments ere

nly artiallynvestigated

hichs

one

of

he

reasonswhy hepublicationfthismethod as deferred.

Mr.Peabody indshat he ess nvolvedummation ethod ivesmore atis-

factoryesults han his modified) ethod f moments.This s due either o

the

seof aw

momentsr othe

omparativelyarge robablerrorf he extra)

fourth

oment.

Should his

inding

e

confirmedy wider xperienceith

he

two

methods,

e

will,

f

ourse,

ave o

conclude

hat he

dvantage

f

using

n

extramoment

s of

more heoreticalhan

practicalmportance.For thetime

beingt s best osuspendudgment.

HENRY SCHULTZ

Washington,

. C.

FORECASTING SECURITY PRICES

On

April

17,

1925,

dinner

meeting

f

he

American

tatisticalAssociationwas

held

at

the

Aldine

Club

in

New York

City. About

420

people were

n

attend-

ance. The topicunderdiscussionwas Forecastitigecurity rices.

The first our

speakers represented ommercial

gencies active

in

the

fore-

castingfield.

Mr.

Paul

Clay

of

Moody's Investors' ervice scribed

he success

of that nstitution o its creed.

He affirmed

belief

n

economists

nd

statisti-

cians

because they

are far

ahead of

the

average businessman

in

realizing

he

practical value of economic

tudy,

and

they have done wonders n

learning o

understand he

ways

of trade

and

in

reducing

ts

hazards.

He

continued:

The free layof

economie orces

as

never etterafeguarded.

This

country as

nevermorefree

from

ctual

monopolies.

The stock

market

was never

moreun-

spotted y

manipulation,

nd bulls

and

bears

neverbefore ad

so

little o do with

your wn nvestmentuccess s theyhave now.

We

have never een he

nfallibility

f

udgment

hich s

supposed

o

belong o the

mythicalnsiders. To

our

mind,

hebelief

n

nside

nterestss

as

fabulous nd anti-

quated s that n theoracle f

Delphi.

1

The

exponential

may

be written

=

whereN

is the total

frequency

nd

cr

s

the

stand-

ard deviation.

See Elderton,W. P.:

Frequency

urves

nd

Correlation,

ddendum, 1917,p.

8,

and

Phil. Trans.,A,

vol.

ccxvi,pp. 429-457.

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3/7

831

Notes 245

We believe

n

the

rule

of

economic

orces,

nd

this

s whywe reject

he

Delphic

oracles nd inside nterests.There s nothingmysterious

bout the stockmarket

except hosephases f

twhich esearchnd datahavenotyet overed. It is merely

the greatAmerican apital

market,ntowhich lows he

surplus apitalof every n-

dustry, nd out of which low treams f capital to supply

he expansionneedsof

every ndustry. Typicalmen,whateverheir usiness nd whereverhey ive,buy

stocks nd bondswhen

heyhave surplus unds,

nd

not

t other imes. Theydump

securities n the markets

when hey re

in

financial

istress, nd theyneverdo so

when hey re

not n distress.

Therefore,

hefinancialituation

f

the typical usi-

nessmandominateshecourse fthemarket.

So it sthat he tockmarkets

a

creature f very ay

economic

orces.

Complete

data wouldprobably how

hatduring ullmovementsherise s roughly roportion-

ate to the nflow f apital avedout of he arnings f

ndustries. t wouldprobably

show

hat

during

earmovementshe decline

s

proportionate

o theurgentiquida-

tionon thepartofbusiness

menwho are short fnecessary

apital. Presumably,f

we

had an accuratemeasure

f

the surplus arnings

f

ndustries

n

prosperous

imes

and

of hecapital hortages

f ndustries

n

depressionimes,

we should now xactly

whatthe tockmarkets going o do.

Ourresearches ave

disclosed

many vidences

f

herule f conomic

orces. Per-

haps themost triking

s theparallelismfour radebarometer

ith hemain wings

of the stock market.

This

barometers

a

monthly

eighted verage

of

selected

barometricalrade

eturns;

nd we havecompiled

t n

either

inishedr

n

crude

orm

*back

o 1863.

Throughout

he entire ourse

t runs

generally

arallel

o the main

swings

fthe stockmarket.

Close studyreveals hefact that the stockmarket

s a

creature

f

trade,

nd

a

trailer fter t, and not

a

leader

or

a

maker

f trade

onditions.

The popular elief

thatthestockmarket iscountsr anticipates as no basis

n fact. The belief tself

doubtless

risesfrom he fact thattradeconditions re so complex

hat

very

few

peoplerealize hanges

herein

ntil

months

fter

hese hanges

ave occurred.

The high eaksof he tockmarket re theresult f nunbrokenhain f conomicforces. First, he money alue of our commercialurnoverominates he trend f

interest ates; econd, ommercialaperdiscountsmove

with nterestates, nd bond

yields ollow ommercialaper. The highpeak

n

the

tockmarkets thatpoint

t

which

rices

ave risen o far

hat

tock

yields

re

slightly

elowbond

yields.

This

has been consistently

rue

of

the

majorpeaks

n

the stock

market

hroughouthe

history

fthe New

York

StockExchange.

Seasonal variations

f trade and stock

prices

re

practically

like except

n that

portion

f

the year during

which

he money

market

xercises

more nfluence pon

securities

han

he

rade ituation oes. From hemiddle

f

eptember

o themiddle

of

January,

he

stockmarket esponds

o the

money

market

urve,

whereas

uring

theentire alance

of

he

year

t

responds o thegrowthf

rade

onditions.

Further-

more,

he

money

market urve tself s the creature fthe trade urve.

Now, fthe stockmarkets a creature feconomic orces,t followshattheright

method f

forecasting

s

to

study hese

orces.

By way

of

defining

he

rightmethod,

let

me first

peak

of

ome

f hemethods hichwehaverejected. First, here

s

the

single

ndexmethod.

Many years go

it

was

believed

hatpig

ron

was

a

good

fore-

caster

or

he stockmarket,

nd now

manypersons

hink hatone can forecast uc-

cessfullyustthrough

bservationfblastfurnace apacity,

ndnothing lse. There

is

no question hat hese

ndices reworth tudying,utwe do notbelieve

n

any ingle

index,

or

he ourse f he

tock nd bondmarketss a reflectionfthe change

n

the

financialonditionftheentireAmerican eople. If the

resultant f forces an be

calculated

rom

single actor

n

finance, hynot

n

physics,

s well?

Anotherorecastingnstrument

hich

we haverejected

s

the utomatic

arometer.

There re those hat, ycombiningertain arometrical

eturns,btain barometer

or ndexnumber hich s supposed o move headof he tockmarketnd ndicate tscourse. Thissurelys better han he ingle ndex, uthere gainthere s the erious

objection

hat

theforecaster

s

compelled o reject

ll

economicorces ot

ontained

in that

barometer.

Doubtless,however,

he

most

popular

method f

forecasting

s

chart

eading,

nd

this, oo,

we

have rejected.

The chart s

a

post-mortem

nd

not

a

diagnosis,

t is a

result,

ather han

a

cause,

and

its occurrence

s

afterward

ather

han

beforehand.

Prices, ccording

o

John

tuartMill,are founded pon upply nd demand, nd not

upon

double

ops

nd

double ottoms. Adam

Smith

elieved

hat he

auses

of

value



4/7

246 American

tatisticalAssociation

[84

wereutility nd labor, nd

not

bull and bear chart urves. We

have chosen o cast

our ot and ourfortunes ith hese ober tudents f economic orces.

Now, since he course f

the stockmarkets the resultant feconomic orces,et

me tell you what omeof these

measures re

and

howwe use them.

First, here s

our trade barometer, hich s a weighted verage of barometricalrade returns.Trade conditionsre bullish rbearishnaccordance ith hemovementf his rade

barometer,xcept hat n excessive

ise ar bovenormals bearish, hile n excessive

decline arbelownormal s bullish.

Anothermeasure f conomicorces hichwe highly alue s our

mploymentndex.

Its value lies in the factthat

t is a crudemeasure f the purchasing

ower f the

American eople. When abor

s well employed, lantcapacity

nd capital s also

wellemployed,nd employerss well s theirmen re making

money.

A third

mportant easure

feconomic orces mployed y us is theratioofbank

loansto deposits. A sharp ise n these atios nvariablymeans hat

apital upplies

are

running hort, nd vice versa.

Any doubt as to interpretationan readily e

eliminated y use ofourmonthlyverages f nterest ates.

Another f our measures

feconomic orcess our nflationndex,

which s an ab-

stractndex umbero constructedhat twill ise harply heneverredit,nventories

or

operating osts re nflated.

By inflation e mean

not

mere

xpansion, owever

great, ut any condition funsoundnessr overexpansion hich s

bound o result n

forced iquidation n thepart

ofbusinessmen.

Of

ourothermeasures f conomicorces,

willmention

nly

ne. This

s an

index

number f the atent arning

ower f ndustries. By latent arning

ower, mean

theearnings hichmight heoretically

e made fmaterials,abor,

apital,

tc., ould

be bought t current rices, nstantly

onvertedntofinished oods, nd the goods

instantly old. In our woolen

ndex, or xample,we figureust

as a woolen

mill

managermight. We compute

he cost ofproduction,nd compare

with

hemarket

value of thefinishedoods.

A

few pplications fthese

measures feconomicorceswill erve

o

illustrate

ur

methods fforecasting.At thepresent ime, or xample, e arenot aking bearish

position. On the 5th and 12th f March we advisedprofit

aking,merely ecause

stocks

ad risen oo fast

s compared

ith rade

mprovement,

nd themarket

as

n

an

overboughtondition. However,

hesemeasures fforces avenot urned earish,

and

we haveregarded

he

decline

which ccurredince

he

middle

fMarch s

nothing

worse

han

fair

pportunity

o

repurchase

tocks

t

substantial

oncessions.

Mr.

Clay

further

ointed

out that

in

1920 forecasts f his servicewere

based

primarily

n the

overexpansion

f

credit.

In

the summer

f

1921, they

were

dominated

by

the latent earningpower

of industries.

In

October, 1922,

the

employment

ndex was the

governing actor,

while

n

December,

1924,

reliance

was placed mainly upon the employmentndexsupplemented y the ratio of

loans

to

deposits.

Mr.

Clay

concluded

his

remarks

with

plea

for

more xtensive esearch

n

this

field.

The

next

peaker

f

the eveningwas

Mr. WilliamPeter

Hamilton,

ditor fthe

Wall

treet ournal.He set forth he

theory

f the stock

market, riginal

with

the

ate

Charles

H.

Dow,

former ditorof the

Wall

treet

ournal.He

said:

Themajor wing

f

thestockmarket

s

themost

mportant

fthethree endencies

intowhich ow's

theory

ivides he

price

movement.

Over

period

f

twenty-one

years, tarting

rom

une,

900,

nd

ending

with

June, 921,

herewere welve

major

movementsf he tockmarket-sixupandsixdown. What sinterestingo note s

that

the upwardmovement,

r

bull

swing, veraged wenty-five

onths

n

length,

while

he

downward,

r bear

market, veraged

eventeen

months.

It

is to be noted

hat

hese ull

and bear

markets

re

neveruninterrupted.

ere

comes

n

what

may

be

called

the

secondary

movement f the Dow

theory.

A

bull

market

s

nterruptedy sharp

eactions,s,

for

nstance,

hat

which

et

n on

the7th

of ast

March, eaching

ts ow

point

n

March

30,

while bearmarket

s

checked

n

ts

progress y sharp ecoveries,

fonly

or

he echnical

eason

hat

uch

markets

apt

to become versold.



5/7

85]

Notes

247

That s the Dow

theory

ftheprice

movement.

t

does

not

claim

o

be

anything

more han an

hypothesis,nd

practicallyvery cientific

iscovery

he

world ver

saw

developed rom

workable

ypothesis.

The speakerexpressed heview that thepresent eaction fthe stockmarket

was

merely minor

hase

of

general

pward

movement

which

was

not

yet

over.

Mr.

Hamilton

pointed out that

he

had

published

a

book

in

1922,

called The

Stock

Market

Barometer,

howing

he

application

of the

principles

f the Dow

theory. He

stated

that

if

the

Harvard

UniversityCommitteeon

Economic

Research

were to

omit

bank

debits

from

ts

line

of

speculation, hat this

line

would

correspondo

the

Dow-Jones

verages used by

the

Wall

StreetJournal.

He

stated

that the line of

speculation

lwaysprecedes

by

some

months

cor-

responding

luctuation

n

the

line

of

business. Mr.

Hamilton

emphasized

he

factthatmanipulation f themarkethad little ignificance. He stated, It is

not

difficulto see

how,

n

a

narrowmarket

with a

small

volume of

trading,he

daily fluctuation

ould be

manipulated. It

would

be

much more

difficult

o

manipulate

the

secondary

reaction or

rally,

because

it would be

necessary o

take

n

hand

at least

a

majority f

forty

ctivestocks.

You

maytake t

from

me

that

there s

no financial

nterest, r

combination

f

financial

nterests,

n

Wall

Streetor n

the

whole

country,

hich

s bigenough

o

do anything f

the

kindor

foolish

nough

o try.

Mr.

Hamilton

cited

as

an

exampleof the

surprising ay in

which the stock

marketforecasted usinessthat in December,1917,elevenmonthsbefore he

armistice,

he

market

redicted he final

nd

complete efeat

f

Germany.

Mr.

Hamilton

vigorously

ondemned

stock

tipping

gencies.

His

remarkswere

followed ythose

of

RogerW.

Babson, of

Babson's Statisti-

cal

Organization,who

llustrated

is

remarks y

the aid

of a chart,

howing

he

equality

of

action and

reaction

n

business

for long

period

of years.

He

held

that

while t

was

folly o

attempt

o

forecasthe

short

wings

n

the

stock

market,

practically

ll

the

economic

ervices

have a

cleanrecord

n the

ong-swing

move-

ments. He

said that we

know

whatperiod

we

are in and

what the

next

period

willbe; the onlyuncertain actorbeingthe durationof the respective eriods.

As the

Department

f

Commerce nd

other

rganizationsre

continually

ollect-

ing

and

compiling

moreand

more

statistics, ll

the

services re

constantly

m-

proving

heir

bility o

determine he

duration fthe

periods. He

pointedout

that

the

science

of

forecasting as

rapidly

developing

nto

a

very ound

and

use-

ful

industry,

nd

that

everyadditional

person

who

becomes nterested

n this

study

makes the

next boom

less

reckless

nd the

nextpanic less

severe.

Mr.

Babson

predicted

hat

the

forecastingervice

f

yearshence

would

combine

he

good features

f

the

eading

gencies

hat

now exist. He

also

expressed heview

thatwe are still n theupwardmovement fthe stockmarket.

The

fourthpeaker

was

Mr.Ray

Vance,

President f

the

Brookmire

conomic

Service.

He

began

bydefininghe

term,

forecasting

s

being sucha

measure

ofbusiness

happenings

nd

such

a

survey

f

theresults

whichhave

followed hese

happenings

n

the

past,

s

will

permit

he

nticipation f

ecurity rice

movements

with

a

worth-while

pproximation

o

accuracy.

He

emphasized

hefact

that

by

security rice

changes

he

did

not mean

the

changeswhich

ccurred rom

our



6/7

248 American tatisticalAssociation [86

to hour, r even frommonth o month, ut those major movementswhich ordi-

narily ccur not oftener han once a year. He also stressed he point that the

Brookmiremethodcannot be regarded s

in

its finalform. Changes of major

importancemay be made at any time. He stated that the factors sed and the

reasonsforusing

them re:

1. The height f stockprices hemselvesnd the activity n the exchange. The

higher tocks re,themore ikely other hings eing qual) they re to decline, nd

incidentally,he greater heactivity, he more ikely s a decline.

2. The greater he volume f basic raw material roduction oing n within his

country,

he

greaters the chance

hat

productions runninghead of consumption.

Therefore,igh physical olume f productions used as a bearish actor, nd low

physical olume s

a

bullish ne.

3. The mportationfgoods s, as an economic act, n equivalent

o

an increase

n

productionnd viceversa. Therefore,heratiobetweenmportsnd exportss used

as a third actor. When his atio s high, t indicates rouble, nd when t is low, tshows fundamentallytrong osition.

4.

The

turnoverfbankdepositss measured y theratio fbank learingso bank

deposits.

A

high

ate of

turnovers unfavorablend

a

low

rate

favorable.

5.

The

supply

f

purchasing ower

n

theform fbank deposits s

a

flexiblehing

until hebanking trengthf he ountrys exhausted, runtil governingody, uch

as ourFederalReserve oard, rtificiallyightensredit. As an ndex fwhetherhis

pointhas beenreached r not,we use thecommercialaper ate

n

theUnited tates.

6.

Because the

supply f oanablebank funds s really n internationalffair, e

used

as

a

sixth actor he

open

market

money ate

n

London.

Mr. Vance

pointed

ut

that

while

his

method

has

fallen

onsiderably

hort

f

100 percentaccuracy, hat t has been very uccessful uring he past two years.

Recent

changes

n

the method

re

expected o

make it

even

better

han

it

has

been.

He

submitted

chart n which

were

marked

he

points

t

which lients f

the

service

had been advised to

buy

and sell

stocks,

nd he

emphasized

he

fact

that

all

predictions

made

by

the

Brookmire

ervice

were

pecific. He stated

that

in

February advice was given to sell stocks, and that therewas no reason to

believe that this advice

was not sound. He

concluded

his remarks

y saying,

We consider he

service,

n

spite

of ts

lack

of

presentperfection,

as accom-

plished

ar

n

excess

of what is accomplished y the average buyer of securities,

and hence ts use is justified.

The

program

was closed

by

Mr. Frederick

R.

Macaulay

of

the National

Bureau

of Economic

Research,

who

gave

a critical

eviewof the remarks f the

preceding peakers. He began by pointing ut that the Dow theoryof fore-

casting ndorsed y

Mr. Hamilton

tood

n

contrast o the other hree heories

n

that

t was based

upon

the

movements

f the

stockmarket tself. He

observed

that

therewas

a

striking imilarity

etween

he

fluctuations f the

stock

market

and those

of chance

curvewhich

may

be obtained

by throwing

ice.

Everyone

will

dmit hat he

course

f such a

purely

hance

curve

annotbe

predicted.

If

the tockmarket anbe forecast rom graph f tsmovements,tmustbe because

of

ts

difference

rom he

chance

curve.

There

undoubtedly

re

such

differences,

said

Mr.

Macaulay.

Because of

the

earning ower

of

the

companies hemselves,

for

example,

t

is

certain hat

the

curve

will

never

reach the

zero line

and

will'

never

rise

ndefinitely.

There is

no

limitto the

distancewhicha chance curve

may

rise

or

fall.

Mr.

Macaulay expressed

he

view, however,

hat

Mr.

Hamil-

ton's

method of

prediction

was

much

less

dependable

than

those

used

by

the



7/7

87]

Notes

249

other

hree

peakers,

nasmuch

s the ssence

f heDow

method

asto buy

s

long s the

marketontinuedo rise nd ell s

long s it

continuedo fall,which

was ust

thereverse

f

taking

dvantage

f

hefact hat he

market

as a

defi-

nitebottom ndthatthere s a limit o thedistance o whicht canrise. Mr.

Macaulay

lso

uggestedhat t

might e

unwise,

n

ttempting

oforecastrom

record

f he

market

tself,o

exclude

hevolumef rading rom

onsideration.

He called ttentiono the

fact hat

'double

ops

and 'double

ottoms seem

to be ust as characteristic

f

chance urve s ofthe tock

market ecord,nd

hence hat t is doubtful

hetherheyhave

nyparticularignifications

pre-

dicting actors.

He next

urned is

ttentiono

the

methods

sedby the

ther hree

gencies;

namely, hat of

utilizing

ecordedmovementsf economic

orces utside

he

marketso howwhat s goingohappen o tock rices. Heraised hequestion,

in

regard o Mr.Babson's

hart, s to whether

t was not ustas difficulto pre-

dict he reas

bove nd below hetrend, s

to forecasthe

course fthe

tock

market irectly.

Mr.

Macaulay howed hat he hief ay n

which he

method

used

by

Mr.

Clay differed

rom hatusedby Mr. Vance

was that

Mr.

Vance

attempts

o

constructmathematical

ormula

orweights, hile

Mr. Clay

uses

mental

ather

han

ny

mathematical

eighting.Mr.

Clay, moreover,akes

into

onsiderationny vent r

force hich edeems

mportant,hileMr.Vance

tends o restrict

imselfo the ix

factors

n

hisbarometer.

The apparent

d-

vantage futilizinglltypes fforcessperhapsmore han ffsetythedanger

that

he

forecaster

ill e

undulynfluencedy events f he

moment,

nd

may

thereforese

weightshat renot ogical.

The

meeting

as ablypresidedver yMr.

Walter . Case,Presidentf

Case,

Pomeroy

Co.,who tated hat he xperience

fhisfirm ad

favoredhe

useof

outside

conomicactors

n

foretellinghe

general ourse fthemarket. As to

thepresent

utlook or he

prices f ailway

tocks, ewas nclinedo agree

with

the

first

hree

peakers, ho

believed hat he isingmarket ould

ontinue,

ven

though

e

had

great espect or he method sed

by

Mr. Vance

whichgave

contraryndications.

THE

COST OF

LIVING INDICES OF

THE N. I. C. B.

AND OF THE

B. OF L.

S.

In her

xtendedrticlen

theDecember umber f heJOURNAL,

Miss Elma

Carr

of the Bureau

of Labor

Statistics

egins

er

valuable

description

f

the

differences

etween hecost

of iving ndices

f

the

Bureau nd the

Boardwith

a referenceotheir xtensive se nwage djustmentsnd endswith hecon-

clusion hat

hemethods f

theBureau re far

superior nd that

ts ndex

should

hereforee

consideredmuchmore eliable.

If

the

JOURNAL'S

pace

permitted,

nd

f

he

ubjectwere mportantnough ot

o havebeen

forgotten

sinceMiss

Carr's rticle ppeared,

greatdeal could

be said about t. It is

possible,

owever,o venture nly few

general

omments.

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forecasting security prices 1925

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