Chapter I: The Classical Analysis of Time Series establishes a good starting point in the analysis, and provides a high vantage point for viewing patterns of behaviour in the prices over the entire history of IMS Health, Inc.. |
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This explains the analysis charts for IMS Health, Inc.: The red plot on the top chart is the Mean Monthly Closing Price for the company. Blue marks the de-seasonalized trend, which is a least squares linear regression applied to the RX prices after seasonal variations have been filtered out. The first step of the classical analysis determines seasonal indexes. The decomposition above bases the seasonality on the ordinary 12 month calendar from one January to the next, but it is also possible to extract interesting results from the 24 or 48 month political election based on November elections, as we shall see shortly. The orange Seasonal Component is based on the seasonality of the entire time series, so it is the same from year to the next. Once the global seasonal is known, it is possible to subtract its influence from the original input to produce so called deseasonalized data. The trend line in the top chart comes about from this processes. Further refinement removes the trend from the deseasonalized data. What remains is the unfiltered cyclical component. Broadly speaking, the refined cyclical data represents the effect of the general business cycle in addition to the private business cycle of IMS Health, Inc.. Later, we will use a method to separate the two cycles, but on this chart, they are compounded. Purple traces the residual of the process so far. Traditionally this is called the Irregular Component, but this seems to be a poor name since it may exhibit a great deal of regularity. It represents the variations that have not been explained by the refinement process up to this step. One of the more interesting series to be derived in this manner is the red trace on the bottom chart. The residue that is left when all components other than Seasonal and Un-Explained are filtered away, shows how the strongly regular Seasonal effects actually change from one year to the next. When a seasonal pattern becomes well know, the market may anticipate, causing the date of the seasonal peak to occur earlier. This component show how that anticipation moves over time, unlike the static pattern in the second chart. While the full history analysis is of enduring interest, it may also be misleading. An issue may have the same name for 20 or more years, but it may be a very different company, and economic fundamentals have surely changed. For this reason, we want to look at patterns established in more recent times. |
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Refined Stock Trend Analysis for RX : |
| Friday, February 18, 2011: We have news on Fiserv, Inc., ticker symbol FISV. Signs of an over-bought condition have become noticable. Also, there are breaking events concerning Zimmer Holdings, Inc. and McCormick & Company, Incorporated. From the News Archive: (2/18/2011 ) Bad news came from Reynolds American, Inc., Dollar Tree, Inc., Zimmer Holdings, Inc., and NVIDIA Corp. |