05-13-2007, 04:19 PM
A) Eurostoxx Telecom Sector -
Three pix below illustrate this issue. Top and bottom pic are from today - (the middle pic taken from last week - also shows this inconsistency. Sorry it is harder to read but the size of pix able to be uploaded is too limited to provide good resolution all the time - but the picture results clearly illustrate this irregulatity has gone on for some time.)
A1) RFs in the Top PC and PB rooms at the sector level keep changing in the Telecom Sector group rotation history from -15 to 0 and +9 to +13, respectively, during any given day. We have seen this routinely occur now for over a month. Clearly something is not consistent to have these changes occurring all the time - and affecting the history that extends back over a month. History does - at least should not change, or perhaps it does in this case with DTP RF values in some sectors?
A2) Is this just a fluke for one sector ?? We have also last weekend noted that another sector changed - but we have not documented it just yet. The fluctuations were less severe than in this Telecom sector case that is clearly documented.
...
ACTION REQUESTED: Can you please identify if this is a bug in the DTP Group Rotation program and if so when it can be fixed? If it is not a bug - can you please explain why it is happening so we can make some sense out of such bizarre and extreme changes in the numbers in these two upper rooms. Thanks
B) What is the RF value for a GROUP or Sector (in EuroStoXX600) based on ??
B1) Can you please explain a bit what the RFs in the rooms for the 18 overall European sectors are based on? Are they based just on the DTP stocks listed in the sector (ie an average of the 23 RF stock component values for the 23 stocks DTP has in the sector)? Or perhaps they are based on other numbers or values not related to the RFs of the stocks at all ?
....
We know that there is an official STOXX SECTOR number that is available from STOXX.COM. These 18 sectors performances are routinely referred to, for example, by CNBC Europe when it talks about how sectors are doing each day. So it is possible DTP does not use just the stocks that we have access to as part of the European Platform, but uses more or entirely different data for the overall 18 sectors' RF values.
It would be helpful and to know if the ESX600 18 sector RF values are related to:
a) just stocks that DTP has in its portfolio of those available to us as clients - or
b) the correct, complete (official) list of Eurostoxx in each of the 18 sectors or
c) something else ?
(We are not asking to know proprietary DTP info)
...
The ESX600 component stocks are updated regularly according to www.STOXX.com just like there are adjustments made to the Nasdaq 100 and S&P 500. The ESX600 components are updated quarterly. The mid-June 2007 Eurostoxx600 component adjustments will be published this week.
The stocks that DTP has in its 18 EUROPEAN sectors platform are not currently the same 600 stocks as on the official list at STOXX.com. As of May 4, 2006, about 11 percent of the DTP Eurostoxx600 list of stocks were either incorrect or are missing compared to the official Eurostoxx600 website data.
...
ACTION REQUESTED: Could you please:
a) briefly and quickly clarify what data the ESX600 Sector group rotation RFs are based on, and
b) identify a specific date when DTP's ESX600 components will be updated to the official Stoxx600 components.
Thanks
Three pix below illustrate this issue. Top and bottom pic are from today - (the middle pic taken from last week - also shows this inconsistency. Sorry it is harder to read but the size of pix able to be uploaded is too limited to provide good resolution all the time - but the picture results clearly illustrate this irregulatity has gone on for some time.)
A1) RFs in the Top PC and PB rooms at the sector level keep changing in the Telecom Sector group rotation history from -15 to 0 and +9 to +13, respectively, during any given day. We have seen this routinely occur now for over a month. Clearly something is not consistent to have these changes occurring all the time - and affecting the history that extends back over a month. History does - at least should not change, or perhaps it does in this case with DTP RF values in some sectors?
A2) Is this just a fluke for one sector ?? We have also last weekend noted that another sector changed - but we have not documented it just yet. The fluctuations were less severe than in this Telecom sector case that is clearly documented.
...
ACTION REQUESTED: Can you please identify if this is a bug in the DTP Group Rotation program and if so when it can be fixed? If it is not a bug - can you please explain why it is happening so we can make some sense out of such bizarre and extreme changes in the numbers in these two upper rooms. Thanks
B) What is the RF value for a GROUP or Sector (in EuroStoXX600) based on ??
B1) Can you please explain a bit what the RFs in the rooms for the 18 overall European sectors are based on? Are they based just on the DTP stocks listed in the sector (ie an average of the 23 RF stock component values for the 23 stocks DTP has in the sector)? Or perhaps they are based on other numbers or values not related to the RFs of the stocks at all ?
....
We know that there is an official STOXX SECTOR number that is available from STOXX.COM. These 18 sectors performances are routinely referred to, for example, by CNBC Europe when it talks about how sectors are doing each day. So it is possible DTP does not use just the stocks that we have access to as part of the European Platform, but uses more or entirely different data for the overall 18 sectors' RF values.
It would be helpful and to know if the ESX600 18 sector RF values are related to:
a) just stocks that DTP has in its portfolio of those available to us as clients - or
b) the correct, complete (official) list of Eurostoxx in each of the 18 sectors or
c) something else ?
(We are not asking to know proprietary DTP info)
...
The ESX600 component stocks are updated regularly according to www.STOXX.com just like there are adjustments made to the Nasdaq 100 and S&P 500. The ESX600 components are updated quarterly. The mid-June 2007 Eurostoxx600 component adjustments will be published this week.
The stocks that DTP has in its 18 EUROPEAN sectors platform are not currently the same 600 stocks as on the official list at STOXX.com. As of May 4, 2006, about 11 percent of the DTP Eurostoxx600 list of stocks were either incorrect or are missing compared to the official Eurostoxx600 website data.
...
ACTION REQUESTED: Could you please:
a) briefly and quickly clarify what data the ESX600 Sector group rotation RFs are based on, and
b) identify a specific date when DTP's ESX600 components will be updated to the official Stoxx600 components.
Thanks