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Any crowd that uses VaR as its risk-management methodology must be trying like blazes to avoid recalibrating their models at present - the recent rise in volatility would, in normal circumstances, require a reduction in the portfolio weights of all risky assets.
But frankly I reckon that for the most part, financial institutions' approach to risk management involves
- talking about it in their marketing bumph; and
- getting government to bail them out when they screw up.
And that's about it. After all, this is an industry where stocks like One.Tel were placed into Imputation Funds. Solely to try to jack up returns... and the portfolio manager's justification at the time (this is a direct quote):
Packer's in it... Murdoch's in it... that's all I need to know.
Major Market Indices
The broad market - the All Ordinaries (XAO) - wandered in a 45-odd point band for most of the session, trading between 6625 and 6670 for most of the session. At 2 p.m. it was still showing a gain for the session.... fifteen minutes later it went through the zero line, and slid for the rest of the session, falling almost 70 points in the last 100 minutes. By the end of the session it was showing a decline of 55.6 points (0.84%), finishing at 6594.4 points. The index hit an intraday high of 6670.1 at 12:28 pm (just exceeding the prior intraday high of 6669.6 set at 11:34 a.m. ), while the low for the day was 6594.4 right at the closing bell. The failed retest of an intraday high was the classic 'tease tick' that I've written about before - a new high (just - but usually not by this small an amount) with declining CCI readings compared with the previous high... text book stuff.
Total volume traded on the ASX was 1.9 billion units, almost 8% above the 10-day average turnover. The ASX's daily listing of all stocks included 1481 different 3-letter FPO's which traded (i.e., had non-zero trade volume). Of these, 551 issues rose, with volume in rising issues totalling 758.5 million units. Conversely (or even contrariwise), 617 stocks were dragged below the Plimsoll line, with aggregate volume traded of 997.7 million shares.
Of the 487 All Ordinaries components, 186 rose while 226 fell. Volume was tilted in favour of the losers by a margin of 1.4:1, with 305.98 million shares traded in gainers while 413.17 million shares traded in the day's losers.
The Index that forms the cash basis for the SFE's Share Price Index Futures - the S&P/ASX 200 (XJO) - registered a loss of 70 points (1.06%), closing out the session at 6528.6 points.
The "heavy hitters" of the Australian market - the ASX 20 Leaders (XTL) - registered a loss of 65.7 points (1.81%), closing out the session at 3571.2 points.
Among the 20 big guns, only one component - Suncorp-Metway Limited. (SUN) - kept its head off the chopping block. SUN managed to squeak ut a gain of $0.02 (0.1%) to close at $19.27 and traded 1.51 million shares in the process. The 21 stocks which make up the index traded a total of 144.16 million units; that's a pretty heavy decliner-tilt... SUN traded a little under a million and a half shares, while the 16 decliners had volume traded totalling 109.85 million.
On the less salubrious side of the big-cap fence, the following stocks were the worst-performed within the index:
- Woodside Petroleum Limited (WPL), -$3.67 (7.06%) to $48.33 on volume of 6 million shares;
- St George Bank Limited (SGB), -$1.4 (3.66%) to $36.80 on volume of 3.5 million shares;
- Brambles Limited (BXB), -$0.35 (2.85%) to $11.93 on volume of 4.9 million shares;
- BHP Billiton Limited (BHP), -$0.97 (2.3%) to $41.23 on volume of 21 million shares; and
- National Australia Bank Limited (NAB), -$0.84 (1.87%) to $44.00 on volume of 5.3 million shares.
At the other end of the market-cap spectrum lie the denizens of the ASX Small Ordinaries (XSO). The small-fry swam in the opposite direction to the big fish today. The big guys got their clock punched while the minnows posted a gain. The Small Ords advanced by under a percent, adding 20.8 points (0.52%), closing out the session at 4029.1 points (the MidCaps - XMD - also managed a gain).
Among the stocks that make up the Small Caps index, 91 index components finished to the upside, and of the rest, 86 closed lower for the session.
The 197 stocks which make up the index traded a total of 235.27 million units: volume in the 91 gainers totalling 115.23 million shares, with trade totalling 90.89 million units in the index's 86 declining components. The major percentage gainers within the index were- Kagara Zinc Limited (KZL), +$0.44 (7.46%) to $6.34 on volume of 1.4 million shares;
- Gloucester Coal Limited (GCL), +$0.33 (6.18%) to $5.67 on volume of 443.1 thousand shares;
- Aditya Birla Minerals limited (ABY), +$0.17 (5.96%) to $3.02 on volume of 1.6 million shares;
- Compass Resources NL (CMR), +$0.18 (5.26%) to $3.60 on volume of 490.6 thousand shares; and
- Midwest Corporation Limited (MIS), +$0.23 (4.95%) to $4.88 on volume of 1.3 million shares.
In the red-zone of the little-stock index, the following list represents the biggest downers (in terms of percentage decline):
- Salmat Limited (SLM), -$0.4 (8.6%) to $4.25 on volume of 1.7 million shares;
- Super Cheap Auto Group Limited (SUL), -$0.28 (6.22%) to $4.22 on volume of 44 thousand shares;
- Macarthur Coal Limited (MCC), -$0.45 (5.36%) to $7.95 on volume of 2 million shares;
- Flexigroup Limited (FXL), -$0.12 (4.49%) to $2.55 on volume of 60 thousand shares; and
- Austal Limited (ASB), -$0.12 (4.12%) to $2.79 on volume of 1.3 million shares.
Index Changes
| Code | Name | Close | +/- | % | Volume |
|---|---|---|---|---|---|
| XAO | All Ordinaries | 6594.4 | -55.6 | -0.84 | 798.1m |
| XTL | ASX 20 | 3571.2 | -65.7 | -1.81 | 144.2m |
| XFL | ASX 50 | 6325.7 | -96.8 | -1.51 | 268.3m |
| XTO | ASX 100 | 5268.7 | -64.8 | -1.21 | 467.8m |
| XJO | ASX 200 | 6528.6 | -70 | -1.06 | 624.3m |
| XKO | ASX 300 | 6548.8 | -67.4 | -1.02 | 704.9m |
| XMD | ASX Mid-Cap 50 | 6693 | 30.4 | 0.46 | 199.4m |
| XSO | ASX Small Ordinaries | 4029.1 | 20.8 | 0.52 | 237.2m |
Market Breadth
| ASX20 | XTO | XJO | XAO | XSO | Market | |
|---|---|---|---|---|---|---|
| Advances | 1 | 28 | 77 | 186 | 91 | 551 |
| Declines | 16 | 65 | 109 | 225 | 86 | 617 |
| Advancing Volume | 1.5m | 122.6m | 193m | 306m | 115.2m | 758.5 million |
| Declining Volume | 109.9m | 301.3m | 364.5m | 410.5m | 90.9m | 997.7 million |
GICS Industry Indices
Among the 11 industry indices, the news was universally negative: not a single sector managed to break into the "Win" column.
Since none of the industry sectors registered a gain for the session, there is no point in burdening ourselves with the internal behaviour of advancing sectors... on to the losers.
The worst-performed index for the session was Energy (XEJ), which dipped 375.2 points (2.39%) to 15325.2 points. The 17 stocks which make up the index traded a total of 46.96 million units; The 8 decliners had volume traded totalling 27.39 million units, and 9 index components rose, with rising volume amounting to 19.57 million shares, The major percentage decliners within the index were
- Woodside Petroleum Limited (WPL), -$3.67 (7.06%) to $48.33 on volume of 6 million shares;
- Beach Petroleum Limited (BPT), -$0.04 (2.86%) to $1.36 on volume of 4.1 million shares;
- Paladin Resources Limited (PDN), -$0.22 (2.79%) to $7.67 on volume of 3.1 million shares;
- Arrow Energy NL (AOE), -$0.05 (1.66%) to $2.97 on volume of 5.3 million shares; and
- Worleyparsons Limited (WOR), -$0.5 (1.04%) to $47.72 on volume of 425.6 thousand shares.
Just missing out on the wooden spoon was ASX200 Financials ex Property Trusts (XXJ), which slid 114.4 points (1.49%) to 7539.1 points. The 29 stocks which make up the index traded a total of 61.6 million units; The 22 decliners had volume traded totalling 52.44 million units, and 5 index components rose, with rising volume amounting to 6.05 million shares, The major percentage decliners within the index were
- St George Bank Limited (SGB), -$1.4 (3.66%) to $36.80 on volume of 3.5 million shares;
- Insurance Australia Group Limited (IAG), -$0.11 (2.38%) to $4.52 on volume of 7.3 million shares;
- Perpetual Limited (PPT), -$1.62 (2.3%) to $68.67 on volume of 113.4 thousand shares;
- AXA Asia Pacific Holdings Limited (AXA), -$0.15 (1.93%) to $7.64 on volume of 1.8 million shares; and
- Qbe Insurance Group Limited (QBE), -$0.6 (1.87%) to $31.45 on volume of 2.1 million shares.
Third-to-last amongst the sector indices was Property Trusts (XPJ), which slid 25.1 points (1.07%) to 2314.1 points. The 20 stocks which make up the index traded a total of 112.56 million units; The 13 decliners had volume traded totalling 64.24 million units, and 5 index components rose, with rising volume amounting to 29.16 million shares, The major percentage decliners within the index were
- GPT Group (GPT), -$0.12 (2.61%) to $4.48 on volume of 9.5 million shares;
- DB RREEF Trust (DRT), -$0.05 (2.55%) to $1.91 on volume of 3.9 million shares;
- Valad Property Group (VPG), -$0.05 (2.44%) to $1.80 on volume of 5 million shares;
- ING Industrial Fund (IIF), -$0.05 (1.87%) to $2.62 on volume of 3.6 million shares; and
- Tishman Speyer Office Fund (TSO), -$0.04 (1.72%) to $2.00 on volume of 2.2 million shares.
Sector Indices
| Code | GICS Sector | Close | +/- | % | Volume |
|---|---|---|---|---|---|
| XUJ | Utilities | 6926.1 | -8 | -0.12 | 17m |
| XTJ | Telecommunications | 1674.1 | -3.8 | -0.23 | 44m |
| XDJ | Consumer Discretionary | 2682.7 | -12.1 | -0.45 | 34m |
| XHJ | Healthcare | 9155.1 | -50.7 | -0.55 | 11m |
| XMJ | Materials | 15315.8 | -101.3 | -0.66 | 160m |
| XIJ | Information Technology | 586.6 | -4.1 | -0.69 | 5m |
| XNJ | Industrials | 6932.4 | -51 | -0.73 | 77m |
| XSJ | Consumer Staples | 8666.8 | -90 | -1.03 | 55m |
| XPJ | Property Trusts | 2314.1 | -25.1 | -1.07 | 113m |
| XXJ | ASX200 Financials ex Property Trusts | 7539.1 | -114.4 | -1.49 | 62m |
| XEJ | Energy | 15325.2 | -375.2 | -2.39 | 47m |
All Ordinaries Major Movers
All Ords Volume Leaders
| Code | Name | Close | +/- | % | Volume |
|---|---|---|---|---|---|
| BDG | Bendigo Mining Limited | 0.39 | 0.08 | 26.23 | 35.6m |
| OXR | Oxiana Limited | 4.09 | 0.09 | 2.25 | 29.1m |
| TLS | Telstra Corporation Limited. | 4.71 | -0.01 | -0.21 | 21.7m |
| BHP | BHP Billiton Limited | 41.23 | -0.97 | -2.3 | 21m |
| ZFX | Zinifex Limited | 16.09 | 1.69 | 11.74 | 19.9m |
All Ords Percentage Gainers
| Code | Name | Close | +/- | % | Volume |
|---|---|---|---|---|---|
| ARR | Arasor International Limited | 1.98 | 0.52 | 35.27 | 1.7m |
| BDG | Bendigo Mining Limited | 0.39 | 0.08 | 26.23 | 35.6m |
| NFL | Natural Fuel Limited | 0.18 | 0.03 | 20 | 1.4m |
| FMG | Fortescue Metals Group Ltd | 60.98 | 9.45 | 18.34 | 1.7m |
| ZFX | Zinifex Limited | 16.09 | 1.69 | 11.74 | 19.9m |
All Ords Percentage Losers
| Code | Name | Close | +/- | % | Volume |
|---|---|---|---|---|---|
| SEN | SENETAS CORPORATION | 0.10 | -0.01 | -9.09 | 1.4m |
| CPK | CP1 Limited | 0.63 | -0.06 | -8.7 | 165.8k |
| SLM | Salmat Limited | 4.25 | -0.40 | -8.6 | 1.7m |
| WPL | Woodside Petroleum Limited | 48.33 | -3.67 | -7.06 | 6m |
| TZN | Terramin Australia Limited. | 3.58 | -0.25 | -6.53 | 390.4k |
