motivated by email from Kevin B.
Okay, here's what we want to do:
 Download five years worth of daily stock prices, for 3 stocks and some "benchmark" stock or index.
 Calculate, in some way, how well the three stocks mimic the benchmark.
 Look carefully at each month in that 5year progression to see when there are major deviations from the benchmark.
 Identify ...
>Wait! I have no idea what you're talking about!
If stock XYZ mimics the benchmark in some way, then we'll call the XYZ and the benchmark: "sister stocks".
Then, when there's a dramatic change, we want our analysis to cry out:
"Here's where the stock diverges from it's historical relationship to the benchmark !!"
>Yeah, so?
So I have this spreadsheet. It looks like this:
Here our benchmark if the DOW and the three stocks we're investigating are IBM, MSFT and C.
Look carefully at Chart6. It shows the growth of $1.00 invested in each asset and there's also ...
>I put my money on C!
Pay attention! On Chart6 there's a 30day window that you can move along over that 5year period.
>Huh?
Like this. When you move that 30day window you get a bunch of 30day charts.
Our problem is to ...
>See when a stock diverges from it's historical relationship to the benchmark, right?
Exactly. We might look at the 30day Price Correlations (compared to the 5year values), or the average daily return
or maybe the Relative Sharpe Ratio.
We might also want to invent some other 30day thingy to look at, in Chart5. I leave that up to you.
>Relative Sharpe Ratio? Who's he?
Remember the Sharpe Ratio? You look at the average stock return, subtract some riskfree rate then divide by the standard deviation of the stock.
In our case, instead of some riskfree rate, we're substituting the 30day average benchmark return ... so it's a Sharpe, relative to the DOW.
>And what do I do with Chart5?
I told you! That's up to you. I have no idea how to find "sister stocks". Maybe you'll discover something neat ... so just stick in your own stuff.
>You're kidding, right?
Would I kid you?
Notes:
 See also Pairs Trading
 The stuff that goes into Chart5 is over in columns AN to AQ:
 If'n you're interested in this RelativeSharpeRatiothing, you can play with a spreadsheet here:
relativesharpe.xls
It looks like this.
