PortfolioMath

384↓15%

NYSE Weekly Update

February 8th, 2016

The Caliber of the NYSE fell last week from 409 to 384. This number means that over the last 60 trading days the NYSE has behaved as if it was made up of 384 independent stocks. The current Caliber is greater than 15% of all Calibers over the last 25 years. Higher Calibers sometimes coincided with better market conditions in the past but this might not be the case in the future.

The calculation of Caliber automatically assigns a number to each stock called its Affinity. The following graph shows the correlation between stock affinities and returns for each 60 day period over the past year. One way to interpret this graph is that the NYSE rocks slighty back and forth between favoring high or low affinity stocks. The market can rise or fall in either of these phases but the periods when the correlation is rising might be more attractive to some investors.

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