PortfolioMath

Read the article about Caliber and Affinity in Modern Trader magazine.

Note: In order to give a better portrait of the American market, we are shifting our focus away from looking at the entire NYSE and instead will only consider the stocks contained in the S&P 500. The NYSE contains many complex financial instruments that muddy our approach and experiments suggest that it is better look just at the companies that are the basic building blocks of the U.S. market such as the ones in the S&P 500.

 98
Caliber

S&P 500 Update For The Week Of Sept 18th 2017

The 60-day Caliber stayed around 98 last week so the overall diversity of this market is unchanged. The number 98 means that over the last 60 trading days the S&P 500 behaved as if it was made up of 98 completely independent stocks. Higher Calibers sometimes coincided with better market conditions in the past but this might not be the case in the future.

The Caliber calculated for each 60 day period over the past year.

 0.131↑
Correlation

The correlation between a stock's return and it's Affinity rose to 0.131 last week. As shown on the graph below, high affinity stocks have had better returns than low affinity stocks this past year.

The correlation between stock returns and stock Affinities calculated for each 60 day period over the past year.

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