PortfolioMath

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

 793↓
Caliber

NYSE Update For The Week Of July 24th 2017

The 60-day Caliber fell from 794 to 793 last week so the overall diversity of this market is essentially unchanged. The number 793 means that over the last 60 trading days the NYSE behaved as if it was made up of 793 completely independent stocks, after individual stock trends were removed. The current Caliber is at the 97th percentile of 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 Caliber calculated for each 60 day period over the past year.

 0.036↓
Correlation

The correlation between a stock's return and it's Affinity fell to 0.036 last week. When this correlation is rising, investors could consider stocks that have higher Affinity rankings. When this correlation is falling, investors might consider stocks with lower Affinity rankings. In general, the market appears to oscillate between favoring high or low Affinity stocks and the correlation tells you where the market is in that cycle. The overall market can rise or fall for any value of this correlation but the periods when this correlation is rising might be the most comfortable for investors.

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

Disclaimer

The information on this website: