PortfolioMath

Russell 3000 Update For The Week Of June 15th 2020

Caliber is a new indicator of a stock's performance that measures how the stock sits inside the Russell 3000 as a whole. Reversing the daily order of all the closing prices of stocks in the index does not change the Calibers of individual stocks so the overall trend is not part of the Caliber calculation. Despite this fact, higher Caliber stocks have performed better on average over this past year as indicated by the positive slope of the trend line. This relationship is not in any way guaranteed to hold in the future.

Computed using the daily returns from the past full year of all stocks in the Russell 3000

As shown on the graph below, the correlation between stock returns and stock calibers has been positive over the past year.

The correlation between stock returns and stock Calibers calculated for each 365 day period over the past year.

The next graph shows the Dispersion Level or number of independent components in the index after the average daily return of each stock is subtracted from each of its daily returns. Higher values indicate an increase in the complexity of the noise in the market which we interpret as stocks moving more indendently of each other. There is an extreme peak in January well before the market crashed.

The Dispersion Level of the Russell 3000 calculated for each 60 day period over the past year.

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