What Is Caliber?

The Caliber of the NYSE summarizes its recent performance in a single number that measures the number of independent components that make up the NYSE. For example, if the Caliber is 500 then the NYSE is roughly equivalent to a stock exchange made up of 500 completely independent stocks. The trends of individual stocks have no bearing on the calculation of Caliber. The calculation of Caliber also automatically assigns a ranking to each stock. The following graph shows that over the last 25 years higher Caliber markets have coincided with better market conditions.

The points on this graph were obtained by calculating the returns and Caliber for each 60 day period from the last 25 years.

How did Caliber behave before and after the crash of 2008-2009?

The graph below shows the steady drop in the Caliber over the two year period leading up to the crash of 2008-2009. This fall in the Caliber is interesting because the mean and standard deviation of returns have no bearing on the calculation of Caliber so it detected the deterioration of market conditions in a nonstandard way. For this graph, the Caliber for each day was calculated using 1 year of prior daily returns (only the 60-day Caliber is updated weekly on this site).

The Caliber for each day was calculated using the 1 year period of prior daily returns.


The information on this website:
  • is for the purposes of assessment only
  • is experimental and not suitable for any kind of use by investors except appraisal
  • does not in any way constitute investment advice
  • is not guaranteed to be error free or uninterrupted