PortfolioMath

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

 100
Caliber

S&P 500 Update For The Week Of July 9th 2018

The 60-day Caliber stayed at 100 last week which means that over the last 60 trading days the S&P 500 behaved as if it was made up of 100 completely independent stocks. The overall diversity has increased slightly over the last couple of months so the stability of the market may have improved a bit. Higher Calibers sometimes coincided with better market conditions in the past but this might not be the case in the future. All stock trends are removed before the Caliber is calculated.

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

 -0.12↓
Correlation

The correlation between a stock's return and it's Affinity fell to -0.12 last week. As shown on the graph below, the correlation has been negative for some time now which is quite unusual and could be a danger sign. The weekly ranking of stocks by Affinity is under the button below.

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

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