PortfolioMath

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

Summary: The correlation between returns and affinity continued in negative territory this last week which means this market continues to be difficult to navigate. See the second graph below.

 971↑
Caliber

NYSE Update For The Week Of June 19th 2017

The 60-day Caliber has risen to 971 so the diversity of this market is near record highs again. The number 971 means that over the last 60 trading days the NYSE behaved as if it was made up of 971 completely independent stocks, after individual stock trends were removed. The current Caliber is at the 99th 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.

 -0.04↑
Correlation

The correlation between a stock's return and it's Affinity was again in negative territory this last week which means this market continues to be difficult to navigate. 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.

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