PortfolioMath

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

 95↓
Caliber

S&P 500 Update For The Week Of October 22nd 2018

The 60-day Caliber fell to 95 last week which means that over the last 60 trading days the S&P 500 behaved as if it was made up of 95 completely independent stocks. The recent sharp drop in Caliber indicates a decrease in the overall diversity of the market which may be accompanied by increased volatility. 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.

 -0.25↓
Correlation

The correlation between a stock's return and it's Affinity fell to -0.25 last week. This drop into negative territory continues a remarkably long period of low correlations. 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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